Related papers: Marginalization for rare event simulation in switc…
Although many computational methods for rare event sampling exist, this type of calculation is not usually practical for general nonequilibrium conditions, with macroscopically irreversible dynamics and away from both stationary and…
We consider Lie and Strang splitting for the time integration of constrained partial differential equations with a nonlinear reaction term. Since such systems are known to be sensitive with respect to perturbations, the splitting procedure…
Estimation of finite mixture models when the mixing distribution support is unknown is an important problem. This paper gives a new approach based on a marginal likelihood for the unknown support. Motivated by a Bayesian Dirichlet prior…
In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is based on the criterion of minimizing the variance of the…
We propose a new method for PolSAR (Polarimetric Synthetic Aperture Radar) imagery classification based on stochastic distances in the space of random matrices obeying complex Wishart distributions. Given a collection of prototypes…
The estimation of rare event or failure probabilities in high dimensions is of interest in many areas of science and technology. We consider problems where the rare event is expressed in terms of a computationally costly numerical model.…
We investigate a new sampling scheme aimed at improving the performance of particle filters whenever (a) there is a significant mismatch between the assumed model dynamics and the actual system, or (b) the posterior probability tends to…
Matched filtering is a commonly used technique in gravitational wave searches for signals from compact binary systems and from rapidly rotating neutron stars. A common issue in these searches is dealing with four extrinsic parameters which…
Importance sampling based on quasi-probability decomposition is the backbone of many widely used techniques, such as error mitigation, circuit knitting, and, more generally, virtual quantum resource distillation, as it allows one to…
Transitional localised turbulence in shear flows is known to either decay to an absorbing laminar state or proliferate via splitting. The average passage times from one state to the other depend super-exponentially on the Reynolds number…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
Understanding the dynamics of complex molecular processes is often linked to the study of infrequent transitions between long-lived stable states. The standard approach to the sampling of such rare events is to generate an ensemble of…
In this paper, an alternative approximation to the innovation method is introduced for the parameter estimation of diffusion processes from partial and noisy observations. This is based on a convergent approximation to the first two…
We propose a simpler derivation of the probability density function of Feller Diffusion using the Fourier Transform and solving the resulting equation via the Method of Characteristics. We also discuss simulation algorithms and confirm key…
Many turbulent flows undergo drastic and abrupt configuration changes with huge impacts. As a paradigmatic example we study the multistability of jet dynamics in a barotropic beta plane model of atmosphere dynamics. It is considered as the…
Particle filtering is used to compute good nonlinear estimates of complex systems. It samples trajectories from a chosen distribution and computes the estimate as a weighted average. Easy-to-sample distributions often lead to degenerate…
The rare-event sampling problem has long been the central limiting factor in molecular dynamics (MD), especially in biomolecular simulation. Recently, diffusion models such as BioEmu have emerged as powerful equilibrium samplers that…
We calculate the probabilities to find systems of reacting particles in states which largely deviate from typical behavior. The rare event statistics is obtained from the master equation which describes the dynamics of the probability…
Quantization summarizes continuous distributions by calculating a discrete approximation. Among the widely adopted methods for data quantization is Lloyd's algorithm, which partitions the space into Vorono\"i cells, that can be seen as…
With a view to statistical inference for discretely observed diffusion models, we propose simple methods of simulating diffusion bridges, approximately and exactly. Diffusion bridge simulation plays a fundamental role in likelihood and…