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Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…

We describe a systematic development of kinetic entropy as a diagnostic in fully kinetic particle-in-cell (PIC) simulations and use it to interpret plasma physics processes in heliospheric, planetary, and astrophysical systems. First, we…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

The problem of estimating certain distributions over $\{0,1\}^d$ is considered here. The distribution represents a quantum system of $d$ qubits, where there are non-trivial dependencies between the qubits. A maximum entropy approach is…

Ergodic properties and asymptotic stationarity are investigated in this paper for the pseudo-covariance matrix (PCM) of a recursive state estimator which is robust against parametric uncertainties and is based on plant output measurements…

The approach to the ergodic limit in Monte Carlo simulations is studied using both analytic and numerical methods. With the help of a stochastic model, a metric is defined that enables the examination of a simulation in both the ergodic and…

Markov Chain Monte Carlo (MCMC) algorithms are essential tools in computational statistics for sampling from unnormalised probability distributions, but can be fragile when targeting high-dimensional, multimodal, or complex target…

This paper is concerned with developing a software tool, called IMPaCT, for the parallelized verification and controller synthesis of large-scale stochastic systems using interval Markov chains (IMCs) and interval Markov decision processes…

Sequential Monte Carlo (SMC) methods are a class of techniques to sample approximately from any sequence of probability distributions using a combination of importance sampling and resampling steps. This paper is concerned with the…

Performing stochastic inversion on a computationally expensive forward simulation model with a high-dimensional uncertain parameter space (e.g. a spatial random field) is computationally prohibitive even with gradient information provided.…

Monitoring a process over time is so important in manufacturing processes to reduce the waste of money and time. Some charts as Shewhart, CUSUM, and EWMA are common to monitor a process with a single intended attribute which is used in…

Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…

Entropy production is often interpreted as a proxy for microscopic disorder or environmental roughness in stochastic systems. We test this interpretation using controlled simulations of overdamped stochastic dynamics on curved surfaces in…

We develop a method for evaluating restricted isometry constants (RICs). This evaluation is reduced to the identification of the zero-points of entropy, which is defined for submatrices that are composed of columns selected from a given…

We formulate a minimal model of a quantum particle detector as an autonomous quantum thermal machine. Our goal is to establish how entropy production, which is needed to maintain the detector out of equilibrium, is linked to the quality of…

We propose a Monte Carlo sampler from the reverse diffusion process. Unlike the practice of diffusion models, where the intermediary updates -- the score functions -- are learned with a neural network, we transform the score matching…

Estimating risk measures such as large loss probabilities and Value-at-Risk is fundamental in financial risk management and often relies on computationally intensive nested Monte Carlo methods. While Multi-Level Monte Carlo (MLMC)…

In this paper we address the problem of Monte Carlo approximation of posterior probability distributions in stochastic kinetic models (SKMs). SKMs are multivariate Markov jump processes that model the interactions among species in…

In this paper we propose an output-feedback Model Predictive Control (MPC) algorithm for linear discrete-time systems affected by a possibly unbounded additive noise and subject to probabilistic constraints. In case the noise distribution…

We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling…