相关论文: Multivariate Self-Exciting Processes with Dependen…

Prediction of events such as part replacement and failure events plays a critical role in reliability engineering. Event stream data are commonly observed in manufacturing and teleservice systems. Designing predictive models for individual…

We propose two novel ways of introducing dependence among Poisson counts through the use of latent variables in a three levels hierarchical model. Marginal distributions of the random variables of interest are Poisson with strict…

Modified policy iteration (MPI) is a dynamic programming algorithm that combines elements of policy iteration and value iteration. The convergence of MPI has been well studied in the context of discounted and average-cost MDPs. In this…

The Poisson multinomial distribution (PMD) describes the distribution of the sum of $n$ independent but non-identically distributed random vectors, in which each random vector is of length $m$ with 0/1 valued elements and only one of its…

Counting experiments often rely on Monte Carlo simulations for predictions of Poisson expectations. The accompanying uncertainty from the finite Monte Carlo sample size can be incorporated into parameter estimation by modifying the Poisson…

We propose a constructive approach to building temporal point processes that incorporate dependence on their history. The dependence is modeled through the conditional density of the duration, i.e., the interval between successive event…

McKean-Vlasov stochastic differential equations (MVSDEs) describe systems whose dynamics depend on both individual states and the population distribution, and they arise widely in neuroscience, finance, and epidemiology. In many…

Reinforcement learning algorithms are typically designed for generic Markov Decision Processes (MDPs), where any state-action pair can lead to an arbitrary transition distribution. In many practical systems, however, only a subset of the…

Markov decision processes (MDPs) with multi-dimensional weights are useful to analyze systems with multiple objectives that may be conflicting and require the analysis of trade-offs. We study the complexity of percentile queries in such…

Generating multivariate Poisson data is essential in many applications. Current simulation methods suffer from limitations ranging from computational complexity to restrictions on the structure of the correlation matrix. We propose a…

Suppose that a compound Poisson process is observed discretely in time and assume that its jump distribution is supported on the set of natural numbers. In this paper we propose a non-parametric Bayesian approach to estimate the intensity…

In order to better model high-dimensional sequential data, we propose a collaborative multi-output Gaussian process dynamical system (CGPDS), which is a novel variant of GPDSs. The proposed model assumes that the output on each dimension is…

We consider Markov decision processes (MDPs) which are a standard model for probabilistic systems. We focus on qualitative properties for MDPs that can express that desired behaviors of the system arise almost-surely (with probability 1) or…

In this paper, we investigate a class of multiscale McKean-Vlasov stochastic systems, where the entire system depends on the distributions of both fast and slow components. First of all, by applying the Poisson equation method, we prove…

Efforts to model viral cascades provide a vital view into how they form and spread. A range of methods, such as Multivariate Hawkes Processes or network inference algorithms, attempt to decompose cascades into constituent components via…

In this paper, by introducing a new type asymptotic coupling by reflection, we explore the long time behavior of random probability measure flows associated with a large class of one-dimensional McKean-Vlasov SDEs with common noise.…

Multi-dimensional classification (MDC) is the supervised learning problem where an instance is associated with multiple classes, rather than with a single class, as in traditional classification problems. Since these classes are often…

Markov decision process over vector addition system with states (VASS MDP) is a finite state model combining non-deterministic and probabilistic behavior, augmented with non-negative integer counters that can be incremented or decremented…

The goal of this paper is to analyse the asymptotic behavior of the cycle process and the total number of cycles of weighted and generalized weighted random permutations which are relevant models in physics and which extend the Ewens…

This paper is devoted to the multivariate estimation of a vector of Poisson means. A novel loss function that penalises bad estimates of each of the parameters and the sum (or equivalently the mean) of the parameters is introduced. Under…