2 papers
stat.ME2019
Learning Markov models via low-rank optimization
Ziwei Zhu, Xudong Li, Mengdi Wang +1
Modeling unknown systems from data is a precursor of system optimization and sequential decision making. In this paper, we focus on learning a Markov model from a single trajectory…
stat.ML2018
Estimation of Markov Chain via Rank-Constrained Likelihood
Xudong Li, Mengdi Wang, Anru Zhang
This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statis…