Related papers: Variance-reduced multiscale simulation of slow-fas…
The radiative transfer equation models various physical processes ranging from plasma simulations to radiation therapy. In practice, these phenomena are often subject to uncertainties. Modeling and propagating these uncertainties requires…
Multiscale stochastic dynamical systems have been widely adopted to a variety of scientific and engineering problems due to their capability of depicting complex phenomena in many real world applications. This work is devoted to…
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori…
In this paper we propose a novel variance reduction approach for additive functionals of Markov chains based on minimization of an estimate for the asymptotic variance of these functionals over suitable classes of control variates. A…
We study the optimal control of discrete time mean filed dynamical systems under partial observations. We express the global law of the filtered process as a controlled system with its own dynamics. Following a dynamic programming approach,…
Optimization in the Bures-Wasserstein space has been gaining popularity in the machine learning community since it draws connections between variational inference and Wasserstein gradient flows. The variational inference objective function…
We investigate different mean-field-like approximations for stochastic dynamics on graphs, within the framework of a cluster-variational approach. In analogy with its equilibrium counterpart, this approach allows one to give a unified view…
We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…
We give a probabilistic interpretation of the Monte Carlo scheme proposed by Fahim, Touzi and Warin [Ann. Appl. Probab. 21 (2011) 1322-1364] for fully nonlinear parabolic PDEs, and hence generalize it to the path-dependent (or…
In this paper we examine a control variate estimator for a quantity that can be expressed as the expectation of a functional of a random process, that is itself the solution of a differential equation driven by fast mean-reverting ergodic…
We propose a variance reduction framework for variational inference using the Multilevel Monte Carlo (MLMC) method. Our framework is built on reparameterized gradient estimators and "recycles" parameters obtained from past update history in…
We propose stochastic variance reduced algorithms for solving convex-concave saddle point problems, monotone variational inequalities, and monotone inclusions. Our framework applies to extragradient, forward-backward-forward, and…
In this paper, we study a mean-variance optimization problem in an infinite horizon discrete time discounted Markov decision process (MDP). The objective is to minimize the variance of system rewards with the constraint of mean performance.…
This paper studies the use of a machine learning-based estimator as a control variate for mitigating the variance of Monte Carlo sampling. Specifically, we seek to uncover the key factors that influence the efficiency of control variates in…
This paper proposes a multi-scale method to design a continuous-time distributed algorithm for constrained convex optimization problems by using multi-agents with Markov switched network dynamics and noisy inter-agent communications. Unlike…
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…
We study the convergence to equilibrium of an underdamped Langevin equation that is controlled by a linear feedback force. Specifically, we are interested in sampling the possibly multimodal invariant probability distribution of a Langevin…
This article addresses online variational estimation in parametric state-space models. We propose a new procedure for efficiently computing the evidence lower bound and its gradient in a streaming-data setting, where observations arrive…
We study the performance of a stochastic algorithm based on the power method that adaptively learns the large deviation functions characterizing the fluctuations of additive functionals of Markov processes, used in physics to model…
We propose a general variance reduction strategy for diffusion processes. Our approach does not require the knowledge of the measure that is sampled, which may indeed be unknown as for nonequilibrium dynamics in statistical physics. We show…