Related papers: HOMC: A MATLAB Package for Higher Order Markov Cha…
We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order…
This research introduces an improved framework for constructing matrix product operators (MPOs) and tree tensor network operators (TTNOs), crucial tools in quantum simulations. A given (Hamiltonian) operator typically has a known symbolic…
We present an algorithm for formal verification and parameter synthesis of continuous state-space Markov chains. This class of problems captures the design and analysis of a wide variety of autonomous and cyber-physical systems defined by…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
Best rank-one approximation is one of the most fundamental tasks in tensor computation. In order to fully exploit modern multi-core parallel computers, it is necessary to develop decoupling algorithms for computing the best rank-one…
Spectral graph theory-based methods represent an important class of tools for studying the structure of networks. Spectral methods are based on a first-order Markov chain derived from a random walk on the graph and thus they cannot take…
Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…
We propose a new approach for estimating the finite dimensional transition matrix of a Markov chain using a large number of independent sample paths observed at random times. The sample paths may be observed as few as two times, and the…
We describe an exact approach for calculating transition probabilities and waiting times in finite-state discrete-time Markov processes. All the states and the rules for transitions between them must be known in advance. We can then…
Markov decision processes (MDP) and continuous-time MDP (CTMDP) are the fundamental models for non-deterministic systems with probabilistic uncertainty. Mean payoff (a.k.a. long-run average reward) is one of the most classic objectives…
A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…
We present an algorithm that can efficiently compute a broad class of inferences for discrete-time imprecise Markov chains, a generalised type of Markov chains that allows one to take into account partially specified probabilities and other…
We present a method for performing Hamiltonian Monte Carlo that largely eliminates sample rejection for typical hyperparameters. In situations that would normally lead to rejection, instead a longer trajectory is computed until a new state…
We propose approaches for testing implementations of Markov Chain Monte Carlo methods as well as of general Monte Carlo methods. Based on statistical hypothesis tests, these approaches can be used in a unit testing framework to, for…
Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of partial differential equations. In…
The `equation-free toolbox' empowers the computer-assisted analysis of complex, multiscale systems. Its aim is to enable you to immediately use microscopic simulators to perform macro-scale system level tasks and analysis, because…
Scrambling, a process in which quantum information spreads over a complex quantum system becoming inaccessible to simple probes, happens in generic chaotic quantum many-body systems, ranging from spin chains, to metals, even to black holes.…
The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…
Hidden Markov jump processes are an attractive approach for modeling clinical disease progression data because they are explainable and capable of handling both irregularly sampled and noisy data. Most applications in this context consider…
Tasks such as record linkage and multi-target tracking, which involve reconstructing the set of objects that underlie some observed data, are particularly challenging for probabilistic inference. Recent work has achieved efficient and…