Related papers: Distributional Conformal Prediction for Markov Pro…
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…
Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…
We consider a distributionally robust Partially Observable Markov Decision Process (DR-POMDP), where the distribution of the transition-observation probabilities is unknown at the beginning of each decision period, but their realizations…
We present a stochastic model predictive control (MPC) method for linear discrete-time systems subject to possibly unbounded and correlated additive stochastic disturbance sequences. Chance constraints are treated in analogy to robust MPC…
Conformal prediction (CP) produces prediction regions with finite-sample, distribution free coverage guarantees, but its interpretation as a quantitative uncertainty tool is often left implicit. We develop a category-theoretic approach that…
Conformal Prediction (CP) is a powerful statistical machine learning tool to construct uncertainty sets with coverage guarantees, which has fueled its extensive adoption in generating prediction regions for decision-making tasks, e.g.,…
This paper discusses the functional stability of closed-loop Markov Chains under optimal policies resulting from a discounted optimality criterion, forming Markov Decision Processes (MDPs). We investigate the stability of MDPs in the sense…
Reliable uncertainty quantification remains a central challenge in predictive modeling. While Bayesian methods are theoretically appealing, their predictive intervals can exhibit poor frequentist calibration, particularly with small sample…
Computing optimal conditional reachability probabilities in Markov decision processes (MDPs) is tractable by a reduction to reachability probabilities. Yet, this reduction yields cyclic, challenging MDPs that are often notoriously hard to…
Sequences of labeled events observed at irregular intervals in continuous time are ubiquitous across various fields. Temporal Point Processes (TPPs) provide a mathematical framework for modeling these sequences, enabling inferences such as…
Whether or not a country is at war, or experiencing escalating or deescalating levels of conflict, has massive ramifications on a country's national and foreign policy. Given a country's history of conflict, or lack thereof, future…
We consider the problem of Bayesian inference for changepoints where the number and position of the changepoints are both unknown. In particular, we consider product partition models where it is possible to integrate out model parameters…
We consider the linear programming approach for constrained and unconstrained Markov decision processes (MDPs) under the long-run average cost criterion, where the class of MDPs in our study have Borel state spaces and discrete countable…
We consider conditional tests for non-negative discrete exponential families. We develop two Markov Chain Monte Carlo (MCMC) algorithms which allow us to sample from the conditional space and to perform approximated tests. The first…
This paper presents a unified framework for understanding the methodology and theory behind several different methods in the conformal prediction literature, which includes standard conformal prediction (CP), weighted conformal prediction…
Conformal prediction (CP) is a framework to quantify uncertainty of machine learning classifiers including deep neural networks. Given a testing example and a trained classifier, CP produces a prediction set of candidate labels with a…
Conformal prediction (CP) for regression can be challenging, especially when the output distribution is heteroscedastic, multimodal, or skewed. Some of the issues can be addressed by estimating a distribution over the output, but in…
The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…
Conformal prediction offers a practical framework for distribution-free uncertainty quantification, providing finite-sample coverage guarantees under relatively mild assumptions on data exchangeability. However, these assumptions cease to…
Robust Markov Decision Processes (MDPs) are receiving much attention in learning a robust policy which is less sensitive to environment changes. There are an increasing number of works analyzing sample-efficiency of robust MDPs. However,…