相关论文: Tracking Stopping Times Through Noisy Observations

We show that the optimal decision policy for several types of Bayesian sequential detection problems has a threshold switching curve structure on the space of posterior distributions. This is established by using lattice programming and…

In this paper we consider a robot patrolling problem in which events arrive randomly over time at the vertices of a graph. When an event arrives it remains active for a random amount of time. If that time active exceeds a certain threshold,…

An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion of ambiguity attitude, via an $\alpha$-maxmin nonlinear…

We study the tracking problem, namely, estimating the hidden state of an object over time, from unreliable and noisy measurements. The standard framework for the tracking problem is the generative framework, which is the basis of solutions…

Change points in real-world systems mark significant regime shifts in system dynamics, possibly triggered by exogenous or endogenous factors. These points define regimes for the time evolution of the system and are crucial for understanding…

We provide a characterization of an optimal stopping time for a class of finite horizon time-inconsistent optimal stopping problems (OSPs) of mean-field type, adapted to the Brownian filtration, including those related to mean-field…

A method is proposed to generate an optimal fit of a number of connected linear trend segments onto time-series data. To be able to efficiently handle many lines, the method employs a stochastic search procedure to determine optimal…

Traditional epidemic detection algorithms make decisions using only local information. We propose a novel approach that explicitly models spatial information fusion from several metapopulations. Our method also takes into account…

In this paper, we study the optimal stopping problem in the so-called exploratory framework, in which the agent takes actions randomly conditioning on current state and an entropy-regularized term is added to the reward functional. Such a…

We consider string matching with variable length gaps. Given a string $T$ and a pattern $P$ consisting of strings separated by variable length gaps (arbitrary strings of length in a specified range), the problem is to find all ending…

We derive an optimal policy for adaptively restarting a randomized algorithm, based on observed features of the run-so-far, so as to minimize the expected time required for the algorithm to successfully terminate. Given a suitable Bayesian…

The maximum common subtree isomorphism problem asks for the largest possible isomorphism between subtrees of two given input trees. This problem is a natural restriction of the maximum common subgraph problem, which is ${\sf NP}$-hard in…

Addressing safe and efficient interaction between connected and automated vehicles (CAVs) and human-driven vehicles in a mixed-traffic environment has attracted considerable attention. In this paper, we develop a framework for stochastic…

Motivated by robotic surveillance applications, this paper studies the novel problem of maximizing the return time entropy of a Markov chain, subject to a graph topology with travel times and stationary distribution. The return time entropy…

We give a new technique to analyze the stopping time of gossip protocols that are based on random linear network coding (RLNC). Our analysis drastically simplifies, extends and strengthens previous results. We analyze RLNC gossip in a…

Let $X=(X_t)_{t\geq 0}$ be a known process and $T$ an unknown random time independent of $X$. Our goal is to derive the distribution of $T$ based on an iid sample of $X_T$. Belomestny and Schoenmakers (2015) propose a solution based the…

We consider the problem of change-point detection in multivariate time-series. The multivariate distribution of the observations is supposed to follow a graphical model, whose graph and parameters are affected by abrupt changes throughout…

We provide an overview of the state-of-the-art in the area of sequential change-point detection assuming discrete time and known pre- and post-change distributions. The overview spans over all major formulations of the underlying…

We consider an integer-valued time series $Y=(Y_t)_{t\in\Z}$ where the models after a time $k^*$ is Poisson autoregressive with the conditional mean that depends on a parameter $\theta^*\in\Theta\subset\R^d$. The structure of the process…

We consider the offline change point detection and localization problem in the context of piecewise stationary networks, where the observable is a finite sequence of networks. We develop algorithms involving some suitably modified CUSUM…