Related papers: An Exact Method For Simulating Rapidly Decreasing …
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
We present a simulation scheme for discrete-velocity gases based on {\em local thermodynamic equilibrium}. Exploiting the kinetic nature of discrete-velocity gases, in that context, results in a natural splitting of fluxes, and the…
We propose a new method for the determination of the weight factor for the simulated tempering method. In this method a short replica-exchange simulation is performed and the simulated tempering weight factor is obtained by the…
We consider dynamical systems evolving near an equilibrium statistical state where the interest is in modelling long term behavior that is consistent with thermodynamic constraints. We adjust the distribution using an entropy-optimizing…
Stochastic diffusion equations are crucial for modeling a range of physical phenomena influenced by uncertainties. We introduce the generalized finite difference method for solving these equations. Then, we examine its consistency,…
Uncertainty propagation in non-linear dynamical systems has become a key problem in various fields including control theory and machine learning. In this work we focus on discrete-time non-linear stochastic dynamical systems. We present a…
Models of complex dynamical systems like the Earth's climate often involve large numbers of uncertain parameters. Comprehensive exploration of the parameter space is typically prohibitive due to excessive computational costs. Systematic…
In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval, conditioned on the terminal state. The conditioning can be with respect to a fixed point…
We study numerical methods for dissipative particle dynamics (DPD), which is a system of stochastic differential equations and a popular stochastic momentum-conserving thermostat for simulating complex hydrodynamic behavior at mesoscales.…
This letter studies a distribution-free, finite-sample data perturbation (DP) method, the Residual-Permuted Sums (RPS), which is an alternative of the Sign-Perturbed Sums (SPS) algorithm, to construct confidence regions. While SPS assumes…
For an unknown continuous distribution on a real line, we consider the approximate estimation by the discretization. There are two methods for the discretization. First method is to divide the real line into several intervals before taking…
The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…
Mixture distributions arise in many application areas, for example as marginal distributions or convolutions of distributions. We present a method of constructing an easily tractable discrete mixture distribution as an approximation to a…
We use simulation to estimate the steady-state performance of a stable multiclass queueing network. Standard estimators have been seen to perform poorly when the network is heavily loaded. We introduce two new simulation estimators. The…
In this paper, we provide for the first time an automated, correct-by-construction, controller synthesis scheme for a class of infinite dimensional stochastic systems, namely, retarded jump-diffusion systems. First, we construct finite…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
The evolution of a continuous time Markov process with a finite number of states is usually calculated by the Master equation - a linear differential equations with a singular generator matrix. We derive a general method for reducing the…
Building upon recent developments of force-based estimators with a reduced variance for the computation of densities, radial distribution functions or local transport properties from molecular simulations, we show that the variance can be…
The simulated tempering (ST) is an important method to deal with systems whose phase spaces are hard to sample ergodically. However, it uses accepting probabilities weights which often demand involving and time consuming calculations. Here…
We introduce iterative tilting, a gradient-free method for fine-tuning diffusion models toward reward-tilted distributions. The method decomposes a large reward tilt $\exp(\lambda r)$ into $N$ sequential smaller tilts, each admitting a…