Related papers: Dynamic Conditional SKEPTIC
The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…
Sliding mode control (SMC) is a robust and computationally efficient solution for tracking control problems of highly nonlinear systems with a great deal of uncertainty. High frequency oscillations due to chattering phenomena and…
This paper presents a chance-constrained formulation for robust trajectory optimization during manipulation. In particular, we present a chance-constrained optimization for Stochastic Discrete-time Linear Complementarity Systems (SDLCS). To…
Non-ideal communication links, especially delays, critically affect fast networked controls in power systems, such as the wide-area damping control (WADC). Traditionally, a delay estimation and compensation approach is adopted to address…
Estimating causal effects on time-to-event outcomes from observational data is particularly challenging due to censoring, limited sample sizes, and non-random treatment assignment. The need for answering such "when-if" questions--how the…
Stochastic differential equations describe well many physical, biological and sociological systems, despite the simplification often made in their derivation. Here the usage of simple stochastic differential equations to characterize and…
Spectral deferred corrections (SDC) is an iterative approach for constructing higher- order accurate numerical approximations of ordinary differential equations. SDC starts with an initial approximation of the solution defined at a set of…
A stochastic model predictive control (SMPC) approach is presented for discrete-time linear systems with arbitrary time-invariant probabilistic uncertainties and additive Gaussian process noise. Closed-loop stability of the SMPC approach is…
With the increased availability of large databases of electronic health records (EHRs) comes the chance of enhancing health risks screening. Most post-marketing detections of adverse drug reaction (ADR) rely on physicians' spontaneous…
Deducing the states of spatiotemporally chaotic systems (SCSs) as they evolve in time is crucial for various applications. However, it is a dramatic challenge for generally achieving so due to the complexity of non-periodic dynamics and the…
Stochastic model-predictive control (SMPC) has evolved to a powerful framework for the control of stochastic dynamical systems. SMPC utilizes a probabilistic uncertainty description to provide a systematic trade-off between the control…
When evaluating the impact of a policy on a metric of interest, it may not be possible to conduct a randomized control trial. In settings where only observational data is available, Synthetic Control (SC) methods provide a popular…
Standard methods and theories in finance can be ill-equipped to capture highly non-linear interactions in financial prediction problems based on large-scale datasets, with deep learning offering a way to gain insights into correlations in…
Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…
Sequential Monte Carlo (SMC) algorithms represent a suite of robust computational methodologies utilized for state estimation and parameter inference within dynamical systems, particularly in real-time or online environments where data…
A dynamic scaling Ansatz for the approach to the Self-Organized Critical (SOC) regime is proposed and tested by means of extensive simulations applied to the Bak-Sneppen model (BS), which exhibits robust SOC behavior. Considering the…
This paper proposes dynamic Bayesian regression quantile synthesis (DRQS), a novel method for quantile forecasting within the Bayesian predictive synthesis (BPS) framework designed to combine quantile-specific information from multiple…
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to…
The challenging problem of conducting fully Bayesian inference for the reaction rate constants governing stochastic kinetic models (SKMs) is considered. Given the challenges underlying this problem, the Markov jump process representation is…
This paper presents Deep Dynamic Probabilistic Canonical Correlation Analysis (D2PCCA), a model that integrates deep learning with probabilistic modeling to analyze nonlinear dynamical systems. Building on the probabilistic extensions of…