Related papers: Maximum a Posteriori Joint State Path and Paramete…
Parameter inference for stochastic differential equation mixed effects models (SDEMEMs) is a challenging problem. Analytical solutions for these models are rarely available, which means that the likelihood is also intractable. In this case,…
This paper studies the remote state estimation problem of linear time-invariant systems with stochastic event-triggered sensor schedules in the presence of packet drops between the sensor and the estimator. It is shown that the system state…
Computing the conditional mode of a distribution, better known as the $\mathit{maximum\ a\ posteriori}$ (MAP) assignment, is a fundamental task in probabilistic inference. However, MAP estimation is generally intractable, and remains hard…
Ordinary differential equations (ODE) are widely used for modeling in Systems Biology. As most commonly only some of the kinetic parameters are measurable or precisely known, parameter estimation techniques are applied to parametrize the…
We introduce a lattice random walk discretisation scheme for stochastic differential equations (SDEs) that samples binary or ternary increments at each step, suppressing complex drift and diffusion computations to simple 1 or 2 bit random…
Sparse autoencoders (SAEs) have received considerable recent attention as tools for mechanistic interpretability, showing success at extracting interpretable features even from very large LLMs. However, this research has been largely…
In this paper is proposed a novel incremental iterative Gauss-Newton-Markov-Kalman filter method for state estimation of dynamic models given noisy measurements. The mathematical formulation of the proposed filter is based on the…
A recently developed measure-theoretic framework solves a stochastic inverse problem (SIP) for models where uncertainties in model output data are predominantly due to aleatoric (i.e., irreducible) uncertainties in model inputs (i.e.,…
Distribution System State Estimation (DSSE) is becoming increasingly important with the integration of Distributed Energy Resources (DERs) and the active operation of distribution networks (DNs), but it remains challenging due to the…
We introduce a predictor-corrector discretisation scheme for the numerical integration of a class of stochastic differential equations and prove that it converges with weak order 1.0. The key feature of the new scheme is that it builds up…
Estimating probabilistic deformable template models is a new approach in the fields of computer vision and probabilistic atlases in computational anatomy. A first coherent statistical framework modelling the variability as a hidden random…
The likelihood functions for discretely observed nonlinear continuous-time models based on stochastic differential equations are not available except for a few cases. Various parameter estimation techniques have been proposed, each with…
We propose and analyze an a posteriori error estimator for a PDE-constrained optimization problem involving a nondifferentiable cost functional, fractional diffusion, and control-constraints. We realize fractional diffusion as the…
Nonlinear (systems of) ordinary differential equations (ODEs) are common tools in the analysis of complex one-dimensional dynamic systems. In this paper we propose a smoothing approach regularized by a quasilinearized ODE-based penalty in…
We construct a nonstandard finite difference numerical scheme to approximate stochastic differential equations (SDEs) using the idea of weighed step introduced by R.E. Mickens. We prove the strong convergence of our scheme under locally…
Overparameterized stochastic differential equation (SDE) models have achieved remarkable success in various complex environments, such as PDE-constrained optimization, stochastic control and reinforcement learning, financial engineering,…
The data-driven discovery of interpretable models approximating the underlying dynamics of a physical system has gained attraction in the past decade. Current approaches employ pre-specified functional forms or basis functions and often…
The Expectation Maximization (EM) algorithm is of key importance for inference in latent variable models including mixture of regressors and experts, missing observations. This paper introduces a novel EM algorithm, called…
We consider stochastic semi-linear evolution equations which are driven by additive, spatially correlated, Wiener noise, and in particular consider problems of heat equation (analytic semigroup) and damped-driven wave equations (bounded…
This paper introduces time-continuous numerical schemes to simulate stochastic differential equations (SDEs) arising in mathematical finance, population dynamics, chemical kinetics, epidemiology, biophysics, and polymeric fluids. These…