Related papers: Importance Sampling for Pathwise Sensitivity of St…

We consider the problem of estimating the asymptotic variance of a function defined on a Markov chain, an important step for statistical inference of the stationary mean. We design a novel recursive estimator that requires $O(1)$…

Estimating and detecting faults is crucial in ensuring safe and efficient automated systems. In the presence of disturbances, noise or varying system dynamics, such estimation is even more challenging. To address this challenge, this…

We generalize the derivation of model predictive path integral control (MPPI) to allow for a single joint distribution across controls in the control sequence. This reformation allows for the implementation of adaptive importance sampling…

We introduce a generalization of the Adaptive Multilevel Splitting algorithm in the discrete time dynamic setting, namely when it is applied to sample rare events associated with paths of Markov chains. By interpreting the algorithm as a…

Ordinary Differential Equations are widespread tools to model chemical, physical, biological process but they usually rely on parameters which are of critical importance in terms of dynamic and need to be estimated directly from the data.…

Parameter estimation for a parabolic linear stochastic partial differential equation in one space dimension is studied observing the solution field on a discrete grid in a fixed bounded domain. Considering an infill asymptotic regime in…

We introduce a new class of adaptive importance samplers leveraging adaptive optimisation tools, which we term AdaOAIS. We build on Optimised Adaptive Importance Samplers (OAIS), a class of techniques that adapt proposals to improve the…

This paper proposes a new framework for constructing interval-valued state estimators for discrete-time linear and switched linear systems. Our main results are (i) the derivation of the tightest interval-valued estimator for linear…

High-dimensional count data poses significant challenges for statistical analysis, necessitating effective methods that also preserve explainability. We focus on a low rank constrained variant of the Poisson log-normal model, which relates…

This paper deals with the drift estimation in linear stochastic evolution equations (with emphasis on linear SPDEs) with additive fractional noise (with Hurst index ranging from 0 to 1) via least-squares procedure. Since the least-squares…

This paper proposes a new multilevel Monte Carlo (MLMC) method for the ergodic SDEs which do not satisfy the contractivity condition. By introducing the change of measure technique, we simulate the path with contractivity and add the…

We address numerical differentiation under coarse, non-uniform sampling and Gaussian noise. A maximum-likelihood estimator with $L_2$-norm constraint on a higher-order derivative is obtained, yielding spline-based solution. We introduce a…

In this paper, we consider the problem of numerical investigation of the counting statistics for a class of one-dimensional systems. Importance sampling, the cornerstone technique usually implemented for such problems, critically hinges on…

Adaptive importance sampling is a class of techniques for finding good proposal distributions for importance sampling. Often the proposal distributions are standard probability distributions whose parameters are adapted based on the…

Markov chain (MC) algorithms are ubiquitous in machine learning and statistics and many other disciplines. Typically, these algorithms can be formulated as acceptance rejection methods. In this work we present a novel estimator applicable…

I propose a novel framework that integrates stochastic differential equations (SDEs) with deep generative models to improve uncertainty quantification in machine learning applications involving structured and temporal data. This approach,…

We present a novel control variate technique for enhancing the efficiency of Monte Carlo (MC) estimation of expectations involving solutions to stochastic differential equations (SDEs). Our method integrates a primary fine-time-step…

Estimation and prediction in high dimensional multivariate factor stochastic volatility models is an important and active research area because such models allow a parsimonious representation of multivariate stochastic volatility. Bayesian…

We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…

We develop a framework that allows the use of the multi-level Monte Carlo (MLMC) methodology (Giles2015) to calculate expectations with respect to the invariant measure of an ergodic SDE. In that context, we study the (over-damped) Langevin…