Related papers: Likelihood-based inference for correlated diffusio…

In this article we consider a Monte Carlo-based method to filter partially observed diffusions observed at regular and discrete times. Given access only to Euler discretizations of the diffusion process, we present a new procedure which can…

Sampling from the posterior is a key technical problem in Bayesian statistics. Rigorous guarantees are difficult to obtain for Markov Chain Monte Carlo algorithms of common use. In this paper, we study an alternative class of algorithms…

Deriving Bayesian inference for exponential random graph models (ERGMs) is a challenging "doubly intractable" problem as the normalizing constants of the likelihood and posterior density are both intractable. Markov chain Monte Carlo (MCMC)…

Tasks such as record linkage and multi-target tracking, which involve reconstructing the set of objects that underlie some observed data, are particularly challenging for probabilistic inference. Recent work has achieved efficient and…

Probabilistic Logic Programming (PLP) languages enable programmers to specify systems that combine logical models with statistical knowledge. The inference problem, to determine the probability of query answers in PLP, is intractable in…

Multifidelity Monte Carlo methods often rely on a preprocessing phase consisting of standard Monte Carlo sampling to estimate correlation coefficients between models of different fidelity to determine the weights and number of samples for…

We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead,…

This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…

Markov Chain Monte Carlo (MCMC) sampling from a posterior distribution corresponding to a massive data set can be computationally prohibitive since producing one sample requires a number of operations that is linear in the data size. In…

Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…

Markov chain Monte Carlo algorithms are used to simulate from complex statistical distributions by way of a local exploration of these distributions. This local feature avoids heavy requests on understanding the nature of the target, but it…

In this paper we build on previous work which uses inferences techniques, in particular Markov Chain Monte Carlo (MCMC) methods, to solve parameterized control problems. We propose a number of modifications in order to make this approach…

A new methodology is presented for the construction of control variates to reduce the variance of additive functionals of Markov Chain Monte Carlo (MCMC) samplers. Our control variates are definedthrough the minimization of the asymptotic…

We study approximations of evolving probability measures by an interacting particle system. The particle system dynamics is a combination of independent Markov chain moves and importance sampling/resampling steps. Under global regularity…

We present a novel technique for the determination of the topological susceptibility (related to the variance of the distribution of global topological charge) from lattice gauge theory simulations, based on maximum-likelihood analysis of…

Bayesian inference of Gibbs random fields (GRFs) is often referred to as a doubly intractable problem, since the likelihood function is intractable. The exploration of the posterior distribution of such models is typically carried out with…

Markov chain Monte Carlo (MCMC) methods provide consistent of integrals as the number of iterations goes to infinity. MCMC estimators are generally biased after any fixed number of iterations. We propose to remove this bias by using…

A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved using the martingale problem framework. Motivations for this scheme come typically…

Reflected diffusions in polyhedral domains are commonly used as approximate models for stochastic processing networks in heavy traffic. Stationary distributions of such models give useful information on the steady state performance of the…

Diffusion models (DMs) have recently shown outstanding capabilities in modeling complex image distributions, making them expressive image priors for solving Bayesian inverse problems. However, most existing DM-based methods rely on…