Related papers: Distributional Conformal Prediction for Markov Pro…

We propose Diffusion-Informed Model Predictive Control (D-I MPC), a generic framework for uncertainty-aware prediction and decision-making in partially observable stochastic systems by integrating diffusion-based time series forecasting…

Uncertainty quantification in Knowledge Graph Embedding (KGE) methods is crucial for ensuring the reliability of downstream applications. A recent work applies conformal prediction to KGE methods, providing uncertainty estimates by…

Recent work has suggested using Monte Carlo methods based on piecewise deterministic Markov processes (PDMPs) to sample from target distributions of interest. PDMPs are non-reversible continuous-time processes endowed with momentum, and…

We develop a predictive inference procedure that combines conformal prediction (CP) with unconditional quantile regression (QR) -- a commonly used tool in econometrics that involves regressing the recentered influence function (RIF) of the…

Inference on modern Bayesian Neural Networks (BNNs) often relies on a variational inference treatment, imposing violated assumptions of independence and the form of the posterior. Traditional MCMC approaches avoid these assumptions at the…

Model Predictive Control (MPC) is well understood in the deterministic setting, yet rigorous stability and performance guarantees for stochastic MPC remain limited to the consideration of terminal constraints and penalties. In contrast,…

We develop a general framework for constructing distribution-free prediction intervals for time series. Theoretically, we establish explicit bounds on conditional and marginal coverage gaps of estimated prediction intervals, which…

We introduce a framework for approximate analysis of Markov decision processes (MDP) with bounded-, unbounded-, and infinite-horizon properties. The main idea is to identify a "core" of an MDP, i.e., a subsystem where we provably remain…

Using concentration inequalities, we give non-asymptotic confidence intervals for estimates obtained by Markov chain Monte Carlo (MCMC) simulations, when using the approximation $\mathbb{E}_{\pi} f\approx (1/(N-t_0))\cdot \sum_{i=t_0+1}^N…

In this paper, we consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated framework allows one to study a dynamic decision-making process…

This paper studies the problem of distributionally robust model predictive control (MPC) using total variation distance ambiguity sets. For a discrete-time linear system with additive disturbances, we provide a conditional value-at-risk…

Conformal prediction, a post-hoc, distribution-free, finite-sample method of uncertainty quantification that offers formal coverage guarantees under the assumption of data exchangeability. Unfortunately, the resulting uncertainty regions…

Conformal Prediction is a widely studied technique to construct prediction sets of future observations. Most conformal prediction methods focus on achieving the necessary coverage guarantees, but do not provide formal guarantees on the size…

We present an algorithm for learning mixtures of Markov chains and Markov decision processes (MDPs) from short unlabeled trajectories. Specifically, our method handles mixtures of Markov chains with optional control input by going through a…

Markov chain Monte Carlo (MCMC) methods are frequently used to approximately simulate high-dimensional, multimodal probability distributions. In adaptive MCMC methods, the transition kernel is changed "on the fly" in the hope to speed up…

Conformal Prediction (CP) is a distribution-free method for constructing prediction sets with marginal finite-sample coverage guarantees, making it a suitable framework for reliable uncertainty quantification in safety-critical object…

Markov chain Monte Carlo (MCMC) methods asymptotically sample from complex probability distributions. The pseudo-marginal MCMC framework only requires an unbiased estimator of the unnormalized probability distribution function to construct…

Conformal Predictors (CP) are wrappers around ML models, providing error guarantees under weak assumptions on the data distribution. They are suitable for a wide range of problems, from classification and regression to anomaly detection.…

Markov decision processes (MDPs) are a popular model for performance analysis and optimization of stochastic systems. The parameters of stochastic behavior of MDPs are estimates from empirical observations of a system; their values are not…

The detection of change-points in heterogeneous sequences is a statistical challenge with applications across a wide variety of fields. In bioinformatics, a vast amount of methodology exists to identify an ideal set of change-points for…