Reconstructing model parameters in partially-observable discrete stochastic systems

Abstract

The analysis of partially-observable discrete stochastic systems reconstructs the unobserved behavior of real-world systems. An example for such a system is a production facility where indistinguishable items are produced by two machines in stochastically distributed time intervals and are then tested by a single quality tester. Here, the source of each defective item can be reconstructed later based solely on the time-stamped test protocol. While existing algorithms can reconstruct various characteristics of the unobserved behavior, a fully specified discrete stochastic model needs to exist. So far, model parameters themselves cannot be reconstructed. In this paper, we present two new approaches that enable the reconstruction of some unknown parameter values in the model specification, namely constant probabilities. Both approaches are shown to work correctly and with acceptable computational effort. They are a first step towards general model parameter inference for partially-observable discrete stochastic systems. © 2011 Springer-Verlag.