Related papers: A variational approach to sampling in diffusion pr…
Consider the problem of matching two independent i.i.d. samples of size $N$ from two distributions $P$ and $Q$ in $\mathbb{R}^d$. For an arbitrary continuous cost function, the optimal assignment problem looks for the matching that…
We consider a hidden Markov model, where the signal process, given by a diffusion, is only indirectly observed through some noisy measurements. The article develops a variational method for approximating the hidden states of the signal…
Many methods that build powerful variational distributions based on unadjusted Langevin transitions exist. Most of these were developed using a wide range of different approaches and techniques. Unfortunately, the lack of a unified analysis…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
A new method called "variational sampling" is proposed to estimate integrals under probability distributions that can be evaluated up to a normalizing constant. The key idea is to fit the target distribution with an exponential family model…
We study diffusive mixing in the presence of thermal fluctuations under the assumption of large Schmidt number. In this regime we obtain a limiting equation that contains a diffusive thermal drift term with diffusion coefficient obeying a…
Denoising diffusion models are a popular class of generative models providing state-of-the-art results in many domains. One adds gradually noise to data using a diffusion to transform the data distribution into a Gaussian distribution.…
Parametric estimation for diffusion processes is considered for high frequency observations over a fixed time interval. The processes solve stochastic differential equations with an unknown parameter in the diffusion coefficient. We find…
A model for diffusion in liquids that couples the dynamics of tracer particles to a fluctuating Stokes equation for the fluid is investigated in the limit of large Schmidt number. In this limit, the concentration of tracers is shown to…
In this paper we consider Bayesian estimation for the parameters of inverse Gaussian distribution. Our emphasis is on Markov Chain Monte Carlo methods. We provide complete implementation of the Gibbs sampler algorithm. Assuming an…
We provide a general framework for learning diffusion bridges that transport prior to target distributions. It includes existing diffusion models for generative modeling, but also underdamped versions with degenerate diffusion matrices,…
Gibbs sampling repeatedly samples from the conditional distribution of one variable, x_i, given other variables, either choosing i randomly, or updating sequentially using some systematic or random order. When x_i is discrete, a Gibbs…
In this article, we prove the Eyring-Kramers formula for non-reversible metastable diffusion processes that have a Gibbs invariant measure. Our result indicates that non-reversible processes exhibit faster metastable transitions between…
Denoising diffusion models are a novel class of generative models that have recently become extremely popular in machine learning. In this paper, we describe how such ideas can also be used to sample from posterior distributions and, more…
This is an attempt to address diffusion phenomena from the point of view of information theory. We imagine a regular hamiltonian system under the random perturbation of thermal (molecular) noise and chaotic instability. The irregularity of…
The rapidly increasing complexity of (mainly wireless) ad-hoc networks stresses the need of reliable distributed estimation of several variables of interest. The widely used centralized approach, in which the network nodes communicate their…
Diffusion-based posterior samplers use pretrained diffusion priors to sample from measurement- or reward-conditioned posteriors, and are widely used for inverse problems. Yet their theoretical behavior remains poorly understood: even with…
Connecting optimal transport and variational inference, we present a principled and systematic framework for sampling and generative modelling centred around divergences on path space. Our work culminates in the development of the…
This paper presents an improved implicit sampling method for hierarchical Bayesian inverse problems. A widely used approach for sampling posterior distribution is based on Markov chain Monte Carlo (MCMC). However, the samples generated by…
Schr\"odinger bridges (SBs) provide an elegant framework for modeling the temporal evolution of populations in physical, chemical, or biological systems. Such natural processes are commonly subject to changes in population size over time…