Related papers: State and parameter learning with PaRIS particle G…

We present a new Bayesian inference method for compartmental models that takes into account the intrinsic stochasticity of the process. We show how to formulate a SIR-type Markov jump process as the solution of a stochastic differential…

We consider the problem of inference for nonlinear, multivariate diffusion processes, satisfying It\^o stochastic differential equations (SDEs), using data at discrete times that may be incomplete and subject to measurement error. Our…

The particle Gibbs (PG) sampler is a systematic way of using a particle filter within Markov chain Monte Carlo (MCMC). This results in an off-the-shelf Markov kernel on the space of state trajectories, which can be used to simulate from the…

Laplacian-P-splines (LPS) associate the P-splines smoother and the Laplace approximation in a unifying framework for fast and flexible inference under the Bayesian paradigm. Gaussian Markov field priors imposed on penalized latent variables…

This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural interpretation of these methods in terms of well known…

The validity of estimation and smoothing parameter selection for the wide class of generalized additive models for location, scale and shape (GAMLSS) relies on the correct specification of a likelihood function. Deviations from such…

We propose an online learning algorithm for a class of machine learning models under a separable stochastic approximation framework. The essence of our idea lies in the observation that certain parameters in the models are easier to…

We propose an extension of Markov-switching generalized additive models for location, scale, and shape (MS-GAMLSS) that allows covariates to influence not only the parameters of the state-dependent distributions but also the state…

On-line estimation plays an important role in process control and monitoring. Obtaining a theoretical solution to the simultaneous state-parameter estimation problem for non-linear stochastic systems involves solving complex…

Score-based generative models (SGMs) have recently emerged as a promising class of generative models. However, a fundamental limitation is that their sampling process is slow due to a need for many (e.g., 2000) iterations of sequential…

Additive smooth models, such as Generalized additive models (GAMs) of location, scale, and shape (GAMLSS), are a popular choice for modeling experimental data. However, software available to fit such models is usually not tailored…

In applications of Gaussian processes where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. Normally, this is done by…

One of the pivotal tasks in scientific machine learning is to represent underlying dynamical systems from time series data. Many methods for such dynamics learning explicitly require the derivatives of state data, which are not directly…

An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model…

A state-space model is a time-series model that has an unobserved latent process from which we take noisy measurements over time. The observations are conditionally independent given the latent process and the latent process itself is…

Density tempering (also called density annealing) is a sequential Monte Carlo approach to Bayesian inference for general state models; it is an alternative to Markov chain Monte Carlo. When applied to state space models, it moves a…

We propose Physics-Aware Neural Implicit Solvers (PANIS), a novel, data-driven framework for learning surrogates for parametrized Partial Differential Equations (PDEs). It consists of a probabilistic, learning objective in which weighted…

Markov jump processes (MJPs) are continuous-time stochastic processes widely used in a variety of applied disciplines. Inference for MJPs typically proceeds via Markov chain Monte Carlo, the state-of-the-art being a uniformization-based…

The particle Gibbs (PG) sampler is a Markov Chain Monte Carlo (MCMC) algorithm, which uses an interacting particle system to perform the Gibbs steps. Each Gibbs step consists of simulating a particle system conditioned on one particle path.…

Our article deals with Bayesian inference for a general state space model with the simulated likelihood computed by the particle filter. We show empirically that the partially or fully adapted particle filters can be much more efficient…