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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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127254380507 · May 202619922001200920182026
48 results for Markov Structure

This paper reviews recent advances in Bayesian nonparametric techniques for constructing and performing inference in infinite hidden Markov models. We focus on variants of Bayesian nonparametric hidden Markov models that enhance a posteriori state-persistence in particular. This paper also introduces a new Bayesian non…

2014-06-30abs ↗pdf ↗

Framework integrates Markov and causal models for accurate counterfactual inference.

problem Lack of counterfactual inference in Markov models and identification in causal models.
method Defines structural causal models in terms of Markov process parameters and equilibrium dynamics, enabling consistent counterfactual inference.
result Proposed framework alleviates identifiability issues and improves accuracy of counterfactual inference.

Generalizes bits back coding for time-series models with latent Markov structures.

problem Efficiently compressing time-series data with latent Markov structures.
method Extends bits back coding to time-series models with latent Markov structures, including HMMs and LGSSMs.
result Effective for small scale models, promising for larger scale settings like video compression.

A new heuristic for learning Markov network structure efficiently.

problem Complications in learning Markov networks, especially intractable computations and large parameter space.
method A computationally tractable greedy heuristic to limit the number of parameters.
result The method performs comparably well to state-of-the-art methods on real datasets.

Modeling financial institution dependence structures for systemic risk.

problem Understanding and measuring systemic risk in financial systems.
method Dynamic model of dependence structure using Markov structures of joint credit migrations.
result Different Markov structures with distinct dependence structures lead to varying systemic instability.

New insights into Markov chain geometry via positive transition measures.

problem Lack of statistical meaning in the space of transition probabilities.
method Constructing an extension of the space of transition probabilities using Amari's theory of positive measures.
result Introduction of a new dually flat structure for the space of positive transition measures.

Generalized Precision Matrix for scalable estimation of nonparametric Markov networks.

problem Estimating conditional independence structure in general distributions for all data types.
method Generalized Precision Matrix (GPM) for mixed-type variables, regularized score matching framework for scalability.
result Validated theoretical results and demonstrated scalability in various settings.

A new sampler improves the inference of causal structures from observational data.

problem Inferring causal relationships from observational data when DAGs are Markov equivalent.
method Developed a non-reversible Markov chain, Causal Zig-Zag sampler, targeting Markov Equivalence Classes of DAGs.
result The sampler improves mixing and offers efficient algorithms for DAG inference.

Max-min margin Markov networks improve consistency in structured prediction.

problem Statistical inconsistency in max-margin methods for structured prediction.
method Defining a max-min margin formulation to overcome statistical inconsistency.
result Proves consistency and provides an explicit algorithm with finite sample generalization bounds.

Neural Markov models improve time series analysis by balancing deep learning and classical models.

problem Modeling non-stationary time series with high data sparsity.
method Hybrid approach using neural networks to parameterize stochastic matrices, estimating time-inhomogeneous Markov chains.
result Reduction of Chapman-Kolmogorov discrepancy and superior likelihood in financial markets.

We investigate probabilistic graphical models that allow for both cycles and latent variables. For this we introduce directed graphs with hyperedges (HEDGes), generalizing and combining both marginalized directed acyclic graphs (mDAGs) that can model latent (dependent) variables, and directed mixed graphs (DMGs) that c…

2017-10-24abs ↗pdf ↗

The paper constructs Markov partitions for geodesic flow on hyperbolic surfaces.

problem Understanding Markov partitions for general hyperbolic flows.
method Rigorous construction of Markov partitions for geodesic flow on Riemann surfaces of constant negative curvature.
result Explicit forms of rectangles and local cross sections provided for the geodesic flow.

In this paper, we present a novel and general framework called {\it Maximum Entropy Discrimination Markov Networks} (MaxEnDNet), which integrates the max-margin structured learning and Bayesian-style estimation and combines and extends their merits. Major innovations of this model include: 1) It generalizes the extant …

2009-01-18abs ↗pdf ↗

A new metric based on hitting probabilities for directed graphs and Markov chains.

problem Lack of metrics specifically adapted to asymmetric structure of directed graphs and Markov chains.
method Metric based on hitting probabilities, insensitive to shortest and average walk distances.
result New structural theory of directed graphs and utility for various applications.

The paper defines conditions for learning causal graphs from data with unobserved variables.

problem Learning causal graphs from data with unobserved variables.
method Formalizes constraint-based structure learning algorithms under conditions and assumptions.
result Natural family of algorithms output Markov equivalent graphs to the causal graph under faithfulness assumption.

Kernel density estimators enhance Markov models with hidden states for complex data.

problem Modeling complex, non-Markovian processes with short-term dependencies.
method Kernel Density Estimation (KDE) for conditional distributions, hidden states for long-term dependencies.
result KDE-HMMs outperform traditional models on held-out data.

Paper relaxes faithfulness assumption for MB discovery in k-order Markov blanket.

problem Learning graphical Markov blanket from data under faithfulness assumption violations.
method k-order relaxation of faithfulness assumption; k-OMB algorithm.
result k-OMB recovers MB under true and empirical faithfulness violations.

Learning Markov blanket (MB) structures has proven useful in performing feature selection, learning Bayesian networks (BNs), and discovering causal relationships. We present a formula for efficiently determining the number of MB structures given a target variable and a set of other variables. As expected, the number of…

2014-07-09abs ↗pdf ↗

A new estimator for state values in reinforcement learning reduces complexity and improves convergence.

problem Estimating state values in reinforcement learning with Markov reward processes.
method Loop estimator exploiting regenerative structure of Markov reward processes.
result Instance-dependent convergence rate of O~(τs/T)\widetilde{O}\left(\sqrt{τ_s/T}\right) for estimating state values.

New method identifies nonstationary causal structures in time series data.

problem Identifying causal relationships in time series data that change over time.
method High-order Markov Switching Models for regime-dependent causal discovery.
result Scalable approach for estimating high-order regime-dependent causal structures.

There is an increasing demand for computing the relevant structures, equilibria and long-timescale kinetics of biomolecular processes, such as protein-drug binding, from high-throughput molecular dynamics simulations. Current methods employ transformation of simulated coordinates into structural features, dimension red…

2017-10-16abs ↗pdf ↗

In this paper, we propose a simple, versatile model for learning the structure and parameters of multivariate distributions from a data set. Learning a Markov network from a given data set is not a simple problem, because Markov networks rigorously represent Markov properties, and this rigor imposes complex constraints…

2012-06-17abs ↗pdf ↗

Differentiable structure learning addresses DAGs with multiple global minimizers.

problem Identify the true DAG from global minimizers of acyclicity-constrained optimization problems.
method Carefully regularize the likelihood to identify the sparsest model in the Markov equivalence class.
result Regularization of the likelihood defines a score that identifies the sparsest model in general models and likelihoods.

Markov networks are extensively used to model complex sequential, spatial, and relational interactions in a wide range of fields. By learning the structure of independences of a domain, more accurate joint probability distributions can be obtained for inference tasks or, more directly, for interpreting the most signifi…

2016-08-08abs ↗pdf ↗

Algorithm finds ε-equilibrium policies for multi-agent Markov games with hidden low-rank structure.

problem Designing efficient algorithms for multi-agent Markov games with unknown representation and hidden low-rank structure.
method Model-based and model-free approaches using representation learning to construct an effective representation from data.
result Achieves poly(H,d,A,1/ε)(H,d,A,1/\varepsilon) sample complexity for both model-based and model-free approaches.

Pairwise methods outperform pseudo-likelihood in high-dimensional Markov network structure learning.

problem Learning the structure of high-dimensional binary pairwise Markov networks.
method Comparison of pseudo-likelihood and pairwise methods on binary pairwise Markov networks.
result Pairwise methods can be more accurate than pseudo-likelihood methods in high-dimensional settings.

Privacy constraints affect learning Markov Random Fields differently.

problem Learning Markov Random Fields under differential privacy constraints.
method Algorithms for structure and parameter learning under pure, concentrated, and approximate differential privacy.
result Privacy constraints impose a strong separation between structure and parameter learning in high-dimensional data.

Model reduction of Markov processes is a basic problem in modeling state-transition systems. Motivated by the state aggregation approach rooted in control theory, we study the statistical state compression of a discrete-state Markov chain from empirical trajectories. Through the lens of spectral decomposition, we study…

2018-02-08abs ↗pdf ↗

Study minimax optimal RL in factored MDPs with bonus exploration.

problem Optimal reinforcement learning in episodic factored MDPs.
method Proposes two model-based algorithms with bonus exploration for minimax optimal regret.
result Achieves minimax optimal regret guarantees for rich factored structures.

We present two algorithms for learning the structure of a Markov network from data: GSMN* and GSIMN. Both algorithms use statistical independence tests to infer the structure by successively constraining the set of structures consistent with the results of these tests. Until very recently, algorithms for structure lear…

2014-01-15abs ↗pdf ↗

Markov logic networks (MLNs) reconcile two opposing schools in machine learning and artificial intelligence: causal networks, which account for uncertainty extremely well, and first-order logic, which allows for formal deduction. An MLN is essentially a first-order logic template to generate Markov networks. Inference …

2016-11-24abs ↗pdf ↗

In this paper, we present a simple non-parametric method for learning the structure of undirected graphs from data that drawn from an underlying unknown distribution. We propose to use Brownian distance covariance to estimate the conditional independences between the random variables and encodes pairwise Markov graph. …

2012-06-27abs ↗pdf ↗

Efficient variance reduction for Markov chains using martingale representations.

problem Reducing variance in estimating additive functionals of Markov chains.
method A novel discrete time martingale representation approach for variance reduction.
result The proposed method achieves a lower cost-to-variance product than the naive approach.