Related papers: On Bayesian Filtering for Markov Regime Switching …
In this paper, we propose a Bayesian approach for multiscale problems with the availability of dynamic observational data. Our method selects important degrees of freedom probabilistically in a Generalized multiscale finite element method…
The paper presents a Bayesian framework for the calibration of financial models using neural stochastic differential equations (neural SDEs), for which we also formulate a global universal approximation theorem based on Barron-type…
When performing Bayesian data analysis using a general linear mixed model, the resulting posterior density is almost always analytically intractable. However, if proper conditionally conjugate priors are used, there is a simple two-block…
The weighted ensemble (WE) simulation strategy provides unbiased sampling of non-equilibrium processes, such as molecular folding or binding, but the extraction of rate constants relies on characterizing steady state behavior.…
In the near future, massively parallel computing systems will be necessary to solve computation intensive applications. The key bottleneck in massively parallel implementation of numerical algorithms is the synchronization of data across…
In image reconstruction, an accurate quantification of uncertainty is of great importance for informed decision making. Here, the Bayesian approach to inverse problems can be used: the image is represented through a random function that…
The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…
Many real-world dynamical systems can be described as State-Space Models (SSMs). In this formulation, each observation is emitted by a latent state, which follows first-order Markovian dynamics. A Probabilistic Deep SSM (ProDSSM)…
Yang et al. (2016) proved that the symmetric random walk Metropolis--Hastings algorithm for Bayesian variable selection is rapidly mixing under mild high-dimensional assumptions. We propose a novel MCMC sampler using an informed proposal…
Modern data analysis increasingly requires flexible conditional inference P(X_B | X_A) where (X_A, X_B) is an arbitrary partition of observed variable X. Existing approaches are either restricted to a fixed conditioning structure or depend…
Background. Health economic evaluations of interventions against infectious diseases are commonly based on the predictions of ordinary differential equation (ODE) systems or Markov models (MMs). Standard MMs are static, whereas ODE systems…
In precision medicine, identifying optimal sequences of decision rules, termed dynamic treatment regimes (DTRs), is an important undertaking. One approach investigators may take to infer about optimal DTRs is via Bayesian dynamic Marginal…
System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…
Mathematical modeling with Ordinary Differential Equations (ODEs) has proven to be extremely successful in a variety of fields, including biology. However, these models are completely deterministic given a certain set of initial conditions.…
Estimating hidden states in dynamical systems, also known as optimal filtering, is a long-standing problem in various fields of science and engineering. In this paper, we introduce a general filtering framework, \textbf{LLM-Filter}, which…
Traditional models of climate change use complex systems of coupled equations to simulate physical processes across the Earth system. These simulations are highly computationally expensive, limiting our predictions of climate change and…
Functional data analysis, which models data as realizations of random functions over a continuum, has emerged as a useful tool for time series data. Often, the goal is to infer the dynamic connections (or time-varying conditional…
The recently introduced class of simultaneous graphical dynamic linear models (SGDLMs) defines an ability to scale on-line Bayesian analysis and forecasting to higher-dimensional time series. This paper advances the methodology of SGDLMs,…
Channel estimation is essential to massive multiple-input multiple-output (MIMO) systems. While recent generative model-based approaches using lightweight diffusion models (DMs) have achieved superior performance, they typically rely on a…
Stochastic kinetic models (SKMs) are increasingly used to account for the inherent stochasticity exhibited by interacting populations of species in areas such as epidemiology, population ecology and systems biology. Species numbers are…