Related papers: Black-box Variational Inference for Stochastic Dif…
Stochastic differential equations (SDEs) provide a flexible framework for modeling temporal dynamics in partially observed systems. A central task is to calibrate such models from data, which requires inferring latent trajectories and…
Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…
We study a new parametric approach for hidden discrete-time diffusion models. This method is based on contrast minimization and deconvolution and leads to estimate a large class of stochastic models with nonlinear drift and nonlinear…
Pervasive across diverse domains, stochastic systems exhibit fluctuations in processes ranging from molecular dynamics to climate phenomena. The Langevin equation has served as a common mathematical model for studying such systems, enabling…
We present a method for learning latent stochastic differential equations (SDEs) from high-dimensional time series data. Given a high-dimensional time series generated from a lower dimensional latent unknown It\^o process, the proposed…
We develop stochastic variational inference, a scalable algorithm for approximating posterior distributions. We develop this technique for a large class of probabilistic models and we demonstrate it with two probabilistic topic models,…
Selecting cost-effective optimal sensor configurations for subsequent inference of parameters in black-box stochastic systems faces significant computational barriers. We propose a novel and robust approach, modelling the joint distribution…
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation of McKean-Vlasov type. It has both (i) a local chain…
This article develops a methodology allowing application of the complete machinery of particle-based inference methods upon the class of continuous-discrete State Space Models (CD-SSMs). Such models correspond to a latent continuous-time…
Diffusion models have emerged as powerful generative tools with applications in computer vision and scientific machine learning (SciML), where they have been used to solve large-scale probabilistic inverse problems. Traditionally, these…
We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…
Stochastic differential equations (SDEs) are one of the most important representations of dynamical systems. They are notable for the ability to include a deterministic component of the system and a stochastic one to represent random…
Inverse problems and, in particular, inferring unknown or latent parameters from data are ubiquitous in engineering simulations. A predominant viewpoint in identifying unknown parameters is Bayesian inference where both prior information…
The backward Euler-Maruyama (BEM) method is employed to approximate the invariant measure of stochastic differential equations, where both the drift and the diffusion coefficient are allowed to grow super-linearly. The existence and…
State-space models (SSMs) provide a flexible framework for modelling time-series data. Consequently, SSMs are ubiquitously applied in areas such as engineering, econometrics and epidemiology. In this paper we provide a fast approach for…
In this paper numerical methods for solving stochastic differential equations with Markovian switching (SDEwMSs) are developed by pathwise approximation. The proposed family of strong predictor-corrector Euler-Maruyama methods is designed…
Bayesian calibration of black-box computer models offers an established framework to obtain a posterior distribution over model parameters. Traditional Bayesian calibration involves the emulation of the computer model and an additive model…
Diffusion approximation provides weak approximation for stochastic gradient descent algorithms in a finite time horizon. In this paper, we introduce new tools motivated by the backward error analysis of numerical stochastic differential…
We present a novel generative modeling method called diffusion normalizing flow based on stochastic differential equations (SDEs). The algorithm consists of two neural SDEs: a forward SDE that gradually adds noise to the data to transform…
Control barrier functions are widely used to synthesize safety-critical controls. However, the presence of Gaussian-type noise in dynamical systems can generate unbounded signals and potentially result in severe consequences. Although…