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In areas such as finance, engineering, and science, we often face situations that change quickly and unpredictably. These situations are tough to handle and require special tools and methods capable of understanding and predicting what…
Enforcing sparse structure within learning has led to significant advances in the field of data-driven discovery of dynamical systems. However, such methods require access not only to time-series of the state of the dynamical system, but…
Stochastic differential equations (SDEs) are established tools to model physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE intrinsic randomness of a system around its drift can be identified…
The Ensemble Kalman inversion (EKI) method is a method for the estimation of unknown parameters in the context of (Bayesian) inverse problems. The method approximates the underlying measure by an ensemble of particles and iteratively…
Stochastic differential equations (SDEs) provide a natural framework for modelling intrinsic stochasticity inherent in many continuous-time physical processes. When such processes are observed in multiple individuals or experimental units,…
Stochastic differential equations (SDEs) are a ubiquitous modeling framework that finds applications in physics, biology, engineering, social science, and finance. Due to the availability of large-scale data sets, there is growing interest…
The Ensemble Kalman methodology in an inverse problems setting can be viewed as an iterative scheme, which is a weakly tamed discretization scheme for a certain stochastic differential equation (SDE). Assuming a suitable approximation…
The ensemble Kalman inversion (EKI), a recently introduced optimisation method for solving inverse problems, is widely employed for the efficient and derivative-free estimation of unknown parameters. Specifically in cases involving…
Stochastic differential equations (SDEs) are popular tools to analyse time series data in many areas, such as mathematical finance, physics, and biology. They provide a mechanistic description of the phenomeon of interest, and their…
Stochastic differential equations (SDEs) describe dynamical systems where deterministic flows, governed by a drift function, are superimposed with random fluctuations, dictated by a diffusion function. The accurate estimation (or discovery)…
Parameter estimation for non-stationary stochastic differential equations (SDE) with an arbitrary nonlinear drift, and nonlinear diffusion is accomplished in combination with a non-parametric clustering methodology. Such a model-based…
We introduce a novel paradigm for learning non-parametric drift and diffusion functions for stochastic differential equation (SDE). The proposed model learns to simulate path distributions that match observations with non-uniform time…
Different approaches to using data-driven methods for subgrid-scale closure modeling have emerged recently. Most of these approaches are data-hungry, and lack interpretability and out-of-distribution generalizability. Here, we use {online}…
Solving inverse problems without the use of derivatives or adjoints of the forward model is highly desirable in many applications arising in science and engineering. In this paper, we propose a new version of such a methodology, a framework…
This paper investigates ensemble Kalman inversion (EKI) for variational inverse problems with convex, potentially non-smooth regularization. While deterministic EKI and its Tikhonov-regularized variants have primarily been analyzed for…
In this article, we introduce a system of stochastic differential equations (SDEs) consisting of time-dependent covariates and consider both fixed and random effects set-ups. We also allow the functional part associated with the drift…
The reconstruction and inference of stochastic dynamical systems from data is a fundamental task in inverse problems and statistical learning. While surrogate modeling advances computational methods to approximate these dynamics, standard…
The problem of system identification for the Kalman filter, relying on the expectation-maximization (EM) procedure to learn the underlying parameters of a dynamical system, has largely been studied assuming that observations are sampled at…
The ensemble Kalman inversion (EKI) for the solution of Bayesian inverse problems of type $y = A u +\varepsilon$, with $u$ being an unknown parameter, $y$ a given datum, and $\varepsilon$ measurement noise, is a powerful tool usually…
The application of Stochastic Differential Equations (SDEs) to the analysis of temporal data has attracted increasing attention, due to their ability to describe complex dynamics with physically interpretable equations. In this paper, we…