Related papers: Progressive Gaussian Filtering
We study asymptotic frequentist coverage and approximately Gaussian properties of Bayes posterior credible sets in nonlinear inverse problems when a Gaussian prior is placed on the parameter of the PDE. The aim is to ensure valid…
A Gaussian filter is a filter with impulse response of Gaussian function. These filters are useful in image processing of 2D signals, as it removes unnecessary noise. Also, they could be helpful for data transmission (e.g. GMSK modulation).…
Bayesian methods are appealing in their flexibility in modeling complex data and ability in capturing uncertainty in parameters. However, when Bayes' rule does not result in tractable closed-form, most approximate inference algorithms lack…
Bayesian estimation strategies represent the most fundamental formulation of the state estimation problem available, and apply readily to nonlinear systems with non-Gaussian uncertainties. The present paper introduces a novel method for…
We consider optimization of composite objective functions, i.e., of the form $f(x)=g(h(x))$, where $h$ is a black-box derivative-free expensive-to-evaluate function with vector-valued outputs, and $g$ is a cheap-to-evaluate real-valued…
Inverse problems are prevalent in both scientific research and engineering applications. In the context of Bayesian inverse problems, sampling from the posterior distribution can be particularly challenging when the forward models are…
We develop a (nearly) unbiased particle filtering algorithm for a specific class of continuous-time state-space models, such that (a) the latent process $X_t$ is a linear Gaussian diffusion; and (b) the observations arise from a Poisson…
Ordinary differential equations (ODEs) are used to model dynamic systems appearing in engineering, physics, biomedical sciences and many other fields. These equations contain unknown parameters, say $\theta$ of physical significance which…
We propose a novel approach for density estimation called histogram trend filtering. Our estimator arises from looking at surrogate Poisson model for counts of observations in a partition of the support of the data. We begin by showing…
The use of Gaussian processes (GPs) is supported by efficient sampling algorithms, a rich methodological literature, and strong theoretical grounding. However, due to their prohibitive computation and storage demands, the use of exact GPs…
We introduce a novel Bayesian approach for variable selection using Gaussian process regression, which is crucial for enhancing interpretability and model regularization. Our method employs nearest neighbor Gaussian processes, serving as…
We propose a surrogate function for efficient yet principled use of score-based priors in Bayesian imaging. We consider ill-posed inverse imaging problems in which one aims for a clean image posterior given incomplete or noisy measurements.…
A key tool for building differentially private systems is adding Gaussian noise to the output of a function evaluated on a sensitive dataset. Unfortunately, using a continuous distribution presents several practical challenges. First and…
Suppose $X_1,\dots, X_n$ is a random sample from a bounded and decreasing density $f_0$ on $[0,\infty)$. We are interested in estimating such $f_0$, with special interest in $f_0(0)$. This problem is encountered in various statistical…
Bayesian design can be used for efficient data collection over time when the process can be described by the solution to an ordinary differential equation (ODE). Typically, Bayesian designs in such settings are obtained by maximising the…
Real-world measurement noise in applications like robotics is often correlated in time, but we typically assume i.i.d. Gaussian noise for filtering. We propose general Gaussian Processes as a non-parametric model for correlated measurement…
The current standard Bayesian approach to model calibration, which assigns a Gaussian process prior to the discrepancy term, often suffers from issues of unidentifiability and computational complexity and instability. When the goal is to…
Approximate Bayesian Computation (ABC) is typically used when the likelihood is either unavailable or intractable but where data can be simulated under different parameter settings using a forward model. Despite the recent interest in ABC,…
We develop the Bayesian Wasserstein repulsive Gaussian mixture model that promotes well-separated clusters. Unlike existing repulsive mixture approaches that focus on separating the component means, our method encourages separation between…
We study the performance of nonparametric Bayes procedures for one-dimensional diffusions with periodic drift. We improve existing convergence rate results for Gaussian process (GP) priors with fixed hyper parameters. Moreover, we exhibit…