Related papers: Multilevel Monte Carlo for Smoothing via Transport…
Particle filters (PFs) are recursive Monte Carlo algorithms for Bayesian tracking and prediction in state space models. This paper addresses continuous-discrete filtering problems, where the hidden state evolves as an It\^o stochastic…
We propose and analyze a method for computing failure probabilities of systems modeled as numerical deterministic models (e.g., PDEs) with uncertain input data. A failure occurs when a functional of the solution to the model is below (or…
Computing smoothing distributions, the distributions of one or more states conditional on past, present, and future observations is a recurring problem when operating on general hidden Markov models. The aim of this paper is to provide a…
Kinetic equations model distributions of particles in position-velocity phase space. Often, one is interested in studying the long-time behavior of particles in high-collisional regimes in which an approximate (advection)-diffusion model…
For challenging state estimation problems arising in domains like vision and robotics, particle-based representations attractively enable temporal reasoning about multiple posterior modes. Particle smoothers offer the potential for more…
Density tempering (also called density annealing) is a sequential Monte Carlo approach to Bayesian inference for general state models; it is an alternative to Markov chain Monte Carlo. When applied to state space models, it moves a…
In this paper we consider the filtering of partially observed multi-dimensional diffusion processes that are observed regularly at discrete times. We assume that, for numerical reasons, one has to time-discretize the diffusion process which…
This paper applies several well-known tricks from the numerical treatment of deterministic differential equations to improve the efficiency of the Multilevel Monte Carlo (MLMC) method for stochastic differential equations (SDEs) and…
This paper develops a novel weak multilevel Monte-Carlo (MLMC) approximation scheme for L\'evy-driven Stochastic Differential Equations (SDEs). The scheme is based on the state space discretization (via a continuous-time Markov chain…
We show that Lasso and Bayesian Lasso are very close when the sparsity is large and the noise is small. Then we propose to solve Bayesian Lasso using multivalued stochastic differential equation. We obtain three discretizations algorithms,…
This paper introduces a class of Monte Carlo algorithms which are based upon the simulation of a Markov process whose quasi-stationary distribution coincides with a distribution of interest. This differs fundamentally from, say, current…
The consistency of Moving Particle Semi-implicit (MPS) method in reproducing the gradient, divergence and Laplacian differential operators is discussed in the present paper. Its relation to the Smoothed Particle Hydrodynamics (SPH) method…
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic…
Markov chain Monte Carlo (MCMC) algorithms are ubiquitous in Bayesian computations. However, they need to access the full data set in order to evaluate the posterior density at every step of the algorithm. This results in a great…
We present two fully probabilistic Euler schemes, one explicit and one implicit, for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of super-linear growth and random initial condition. We provide a…
In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…
Given a stochastic differential equation (SDE) in $\mathbb{R}^n$ whose solution is constrained to lie in some manifold $M \subset \mathbb{R}^n$, we propose a class of numerical schemes for the SDE whose iterates remain close to $M$ to high…
Monte Carlo simulations of quantum field theories on a lattice become increasingly expensive as the continuum limit is approached since the cost per independent sample grows with a high power of the inverse lattice spacing. Simulations on…
In this paper we consider multi-dimensional partial differential equations of parabolic type involving divergence form operators that possess a discontinuous coefficient matrix along some smooth interface. The solution of the equation is…
We study the approximation of expectations $\E(f(X))$ for solutions $X$ of SDEs and functionals $f \colon C([0,1],\R^r) \to \R$ by means of restricted Monte Carlo algorithms that may only use random bits instead of random numbers. We…