We consider the problem of how to optimize multi-stage campaigning over social networks. The dynamic programming framework is employed to balance the high present reward and large penalty on low future outcome in the presence of extensive uncertainties. In particular, we establish theoretical foundations of optimal campaigning over social networks where the user activities are modeled as a multivariate Hawkes process, and we derive a time dependent linear relation between the intensity of exogenous events and several commonly used objective functions of campaigning. We further develop a convex dynamic programming framework for determining the optimal intervention policy that prescribes the required level of external drive at each stage for the desired campaigning result. Experiments on both synthetic data and the real-world MemeTracker dataset show that our algorithm can steer the user activities for optimal campaigning much more accurately than baselines.
Existing work in stochastic optimal control includes jump diffusion stochastic differential equations (SDE) @cite_34 @cite_18 which focuses on controlling the SDEs with the jump term driven by Poisson processes not for Hawkes processes. Inspired by the opinion dynamics model proposed in @cite_1 , the authors in @cite_32 proposes a multivariate jump diffusion process framework for modeling opinion dynamics over networks and determining the control over such networks.
@cite_18 @cite_34 @cite_1 @cite_32
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We present a novel approach to inference in conditionally Gaussian continuous time stochastic processes, where the latent process is a Markovian jump process. We first consider the case of jump-diffusion processes, where the drift of a linear stochastic differential equation can jump at arbitrary time points. We derive partial differential equations for exact inference and present a very efficient mean field approximation. By introducing a novel lower bound on the free energy, we then generalise our approach to Gaussian processes with arbitrary covariance, such as the non-Markovian RBF covariance. We present results on both simulated and real data, showing that the approach is very accurate in capturing latent dynamics and can be useful in a number of real data modelling tasks. This paper integrates recent work on Path Integral (PI) and Kullback Leibler (KL) divergence stochastic optimal control theory with earlier work on risk sensitivity and the fundamental dualities between free energy and relative entropy. We derive the path integral optimal control framework and its iterative version based on the aforemetioned dualities. The resulting formulation of iterative path integral control is valid for general feedback policies and in contrast to previous work, it does not rely on pre-specified policy parameterizations. The derivation is based on successive applications of Girsanov's theorem and the use of Radon-Nikodým derivative as applied to diffusion processes due to the change of measure in the stochastic dynamics. We compare the PI control derived based on Dynamic Programming with PI based on the duality between free energy and relative entropy. Moreover we extend our analysis on the applicability of the relationship between free energy and relative entropy to optimal control of markov jump diffusions processes. Furthermore, we present the links between KL stochastic optimal control and the aforementioned dualities and discuss its generalizability. WINNER of a Riskbook.com Best of 2004 Book Award!During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Levy processes are beyond their reach.Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.Topics covered in this book include: jump-diffusion models, Levy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations. Introduction 1 Review of Continuous Time Models 1.1 Martingales and Martingale Inequalities 1.2 Stochastic Integration 1.3 Stochastic Differential Equations: Diffusions 1.4 Reflected Diffusions 1.5 Processes with Jumps 2 Controlled Markov Chains 2.1 Recursive Equations for the Cost 2.2 Optimal Stopping Problems 2.3 Discounted Cost 2.4 Control to a Target Set and Contraction Mappings 2.5 Finite Time Control Problems 3 Dynamic Programming Equations 3.1 Functionals of Uncontrolled Processes 3.2 The Optimal Stopping Problem 3.3 Control Until a Target Set Is Reached 3.4 A Discounted Problem with a Target Set and Reflection 3.5 Average Cost Per Unit Time 4 Markov Chain Approximation Method: Introduction 4.1 Markov Chain Approximation 4.2 Continuous Time Interpolation 4.3 A Markov Chain Interpolation 4.4 A Random Walk Approximation 4.5 A Deterministic Discounted Problem 4.6 Deterministic Relaxed Controls 5 Construction of the Approximating Markov Chains 5.1 One Dimensional Examples 5.2 Numerical Simplifications 5.3 The General Finite Difference Method 5.4 A Direct Construction 5.5 Variable Grids 5.6 Jump Diffusion Processes 5.7 Reflecting Boundaries 5.8 Dynamic Programming Equations 5.9 Controlled and State Dependent Variance 6 Computational Methods for Controlled Markov Chains 6.1 The Problem Formulation 6.2 Classical Iterative Methods 6.3 Error Bounds 6.4 Accelerated Jacobi and Gauss-Seidel Methods 6.5 Domain Decomposition 6.6 Coarse Grid-Fine Grid Solutions 6.7 A Multigrid Method 6.8 Linear Programming 7 The Ergodic Cost Problem: Formulation and Algorithms 7.1 Formulation of the Control Problem 7.2 A Jacobi Type Iteration 7.3 Approximation in Policy Space 7.4 Numerical Methods 7.5 The Control Problem 7.6 The Interpolated Process 7.7 Computations 7.8 Boundary Costs and Controls 8 Heavy Traffic and Singular Control 8.1 Motivating Examples &nb A method is developed for incorporating diffusion of chemicals in complex geometries into stochastic chemical kinetics simulations. Systems are modeled using the reaction-diffusion master equation, with jump rates for diffusive motion between mesh cells calculated from the discretization weights of an embedded boundary method. Since diffusive jumps between cells are treated as first order reactions, individual realizations of the stochastic process can be created by the Gillespie method. Numerical convergence results for the underlying embedded boundary method, and for the stochastic reaction-diffusion method, are presented in two dimensions. A two-dimensional model of transcription, translation, and nuclear membrane transport in eukaryotic cells is presented to demonstrate the feasibility of the method in studying cell-wide biological processes. We show that the stochastic differential equation (SDE) model for the merger of two identical two-dimensional vortices proposed by Agullo and Verga [“Exact two vortices solution of Navier–Stokes equation,” Phys. Rev. Lett. 78, 2361 (1997)] is a special case of a more general class of SDE models for N interacting vortex filaments. These toy models include vorticity diffusion via a white noise forcing of the inviscid equations, and thus extend inviscid models to include core dynamics and topology change (e.g., merger in two dimensions and vortex reconnection in three dimensions). We demonstrate that although the N=2 two-dimensional model is qualitatively and quantitatively incorrect, it can be dramatically improved by accounting for self-advection. We then extend the two-dimensional SDE model to three dimensions using the semi-inviscid asymptotic approximation of [“Simplified equations for the interactions of nearly parallel vortex filaments,” J. Fluid Mech. 288, 201 (1995)] for nearly parallel... In a document network such as a citation network of scientific documents, web-logs, etc., the content produced by authors exhibits their interest in certain topics. In addition some authors influence other authors' interests. In this work, we propose to model the influence of cited authors along with the interests of citing authors. Moreover, we hypothesize that apart from the citations present in documents, the context surrounding the citation mention provides extra topical information about the cited authors. However, associating terms in the context to the cited authors remains an open problem. We propose novel document generation schemes that incorporate the context while simultaneously modeling the interests of citing authors and influence of the cited authors. Our experiments show significant improvements over baseline models for various evaluation criteria such as link prediction between document and cited author, and quantitatively explaining unseen text. We investigate the importance of diffusion and jumps in a new model for asset returns. In contrast to standard models, we allow for jump components displaying finite or infinite activity and variation. Empirical investigations of time series indicate that index dynamics are devoid of a diffusion component, which may be present in the dynamics of individual stocks. This leads to the conjecture, confirmed on options data, that the risk-neutral process should be free of a diffusion component. We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation. Preface to the first edition. Preface to the second edition. Abbreviated references. I. Stochastic variables. II. Random events. III. Stochastic processes. IV. Markov processes. V. The master equation. VI. One-step processes. VII. Chemical reactions. VIII. The Fokker-Planck equation. IX. The Langevin approach. X. The expansion of the master equation. XI. The diffusion type. XII. First-passage problems. XIII. Unstable systems. XIV. Fluctuations in continuous systems. XV. The statistics of jump events. XVI. Stochastic differential equations. XVII. Stochastic behavior of quantum systems. Scholars are increasingly citing electronic “web references” which are not preserved in libraries or full text archives. WebCite is a new standard for citing web references. To “webcite” a document involves archiving the cited Web page through www.webcitation.org and citing the WebCite permalink instead of (or in addition to) the unstable live Web page. This journal has amended its “instructions for authors” accordingly, asking authors to archive cited Web pages before submitting a manuscript. Almost 200 other journals are already using the system. We discuss the rationale for WebCite, its technology, and how scholars, editors, and publishers can benefit from the service. Citing scholars initiate an archiving process of all cited Web references, ideally before they submit a manuscript. Authors of online documents and websites which are expected to be cited by others can ensure that their work is permanently available by creating an archived copy using WebCite and providing the citation information including the WebCite link on their Web document(s). Editors should ask their authors to cache all cited Web addresses (Uniform Resource Locators, or URLs) “prospectively” before submitting their manuscripts to their journal. Editors and publishers should also instruct their copyeditors to cache cited Web material if the author has not done so already. Finally, WebCite can process publisher submitted “citing articles” (submitted for example as eXtensible Markup Language [XML] documents) to automatically archive all cited Web pages shortly before or on publication. Finally, WebCite can act as a focussed crawler, caching retrospectively references of already published articles. Copyright issues are addressed by honouring respective Internet standards (robot exclusion files, no-cache and no-archive tags). Long-term preservation is ensured by agreements with libraries and digital preservation organizations. The resulting WebCite Index may also have applications for research assessment exercises, being able to measure the impact of Web services and published Web documents through access and Web citation metrics. @PARASPLIT [J Med Internet Res 2005;7(5):e60] Models defined by stochastic differential equations (SDEs) allow for the representation of random variability in dynamical systems. The relevance of this class of models is growing in many applied research areas and is already a standard tool to model, for example, financial, neuronal, and population growth dynamics. However, inference for multidimensional SDE models is still very challenging, both computationally and theoretically. Approximate Bayesian computation (ABC) allows to perform Bayesian inference for models which are sufficiently complex that the likelihood function is either analytically unavailable or computationally prohibitive to evaluate. A computationally efficient ABC-MCMC algorithm is proposed, halving the running time in our simulations. Focus here is on the case where the SDE describes latent dynamics in state-space models; however, the methodology is not limited to the state-space framework. We consider simulation studies for a pharmacokinetics pharmacodynamics model and for stochast... Inspired by how humans learn dynamic motor skills through a progressive process of coaching and practices, we introduce an intuitive and interactive framework for developing dynamic controllers. The user only needs to provide a primitive initial controller and high-level, human-readable instructions as if s he is coaching a human trainee, while the character has the ability to interpret the abstract instructions, accumulate the knowledge from the coach, and improve its skill iteratively. We introduce “control rigs” as an intermediate layer of control module to facilitate the mapping between high-level instructions and low-level control variables. Control rigs also utilize the human coach's knowledge to reduce the search space for control optimization. In addition, we develop a new sampling-based optimization method, Covariance Matrix Adaptation with Classification (CMA-C), to efficiently compute-control rig parameters. Based on the observation of human ability to “learn from failure”, CMA-C utilizes the failed simulation trials to approximate an infeasible region in the space of control rig parameters, resulting a faster convergence for the CMA optimization. We demonstrate the design process of complex dynamic controllers using our framework, including precision jumps, turnaround jumps, monkey vaults, drop-and-rolls, and wall-backflips. In the model for continuous opinion dynamics introduced by Hegselmann and Krause, each individual moves to the average opinion of all individuals within an area of confidence. In this work we study the effects of noise in this system. With certain probability, individuals are given the opportunity to change spontaneously their opinion to another one selected randomly inside the opinion space with different rules. If the random jump does not occur, individuals interact through the Hegselmann-Krause’s rule. We analyze two cases, one where individuals can carry out opinion random jumps inside the whole opinion space, and other where they are allowed to perform jumps just inside a small interval centered around the current opinion. We found that these opinion random jumps change the model behavior inducing interesting phenomena. Using pattern formation techniques, we obtain approximate analytical results for critical conditions of opinion cluster formation. Finally, we compare the results of this work with the noisy version of the model [G. Deffuant, D. Neu, F. Amblard, G. Weisbuch, Adv. Compl. Syst. 3, 87 (2000)] for continuous-opinion dynamics. Copyright EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2013 Abstract The hybrid χ (Chi) formalism integrates concepts from dynamics and control theory with concepts from computer science, in particular from process algebra and hybrid automata. It integrates ease of modeling with a straightforward, structured operational semantics. Its ‘consistent equation semantics’ enforces state changes to be consistent with delay predicates, that combine the invariant and flow clauses of hybrid automata. Ease of modeling is ensured by means of the following concepts: (1) different classes of variables: discrete and continuous, of subclass jumping or non-jumping, and algebraic; (2) strong time determinism of alternative composition in combination with delayable guards; (3) integration of urgent and non-urgent actions; (4) differential algebraic equations as a process term as in mathematics; (5) steady-state initialization; and 6) several user-friendly syntactic extensions. Furthermore, the χ formalism incorporates several concepts for complex system specification: (1) process terms for scoping that integrate abstraction, local variables, local channels and local recursion definitions; (2) process definition and instantiation that enable process re-use, encapsulation, hierarchical and or modular composition of processes; and (3) different interaction mechanisms: handshake synchronization and synchronous communication that allow interaction between processes without sharing variables, and shared variables that enable modular composition of continuous-time or hybrid processes. The syntax and semantics are illustrated using several examples. Discrete time analogues of ergodic stochastic differential equations (SDEs) are one of the most popular and flexible tools for sampling high-dimensional probability measures. Non-asymptotic analysis in the @math Wasserstein distance of sampling algorithms based on Euler discretisations of SDEs has been recently developed by several authors for log-concave probability distributions. In this work we replace the log-concavity assumption with a log-concavity at infinity condition. We provide novel @math convergence rates for Euler schemes, expressed explicitly in terms of problem parameters. From there we derive non-asymptotic bounds on the distance between the laws induced by Euler schemes and the invariant laws of SDEs, both for schemes with standard and with randomised (inaccurate) drifts. We also obtain bounds for the hierarchy of discretisation, which enables us to deploy a multi-level Monte Carlo estimator. Our proof relies on a novel construction of a coupling for the Markov chains that can be used to control both the @math and @math Wasserstein distances simultaneously. Finally, we provide a weak convergence analysis that covers both the standard and the randomised (inaccurate) drift case. In particular, we reveal that the variance of the randomised drift does not influence the rate of weak convergence of the Euler scheme to the SDE. The varied and complex dynamics of deformable terrain are significant impediments toward real-world viability of locomotive robotics, particularly for legged machines. We explore vertical jumping on granular media (GM) as a model task for legged locomotion on uncharacterized deformable terrain. By integrating (Gaussian process) GP-based regression and evaluation to estimate ground forcing as a function of state, a one-dimensional jumper acquires the ability to learn forcing profiles exerted by its environment in tandem to achieving its control objective. The GP-based dynamical model initially assumes a baseline rigid, non-compliant surface. As part of an iterative procedure, the optimizer employing this model generates an optimal control to achieve a target jump height while respecting known hardware limitations of the robot model. Trajectory and forcing data recovered from evaluation on the true GM surface model simulation is applied to train the GP, and in turn, provide the optimizer a more richly informed dynamical model of the environment. After three iterations, predicted optimal control trajectories coincide with execution results, within 1.2 jumping height error, as the GP-based approximation converges to the true GM model. In many stochastic models, particularly in queueing theory, Poisson arrivals both observe (see) a stochastic process and interact with it. In particular cases and or under restrictive assumptions it has been shown that the fraction of arrivals that see the process in some state is equal to the fraction of time the process is in that state. In this paper, we present a proof of this result under one basic assumption: the process being observed cannot anticipate the future jumps of the Poisson process. This paper proposes evolutionary wall-following control of a mobile robot using an interval type-2 fuzzy controller (IT2FC) with species-differential-evolution-activated continuous ant colony optimization (SDE-CACO). Both the position and speed of a mobile robot are controlled by using two IT2FCs to improve noise resistance ability. A new cost function is defined to accurately evaluate the wall-following performance of an evolutionary IT2FC. A two-stage training approach is proposed that learns a position IT2FC followed by a speed IT2FC to optimize both the wall-following accuracy and the moving speed. The proposed learning approach avoids the time consuming task of the exhaustive collection of supervised input-output training pairs. All fuzzy rules are generated online using a clustering-based approach during the evolutionary learning process. All of the free parameters in an online-generated IT2FC are optimized using SDE-CACO, in which an SDE mutation operation is incorporated within a continuous ACO to improve its explorative ability. The proposed SDE-CACO is compared with various population-based optimization algorithms to demonstrate its efficiency and effectiveness in the wall-following control problem. This study also includes experiments that demonstrate wall-following control utilizing a real mobile robot. Many dynamic systems in physics, chemistry, biology, engineering, and information science have impulsive dynamical behaviors due to abrupt jumps at certain instants during the dynamical processes. These complex dynamic behaviors can be modeled by impulsive differential systems. This paper studies the controllability and observability for a class of time-varying impulsive control systems. Several sufficient and necessary conditions for state controllability and state observability of such systems are established and the corresponding criteria for time-invariant impulsive control systems are also obtained. Meanwhile, several new results associated with variation of parameters for time-varying impulsive control systems are derived. Diffusion processes governed by stochastic differential equations (SDEs) are a well-established tool for modelling continuous time data from a wide range of areas. Consequently, techniques have been developed to estimate diffusion parameters from partial and discrete observations. Likelihood-based inference can be problematic as closed form transition densities are rarely available. One widely used solution involves the introduction of latent data points between every pair of observations to allow a Euler-Maruyama approximation of the true transition densities to become accurate. In recent literature, Markov chain Monte Carlo (MCMC) methods have been used to sample the posterior distribution of latent data and model parameters; however, naive schemes suffer from a mixing problem that worsens with the degree of augmentation. A global MCMC scheme that can be applied to a large class of diffusions and whose performance is not adversely affected by the number of latent values is therefore explored. The methodology is illustrated by estimating parameters governing an auto-regulatory gene network, using partial and discrete data that are subject to measurement error.