Related papers: Model-based Bootstrap of Controlled Markov Chains
Rough volatility models have recently been empirically shown to provide a good fit to historical volatility time series and implied volatility smiles of SPX options. They are continuous-time stochastic volatility models, whose volatility…
This study investigates a data-driven machine learning approach to predict membrane fouling in critically ill patients undergoing Continuous Renal Replacement Therapy (CRRT). Using time-series data from an ICU, 16 clinically selected…
Robust model predictive control (MPC) is a well-known control technique for model-based control with constraints and uncertainties. In classic robust tube-based MPC approaches, an open-loop control sequence is computed via periodically…
In Change point detection task Likelihood Ratio Test (LRT) is sequentially applied in a sliding window procedure. Its high values indicate changes of parametric distribution in the data sequence. Correspondingly LRT values require…
We propose distribution-free runs-based control charts for detecting location shifts. Using the fact that given the number of total successes, the outcomes of a sequence of Bernoulli trials are random permutations, we are able to control…
Reliability is an important tool for evaluating the performance of modern networks. Currently, it is NP-hard and #P-hard to calculate the exact reliability of a binary-state network when the reliability of each component is assumed to be…
Clinical prediction models are increasingly used to support patient care, yet many deep learning-based approaches remain unstable, as their predictions can vary substantially when trained on different samples from the same population. Such…
Recent developments in Reinforcement learning have significantly enhanced sequential decision-making in uncertain environments. Despite their strong performance guarantees, most existing work has focused primarily on improving the…
Offline reinforcement learning (RL) suffers from the distribution shift between the offline dataset and the online environment. In multi-agent RL (MARL), this distribution shift may arise from the nonstationary opponents in the online…
Balancing exploration and exploitation is crucial in reinforcement learning (RL). In this paper, we study model-based posterior sampling for reinforcement learning (PSRL) in continuous state-action spaces theoretically and empirically.…
This paper investigates the (in)-consistency of various bootstrap methods for making inference on a change-point in time in the Cox model with right censored survival data. A criterion is established for the consistency of any bootstrap…
Continuous-time reinforcement learning (CTRL) provides a natural framework for sequential decision-making in dynamic environments where interactions evolve continuously over time. While CTRL has shown growing empirical success, its ability…
The paper studies an improved estimate for the rate of convergence for nonlinear homogeneous discrete-time Markov chains. These processes are nonlinear in terms of the distribution law. Hence, the transition kernels are dependent on the…
In the framework of Model Predictive Control (MPC), the control input is typically computed by solving optimization problems repeatedly online. For general nonlinear systems, the online optimization problems are non-convex and…
The existing theory of penalized quantile regression for longitudinal data has focused primarily on point estimation. In this work, we investigate statistical inference. We propose a wild residual bootstrap procedure and show that it is…
Automating complex industrial robots requires precise nonlinear control and efficient energy management. This paper introduces a data-driven nonlinear model predictive control (NMPC) framework to optimize control under multiple objectives.…
This work provides a state-of-the-art survey of continual safe online reinforcement learning (COSRL) methods. We discuss theoretical aspects, challenges, and open questions in building continual online safe reinforcement learning…
We propose a novel Markov chain Monte-Carlo (MCMC) method for reverse engineering the topological structure of stochastic reaction networks, a notoriously challenging problem that is relevant in many modern areas of research, like…
We develop algorithms with low regret for learning episodic Markov decision processes based on kernel approximation techniques. The algorithms are based on both the Upper Confidence Bound (UCB) as well as Posterior or Thompson Sampling…
This paper introduces a data-based integral sliding mode control scheme for robustification of model-reference controllers, accommodating generic multivariable linear systems with unknown dynamics and affected by matched disturbances.…