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We present new algorithms and fast implementations to find efficient approximations for modelling stochastic processes. For many numerical computations it is essential to develop finite approximations for stochastic processes. While the…

Optimization and Control · Mathematics 2020-12-03 Kipngeno Benard Kirui , Georg Ch. Pflug , Alois Pichler

Process mining is a scientific discipline that analyzes event data, often collected in databases called event logs. Recently, uncertain event logs have become of interest, which contain non-deterministic and stochastic event attributes that…

Artificial Intelligence · Computer Science 2022-04-05 Marco Pegoraro , Bianka Bakullari , Merih Seran Uysal , Wil M. P. van der Aalst

The smoothing distribution is the conditional distribution of the diffusion process in the space of trajectories given noisy observations made continuously in time. It is generally difficult to sample from this distribution. We use the…

Probability · Mathematics 2025-03-07 Oskar Eklund , Annika Lang , Moritz Schauer

Diffusion models, a powerful and universal generative AI technology, have achieved tremendous success in computer vision, audio, reinforcement learning, and computational biology. In these applications, diffusion models provide flexible…

Machine Learning · Computer Science 2024-04-12 Minshuo Chen , Song Mei , Jianqing Fan , Mengdi Wang

We provide an example of a distribution preserving source separation method, which aims at addressing perceptual shortcomings of state-of-the-art methods. Our approach uses unconditioned generative models of signal sources. Reconstruction…

Audio and Speech Processing · Electrical Eng. & Systems 2024-09-13 Pedro J. Villasana T. , Janusz Klejsa , Lars Villemoes , Per Hedelin

Continuous time stochastic processes are useful models especially for financial and insurance purposes. The numerical simulation of such models is dependant of the time discrete discretization, of the parametric estimation and of the choice…

Computational Finance · Quantitative Finance 2010-01-13 Frédéric Planchet , Pierre-Emanuel Thérond

This paper gives a method for computing distributions associated with patterns in the state sequence of a hidden Markov model, conditional on observing all or part of the observation sequence. Probabilities are computed for very general…

Methodology · Statistics 2007-12-18 John A. D. Aston , Donald E. K. Martin

A core problem in statistics and probabilistic machine learning is to compute probability distributions and expectations. This is the fundamental problem of Bayesian statistics and machine learning, which frames all inference as…

Machine Learning · Statistics 2024-12-06 Christian A. Naesseth , Fredrik Lindsten , Thomas B. Schön

The existence and uniqueness of the stationary distribution of the numerical solution generated by the stochastic theta method is studied. When the parameter theta takes different values, the requirements on the drift and diffusion…

Numerical Analysis · Mathematics 2018-01-30 Yanan Jiang , Wei Liu , Lihui Weng

Stochastic diffusion is the noisy and uncertain process through which dynamics like epidemics, or agents like animal species, disperse over a larger area. Understanding these processes is becoming increasingly important as we attempt to…

Phylogenetic inference, the task of reconstructing how related sequences evolved from common ancestors, is a central objective in evolutionary genomics. The current state-of-the-art methods exploit probabilistic models of sequence evolution…

Populations and Evolution · Quantitative Biology 2026-02-19 Luc Blassel , Noémie Sauvage , Pierre Barrat-Charlaix , Bastien Boussau , Nicolas Lartillot , Laurent Jacob

Generative models based on diffusion have become the state of the art in the last few years, notably for image generation. Here, we analyse them in the high-dimensional limit, where data are formed by a very large number of variables. We…

Disordered Systems and Neural Networks · Physics 2023-10-31 Giulio Biroli , Marc Mézard

We provide a computational method for quickly determining the correct distribution of optically active nanoparticles for a desired response. This is achieved by simulating the optical response of single nanoparticles and performing a…

Optics · Physics 2019-01-03 Phillip Manley , Min Song , Sven Burger , Martina Schmid

Probabilistic programs are typically normal-looking programs describing posterior probability distributions. They intrinsically code up randomized algorithms and have long been at the heart of modern machine learning and approximate…

Programming Languages · Computer Science 2023-02-14 Lutz Klinkenberg , Tobias Winkler , Mingshuai Chen , Joost-Pieter Katoen

This paper reviews the checkered history of predictive distributions in statistics and discusses two developments, one from recent literature and the other new. The first development is bringing predictive distributions into machine…

Machine Learning · Computer Science 2017-10-25 Vladimir Vovk , Ilia Nouretdinov , Valery Manokhin , Alex Gammerman

The increased availability of massive data sets provides a unique opportunity to discover subtle patterns in their distributions, but also imposes overwhelming computational challenges. To fully utilize the information contained in big…

Statistics Theory · Mathematics 2018-04-12 Stanislav Volgushev , Shih-Kang Chao , Guang Cheng

A great deal of inference in statistics is based on making the approximation that a statistic is normally distributed. The error in doing so is generally $O(n^{-1/2})$ and can be very considerable when the distribution is heavily biased or…

Methodology · Statistics 2010-09-14 C. S. Withers , S. Nadarajah

Rigorous statistical methods for estimating thermonuclear reaction rates and nucleosynthesis are becoming increasingly established in nuclear astrophysics. The main challenge being faced is that experimental reaction rates are highly…

Nuclear Experiment · Physics 2015-06-22 Christian Iliadis , Richard Longland , Alain Coc , F. X. Timmes , Art E. Champagne

We explain how to use diffusion models to learn inverse renormalization group flows of statistical and quantum field theories. Diffusion models are a class of machine learning models which have been used to generate samples from complex…

High Energy Physics - Theory · Physics 2023-09-07 Jordan Cotler , Semon Rezchikov

Stein's method compares probability distributions through the study of a class of linear operators called Stein operators. While mainly studied in probability and used to underpin theoretical statistics, Stein's method has led to…