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Modelling random dynamical systems in continuous time, diffusion processes are a powerful tool in many areas of science. Model parameters can be estimated from time-discretely observed processes using Markov chain Monte Carlo (MCMC) methods…
With the aim of generalizing histogram statistics to higher dimensional cases, density estimation via discrepancy based sequential partition (DSP) has been proposed to learn an adaptive piecewise constant approximation defined on a binary…
The detection and quantification of narrow emission lines in X-ray spectra is a challenging statistical task. The Poisson nature of the photon counts leads to local random fluctuations in the observed spectrum that often results in excess…
We present a set of new numerical methods that are relevant to calculating radiation pressure terms in hydrodynamics calculations, with a particular focus on massive star formation. The radiation force is determined from a Monte Carlo…
Quantitative photoacoustic tomography aims at estimating optical parameters from photoacoustic images that are formed utilizing the photoacoustic effect caused by the absorption of an externally introduced light pulse. This optical…
Estimating failure probabilities of engineering systems is an important problem in many engineering fields. In this work we consider such problems where the failure probability is extremely small (e.g $\leq10^{-10}$). In this case, standard…
An open source software package for simulating thermal neutron propagation in geometry is presented. In this system, neutron propagation can be treated by either the particle transport method or the ray-tracing method. Supported by an…
We study numerical integration over bounded regions in $\mathbb{R}^s, s\ge1$ with respect to some probability measure. We replace random sampling with quasi-Monte Carlo methods, where the underlying point set is derived from deterministic…
Stochastic gradient Markov chain Monte Carlo (SG-MCMC) has been increasingly popular in Bayesian learning due to its ability to deal with large data. A standard SG-MCMC algorithm simulates samples from a discretized-time Markov chain to…
This Point spread function (PSF) plays a crucial role in many computational imaging applications, such as shape from focus/defocus, depth estimation, and fluorescence microscopy. However, the mathematical model of the defocus process is…
Traditional Monte Carlo methods for particle transport utilize source iteration to express the solution, the flux density, of the transport equation as a Neumann series. Our contribution is to show that the particle paths simulated within…
This paper introduces methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. We show how this may be achieved through the use of sequential Monte Carlo (SMC) samplers (Del…
Message-Passing Monte Carlo (MPMC) was recently introduced as a novel low-discrepancy sampling approach leveraging tools from geometric deep learning. While originally designed for generating uniform point sets, we extend this framework to…
A key limitation of sampling algorithms for approximate inference is that it is difficult to quantify their approximation error. Widely used sampling schemes, such as sequential importance sampling with resampling and Metropolis-Hastings,…
Particle transport in Markov mixtures can be addressed by the so-called Chord Length Sampling (CLS) methods, a family of Monte Carlo algorithms taking into account the effects of stochastic media on particle propagation by generating…
A new approach is developed within the first-order Born approximation to light scattering from a collection of particles with $\mathcal{L}$ types. Two $\mathcal{L}\times\mathcal{L}$ matrices called pair-potential matrix (PPM) and…
Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…
In this paper we consider parameter estimation for discretely observed diffusion processes. In particular, we focus on data that are observed at low frequency and methodology that can estimate parameters with uncertainty quantification.…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
We have designed an improved algorithm that enables us to simulate the chemistry of cold dense interstellar clouds with a full gas-grain reaction network. The chemistry is treated by a unified microscopic-macroscopic Monte Carlo approach…