Related papers: Continuous-discrete smoothing of diffusions
A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is…
A novel solution to the smoothing problem for multi-object dynamical systems is proposed and evaluated. The systems of interest contain an unknown and varying number of dynamical objects that are partially observed under noisy and corrupted…
There has been substantial interest in developing Markov chain Monte Carlo algorithms based on piecewise-deterministic Markov processes. However existing algorithms can only be used if the target distribution of interest is differentiable…
We introduce a flexible method to simultaneously infer both the drift and volatility functions of a discretely observed scalar diffusion. We introduce spline bases to represent these functions and develop a Markov chain Monte Carlo…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
Our aim is to study the backward problem, i.e. recover the initial data from the terminal observation, of the subdiffusion with time dependent coefficients. First of all, by using the smoothing property of solution operators and a…
Image restoration aims to recover high-quality images from degraded observations. When the degradation process is known, the recovery problem can be formulated as an inverse problem, and in a Bayesian context, the goal is to sample a clean…
Denoising diffusion models are a class of generative models which have recently achieved state-of-the-art results across many domains. Gradual noise is added to the data using a diffusion process, which transforms the data distribution into…
Collaborative filtering is a critical technique in recommender systems. It has been increasingly viewed as a conditional generative task for user feedback data, where newly developed diffusion model shows great potential. However, existing…
Bayesian filtering and smoothing for high-dimensional nonlinear dynamical systems are fundamental yet challenging problems in many areas of science and engineering. In this work, we propose FLUID, a flow-based unified amortized inference…
Anomalous diffusion is often modelled in terms of the subdiffusion equation, which can involve a weakly singular source term. For this case, many predominant time stepping methods, including the correction of high-order BDF schemes [{\sc…
The inverse problem of backward diffusion is known to be ill-posed and highly unstable. Backward diffusion processes appear naturally in image enhancement and deblurring applications. It is therefore greatly desirable to establish a…
We study the filtering and smoothing problem for continuous-time linear Gaussian systems. While classical approaches such as the Kalman-Bucy filter and the Rauch-Tung-Striebel (RTS) smoother provide recursive formulas for the conditional…
Sequential Monte Carlo methods have been a major breakthrough in the field of numerical signal processing for stochastic dynamical state-space systems with partial and noisy observations. However, these methods still present certain…
The Diffusion Monte Carlo method is devoted to the computation of electronic ground-state energies of molecules. In this paper, we focus on implementations of this method which consist in exploring the configuration space with a {\bf fixed}…
We consider a class of filtering problems for large populations where each individual is modeled by the same hidden Markov model (HMM). In this paper, we focus on aggregate inference problems in HMMs with discrete state space and continuous…
In this paper the issue of filtering and smoothing in continuous discrete time is studied when the state variable evolves in some submanifold of Euclidean space, which may not have the usual Lebesgue measure. Formal expressions for…
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…
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the…