Related papers: Bayesian Learning via Neural Schr\"odinger-F\"ollm…

Schrodinger Bridges (SBs) are diffusion processes that steer, in finite time, a given initial distribution to another final one while minimizing a suitable cost functional. Although various methods for computing SBs have recently been…

Optimal control under uncertainty is a prevailing challenge for many reasons. One of the critical difficulties lies in producing tractable solutions for the underlying stochastic optimization problem. We show how advanced approximate…

We introduce stochastic normalizing flows, an extension of continuous normalizing flows for maximum likelihood estimation and variational inference (VI) using stochastic differential equations (SDEs). Using the theory of rough paths, the…

Scientists often want to make predictions beyond the observed time horizon of "snapshot" data following latent stochastic dynamics. For example, in time course single-cell mRNA profiling, scientists have access to cellular transcriptional…

Modern distribution matching algorithms for training diffusion or flow models directly prescribe the time evolution of the marginal distributions between two boundary distributions. In this work, we consider a generalized distribution…

We propose an adaptively weighted stochastic gradient Langevin dynamics algorithm (SGLD), so-called contour stochastic gradient Langevin dynamics (CSGLD), for Bayesian learning in big data statistics. The proposed algorithm is essentially a…

The Schr\"odinger bridge problem is concerned with finding a stochastic dynamical system bridging two marginal distributions that minimises a certain transportation cost. This problem, which represents a generalisation of optimal transport…

Stochastic differential equations (SDEs) are well suited to modelling noisy and irregularly sampled time series found in finance, physics, and machine learning. Traditional approaches require costly numerical solvers to sample between…

Bayesian neural networks (BNNs) require scalable sampling algorithms to approximate posterior distributions over parameters. Existing stochastic gradient Markov Chain Monte Carlo (SGMCMC) methods are highly sensitive to the choice of…

This work studies the Schr\"odinger bridge problem for the kinematic equation on a compact connected Lie group. The objective is to steer a controlled diffusion between given initial and terminal densities supported over the Lie group while…

In this paper, we present a Stochastic Deep Neural Network-based Model Reference Adaptive Control. Building on our work "Deep Model Reference Adaptive Control", we extend the controller capability by using Bayesian deep neural networks…

In this paper we propose a new methodology for decision-making under uncertainty using recent advancements in the areas of nonlinear stochastic optimal control theory, applied mathematics, and machine learning. Grounded on the fundamental…

The performance of flow matching and diffusion models can be greatly improved at inference time using reward alignment algorithms, yet efficiency remains a major limitation. While several algorithms were proposed, we demonstrate that a…

The Schr\"odinger Bridge (SB) problem offers a powerful framework for combining optimal transport and diffusion models. A promising recent approach to solve the SB problem is the Iterative Markovian Fitting (IMF) procedure, which alternates…

For a fixed flow-based generative model under a small inference budget, sample quality can depend strongly on where the sampler spends its few function evaluations. Flow matching and Schr\"odinger bridges define probability paths, yet their…

We study infinite-horizon stochastic optimal control problems with observable side information: a Markov chain that modulates an unknown context-conditional randomness distribution. Since this distribution is unknown, we propose a Bayesian…

Practitioners often aim to infer an unobserved population trajectory using sample snapshots at multiple time points. E.g., given single-cell sequencing data, scientists would like to learn how gene expression changes over a cell's life…

This paper aims to conduct a comprehensive theoretical analysis of current diffusion models. We introduce a novel generative learning methodology utilizing the Schr{\"o}dinger bridge diffusion model in latent space as the framework for…

In this article we consider parametric Bayesian inference for stochastic differential equations (SDE) driven by a pure-jump stable Levy process, which is observed at high frequency. In most cases of practical interest, the likelihood…

We develop a framework for the analysis of deep neural networks and neural ODE models that are trained with stochastic gradient algorithms. We do that by identifying the connections between control theory, deep learning and theory of…