相关论文: Development of an Algorithm for Identifying Change…

Estimating the transition dynamics of controlled Markov chains is crucial in fields such as time series analysis, reinforcement learning, and system exploration. Traditional non-parametric density estimation methods often assume independent…

Filtering is concerned with the sequential estimation of the state, and uncertainties, of a Markovian system, given noisy observations. It is particularly difficult to achieve accurate filtering in complex dynamical systems, such as those…

Signal-based early detection of illnesses has been a key topic in research and hospital settings; it reduces technological costs and paves the way for quick and effective patient-care operations. Elementary machine learning and signal…

Many real-life dynamical systems change abruptly followed by almost stationary periods. In this paper, we consider streams of data with such abrupt behavior and investigate the problem of tracking their statistical properties in an online…

We consider a dynamic method, based on synchronization and adaptive control, to estimate unknown parameters of a nonlinear dynamical system from a given scalar chaotic time series. We present an important extension of the method when time…

Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…

Mixing of finite time-homogeneous Markov chains is well understood nowadays, with a rich set of techniques to estimate their mixing time. In this paper, we study the mixing time of random walks in dynamic random environments. To that end,…

A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…

Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent…

There is a growing interest in methods for detecting and interpreting changes in experimental time evolution data. Based on measured time series, the quantitative characterization of dynamical phase transitions at bifurcation points of the…

We study the stochastic dynamics of a system of interacting species in a stochastic environment by means of a continuous-time Markov chain with transition rates depending on the state of the environment. Models of gene regulation in systems…

We propose a probabilistic modeling framework for learning the dynamic patterns in the collective behaviors of social agents and developing profiles for different behavioral groups, using data collected from multiple information sources.…

In multi-period stochastic optimization problems, the future optimal decision is a random variable whose distribution depends on the parameters of the optimization problem. We analyze how the expected value of this random variable changes…

We show that nonequilibrium dynamics can play a constructive role in unsupervised machine learning by inducing the spontaneous emergence of latent-state cycles. We introduce a model in which visible and hidden variables interact through two…

A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of distribution which determines the dependency between one…

This article introduces a novel Bayesian method for asynchronous change-point detection in multivariate time series. This method allows for change-points to occur earlier in some (leading) series followed, after a short delay, by…

Sequential (online) change-point detection involves continuously monitoring time-series data and triggering an alarm when shifts in the data distribution are detected. We propose an algorithm for real-time identification of alterations in…

The time variation of contacts in a networked system may fundamentally alter the properties of spreading processes and affect the condition for large-scale propagation, as encoded in the epidemic threshold. Despite the great interest in the…

The purpose of time series analysis via mechanistic models is to reconcile the known or hypothesized structure of a dynamical system with observations collected over time. We develop a framework for constructing nonlinear mechanistic models…

The evolution of many dynamical systems that describe relationships or interactions between objects can be effectively modeled by temporal networks, which are typically represented as a sequence of static network snapshots. In this paper,…