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Smoothing is a specialized form of Bayesian inference for state-space models that characterizes the posterior distribution of a collection of states given an associated sequence of observations. Ramgraber et al. (2023) proposes a general…
Smoothing operation to make continuous density field from observed point-like distribution of galaxies is crucially important for topological or morphological analysis of the large-scale structure, such as, the genus statistics or the area…
The letter proposes an adaptive model reduction approach based on tensor decomposition to speed up time-domain power system simulation. Taylor series expansion of a power system dynamic model is calculated around multiple equilibria…
Solving the time-dependent Schr\"odinger equation (TDSE) is pivotal for modeling non-adiabatic electron dynamics, a key process in ultrafast spectroscopy and laser-matter interactions. However, exact solutions to the TDSE remain…
We introduce and analyse a new nonparametric estimator of a multi-dimensional density. Our smooth projection estimator (SPE) is defined by a least squares projection of the sample onto an infinite dimensional mixture class via an…
This paper focuses on Sequential Monte Carlo approximations of smoothing distributions in conditionally linear and Gaussian state spaces. To reduce Monte Carlo variance of smoothers, it is typical in these models to use…
Diffusion Transformers (DiT) have revolutionized high-fidelity image and video synthesis, yet their computational demands remain prohibitive for real-time applications. To solve this problem, feature caching has been proposed to accelerate…
Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a…
In this paper, we study policy evaluation in continuous-time reinforcement learning (RL), where the state follows an unknown stochastic differential equation (SDE), but only discrete-time data are available. We first highlight that the…
In this tutorial we consider the non-linear Bayesian filtering of static parameters in a time-dependent model. We outline the theoretical background and discuss appropriate solvers. We focus on particle-based filters and present Sequential…
We present a latent-space formulation of adaptive temporal lifting for continuous-time dynamical systems. The method introduces a smooth monotone mapping $t \mapsto \tau(t)$ that regularizes near-singular behavior of the underlying flow…
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…
In this work we study the non-parametric reconstruction of spatio-temporal dynamical Gaussian processes (GPs) via GP regression from sparse and noisy data. GPs have been mainly applied to spatial regression where they represent one of the…
We present an approach to deep estimation of discrete conditional probability distributions. Such models have several applications, including generative modeling of audio, image, and video data. Our approach combines two main techniques:…
As second-order methods, Gauss--Newton-type methods can be more effective than first-order methods for the solution of nonsmooth optimization problems with expensive-to-evaluate smooth components. Such methods, however, often do not…
Diffusion models, which convert noise into new data instances by learning to reverse a Markov diffusion process, have become a cornerstone in contemporary generative modeling. While their practical power has now been widely recognized, the…
This paper develops and analyzes an optimal-order semi-discrete scheme and its fully discrete finite element approximation for nonlinear stochastic elastic wave equations with multiplicative noise. A non-standard time-stepping scheme is…
This paper is concerned with fully discrete mixed finite element approximations of the time-dependent stochastic Stokes equations with multiplicative noise. A prototypical method, which comprises of the Euler-Maruyama scheme for time…
In this paper, we derive higher order Edgeworth expansions for the finite sample distributions of the subsampling-based t-statistic and the Wald statistic in the Gaussian location model under the so-called fixed-smoothing paradigm. In…
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions…