Related papers: Multi-task unscented Kalman inversion (MUKI): a de…

This work proposes a novel Alternating Direction Method of Multipliers (ADMM)-based Ensemble Kalman Inversion (EKI) algorithm for solving constrained nonlinear model predictive control (NMPC) problems. First, stage-wise nonlinear inequality…

Classical parameter-space Bayesian inference for Bayesian neural networks (BNNs) suffers from several unresolved prior issues, such as knowledge encoding intractability and pathological behaviours in deep networks, which can lead to…

Bayesian experimental design (BED) for complex physical systems is often limited by the nested inference required to estimate the expected information gain (EIG) or its gradients. Each outer sample induces a different posterior, creating a…

The detection of gravitational waves from extreme-mass-ratio inspirals (EMRIs) in space-borne antennas like Taiji and LISA promises deep insights into strong-field gravity and black hole physics. However, the complex, highly degenerate, and…

Many methods have been proposed to quantify the predictive uncertainty associated with the outputs of deep neural networks. Among them, ensemble methods often lead to state-of-the-art results, though they require modifications to the…

Variational Inference (VI) is a method that approximates a difficult-to-compute posterior density using better behaved distributional families. VI is an alternative to the already well-studied Markov chain Monte Carlo (MCMC) method of…

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…

Full waveform inversion (FWI) can be expressed in a Bayesian framework, where the associated uncertainties are captured by the posterior probability distribution (PPD). In practice, solving Bayesian FWI with sampling-based methods such as…

Atmospheric motion vectors (AMVs) extracted from satellite imagery are the only wind observations with good global coverage. They are important features for feeding numerical weather prediction (NWP) models. Several Bayesian models have…

This paper explores the versatility and depth of Bayesian modeling by presenting a comprehensive range of applications and methods, combining Markov chain Monte Carlo (MCMC) techniques and variational approximations. Covering topics such as…

Particle Markov chain Monte Carlo (pMCMC) is now a popular method for performing Bayesian statistical inference on challenging state space models (SSMs) with unknown static parameters. It uses a particle filter (PF) at each iteration of an…

We present a family of \textit{Gaussian Mixture Approximation} (GMA) samplers for sampling unnormalised target densities, encompassing \textit{weights-only GMA} (W-GMA), \textit{Laplace Mixture Approximation} (LMA),…

Typical geophysical inversion problems are ill-posed, non-linear and non-unique. Sometimes the problem is trans-dimensional, where the number of unknown parameters is one of the unknowns, which makes the inverse problem even more…

In the quest for scalable Bayesian computational algorithms we need to exploit the full potential of existing methodologies. In this note we point out that message passing algorithms, which are very well developed for inference in graphical…

The Markov Chain Monte Carlo (MCMC) algorithm is a widely recognised as an efficient method for sampling a specified posterior distribution. However, when the posterior is multi-modal, conventional MCMC algorithms either tend to become…

This work describes a domain embedding technique between two non-matching meshes used for generating realizations of spatially correlated random fields with applications to large-scale sampling-based uncertainty quantification. The goal is…

Leveraging well-established MCMC strategies, we propose MCMC-interactive variational inference (MIVI) to not only estimate the posterior in a time constrained manner, but also facilitate the design of MCMC transitions. Constructing a…

A Conventional centralized state estimators exhibit limited robustness in large-scale grids and face practical deployment hurdles. To overcome these challenges, this paper proposes a decentralized maximum generalized Student's t-kernel…

The conjugate gradient method is a widely used algorithm for the numerical solution of a system of linear equations. It is particularly attractive because it allows one to take advantage of sparse matrices and produces (in case of infinite…

Selection among alternative theoretical models given an observed data set is an important challenge in many areas of physics and astronomy. Reversible-jump Markov chain Monte Carlo (RJMCMC) is an extremely powerful technique for performing…