Related papers: Asymptotic Stability of the optimal filter for non…
This paper investigates optimal portfolio strategies in a market where the drift is driven by an unobserved Markov chain. Information on the state of this chain is obtained from stock prices and expert opinions in the form of signals at…
Stabilization of non-stationary linear systems over noisy communication channels is considered. Stochastically stable sources, and unstable but noise-free or bounded-noise systems have been extensively studied in information theory and…
Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…
A decision maker records measurements of a finite-state Markov chain corrupted by noise. The goal is to decide when the Markov chain hits a specific target state. The decision maker can choose from a finite set of sampling intervals to pick…
We investigate a remote estimation problem in which a transmitter observes a Markov source and chooses the power level to transmit it over a time-varying packet-drop channel. The channel is modeled as a channel with Markovian state where…
A parameter estimation problem is considered, in which dispersed sensors transmit to the statistician partial information regarding their observations. The sensors observe the paths of continuous semimartingales, whose drifts are linear…
In this paper we develop a nonparametric maximum likelihood estimate of the mixing distribution of the parameters of a linear stochastic dynamical system. This includes, for example, pharmacokinetic population models with process and…
The problem of detection and possible estimation of a signal generated by a dynamic system when a variable number of noisy measurements can be taken is here considered. Assuming a Markov evolution of the system (in particular, the pair…
We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…
Consider a process satisfying a stochastic differential equation with unknown drift parameter, and suppose that discrete observations are given. It is known that a simple least squares estimator (LSE) can be consistent, but numerically…
We study the problem of learning the transition matrices of a set of Markov chains from a single stream of observations on each chain. We assume that the Markov chains are ergodic but otherwise unknown. The learner can sample Markov chains…
We provide a novel method for sensitivity analysis of parametric robust Markov chains. These models incorporate parameters and sets of probability distributions to alleviate the often unrealistic assumption that precise probabilities are…
We combine conditional state density construction with an extension of the Scenario Approach for stochastic Model Predictive Control to nonlinear systems to yield a novel particle-based formulation of stochastic nonlinear output-feedback…
Continuous-time measurements are instrumental for a multitude of tasks in quantum engineering and quantum control, including the estimation of dynamical parameters of open quantum systems monitored through the environment. However, such…
We consider the parameter estimation of Markov chain when the unknown transition matrix belongs to an exponential family of transition matrices. Then, we show that the sample mean of the generator of the exponential family is an…
We establish non-asymptotic error bounds for the classical Maximal Likelihood Estimation of the transition matrix of a given Markov chain. Meanwhile, in the reversible case, we propose a new reversibility-preserving online Symmetric…
The process of dynamic state estimation (filtering) based on point process observations is in general intractable. Numerical sampling techniques are often practically useful, but lead to limited conceptual insight about optimal…
This article is concerned with stability analysis and stabilization of randomly switched nonlinear systems. These systems may be regarded as piecewise deterministic stochastic systems: the discrete switches are triggered by a stochastic…
Bayesian filtering deals with computing the posterior distribution of the state of a stochastic dynamic system given noisy observations. In this paper, motivated by applications in counter-adversarial systems, we consider the following…
This paper considers the problem of randomized influence maximization over a Markovian graph process: given a fixed set of nodes whose connectivity graph is evolving as a Markov chain, estimate the probability distribution (over this fixed…