Related papers: A Kernel Learning Method for Backward SDE Filter
This paper investigates the formulation and implementation of Bayesian inverse problems to learn input parameters of partial differential equations (PDEs) defined on manifolds. Specifically, we study the inverse problem of determining the…
We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…
We propose a novel method for density estimation that leverages an estimated score function to debias kernel density estimation (SD-KDE). In our approach, each data point is adjusted by taking a single step along the score function with a…
This paper proposes a novel low-rank approximation to the multivariate State-Space Model. The Stochastic Partial Differential Equation (SPDE) approach is applied component-wise to the independent-in-time Mat\'ern Gaussian innovation term in…
We present a numerical method to learn an accurate predictive model for an unknown stochastic dynamical system from its trajectory data. The method seeks to approximate the unknown flow map of the underlying system. It employs the idea of…
In this work, we study the numerical approximation of a class of singular fully coupled forward backward stochastic differential equations. These equations have a degenerate forward component and non-smooth terminal condition. They are…
Stochastic configuration networks (SCNs), as a class of randomized learner models, are featured by its way of random parameters assignment in the light of a supervisory mechanism, resulting in the universal approximation property at…
In this paper we develop a dynamic form of Bayesian optimization for machine learning models with the goal of rapidly finding good hyperparameter settings. Our method uses the partial information gained during the training of a machine…
Latent stochastic differential equation (SDE) models are important tools for the unsupervised discovery of dynamical systems from data, with applications ranging from engineering to neuroscience. In these complex domains, exact posterior…
We propose a novel numerical approach for nonlocal diffusion equations [8] with integrable kernels, based on the relationship between the backward Kolmogorov equation and backward stochastic differential equations (BSDEs) driven by L\`{e}vy…
Although stochastic approximation learning methods have been widely used in the machine learning literature for over 50 years, formal theoretical analyses of specific machine learning algorithms are less common because stochastic…
This work proposes stochastic partial differential equations (SPDEs) as a practical tool to replicate clustering effects of more detailed particle-based dynamics. Inspired by membrane-mediated receptor dynamics on cell surfaces, we…
In this work, we propose a new deep learning-based scheme for solving high dimensional nonlinear backward stochastic differential equations (BSDEs). The idea is to reformulate the problem as a global optimization, where the local loss…
In the co-sparse analysis model a set of filters is applied to a signal out of the signal class of interest yielding sparse filter responses. As such, it may serve as a prior in inverse problems, or for structural analysis of signals that…
We identify effective stochastic differential equations (SDE) for coarse observables of fine-grained particle- or agent-based simulations; these SDE then provide useful coarse surrogate models of the fine scale dynamics. We approximate the…
We consider a unifying framework for stochastic control problem including the following features: partial observation, path-dependence (both with respect to the state and the control), and without any non-degeneracy condition on the…
We introduce Neural Dynamical Systems (NDS), a method of learning dynamical models in various gray-box settings which incorporates prior knowledge in the form of systems of ordinary differential equations. NDS uses neural networks to…
This tutorial provides a gentle introduction to kernel density estimation (KDE) and recent advances regarding confidence bands and geometric/topological features. We begin with a discussion of basic properties of KDE: the convergence rate…
A crucial task in predictive maintenance is estimating the remaining useful life of physical systems. In the last decade, deep learning has improved considerably upon traditional model-based and statistical approaches in terms of predictive…
Accurate kinodynamic models play a crucial role in many robotics applications such as off-road navigation and high-speed driving. Many state-of-the-art approaches in learning stochastic kinodynamic models, however, require precise…