Related papers: Lower and Upper Expected Hitting Times for Weighte…
We study irreducible time-homogenous Markov chains with finite state space in discrete time. We obtain results on the sensitivity of the stationary distribution and other statistical quantities with respect to perturbations of the…
This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statistical upper bounds are provided for the Kullback-Leiber…
The weighted low-rank approximation problem is a fundamental numerical linear algebra problem and has many applications in machine learning. Given a $n \times n$ weight matrix $W$ and a $n \times n$ matrix $A$, the goal is to find two…
In the classical theory of Markov chains, one may study the mean time to reach some chosen state, and it is well-known that in the irreducible, finite case, such quantity can be calculated in terms of the fundamental matrix of the walk, as…
In this paper, we consider two time-inhomogeneous Markov chains $X^{(l)}_t$, $l\in\{1,2\}$, with discrete time on a general state space. We assume the existence of some renewal set $C$ and investigate the time of simultaneous renewal, that…
The paper addresses two variants of the stochastic shortest path problem ('optimize the accumulated weight until reaching a goal state') in Markov decision processes (MDPs) with integer weights. The first variant optimizes partial expected…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…
We address the problem of estimating the mixing time $t_{\mathsf{mix}}$ of an arbitrary ergodic finite-state Markov chain from a single trajectory of length $m$. The reversible case was addressed by Hsu et al. [2019], who left the general…
Weakly hard real-time systems can, to some degree, tolerate deadline misses, but their schedulability still needs to be analyzed to ensure their quality of service. Such analysis usually occurs at early design stages to provide…
This paper focuses on a class of continuous-time controlled Markov chains with time-inconsistent and distribution-dependent cost functional (in some appropriate sense). A new definition of time-inconsistent distribution-dependent…
Efficient high-rank approximations of the Hessian can accelerate seismic full waveform inversion (FWI) and uncertainty quantification (UQ). In FWI, approximations of the inverse of the Hessian may be used as preconditioners for Newton-type…
Recently, Model Predictive Contouring Control (MPCC) has arisen as the state-of-the-art approach for model-based agile flight. MPCC benefits from great flexibility in trading-off between progress maximization and path following at runtime…
This paper addresses the trajectory-tracking problem for discrete-time linear time-invariant systems with bounded parametric uncertainty, subject to hard constraints on system states, control inputs, and input rates. Unlike existing…
In this paper we consider (upward skip-free) discrete-time and discrete-space Markov additive chains (MACs) and develop the theory for the so-called $\tilde{W}$ and $\tilde{Z}$ scale matrices. which are shown to play a vital role in the…
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous case is classic, the time-inhomogeneous case has recently…
This paper concentrates on the minimal hitting probability of continuous-time controlled Markov systems (CTCMSs) with countable state and finite admissible action spaces. The existence of an optimal policy is first proved. In particular,…
For any discrete target distribution, we exploit the connection between Markov chains and Stein's method via the generator approach and express the solution of Stein's equation in terms of expected hitting time. This yields new upper bounds…
Random Walk Metropolis Hastings (RWMH) algorithm, is quite inefficient in high dimensions because of its abysmally slow acceptance rate. The slow acceptance rate results from the fact that RWMH separately updates each coordinate of the…
We study the problem of identity testing of markov chains. In this setting, we are given access to a single trajectory from a markov chain with unknown transition matrix $Q$ and the goal is to determine whether $Q = P$ for some known matrix…
In most real cases transition probabilities between operational modes of Markov jump linear systems cannot be computed exactly and are time-varying. We take into account this aspect by considering Markov jump linear systems where the…