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In this paper, we develop and analyze a stochastic algorithm for solving space-time fractional diffusion models, which are widely used to describe anomalous diffusion dynamics. These models pose substantial numerical challenges due to the…
We provide a mathematical study of the modified Diffusion Monte Carlo (DMC) algorithm introduced in the companion article \cite{DMC}. DMC is a simulation technique that uses branching particle systems to represent expectations associated…
Particle smoothing methods are used for inference of stochastic processes based on noisy observations. Typically, the estimation of the marginal posterior distribution given all observations is cumbersome and computational intensive. In…
We propose a Deep-Picard iteration framework for high-dimensional nonlinear space-time fractional diffusion equations.The method is based on a nonlinear fractional Feynman--Kac fixed-point formulation, which replaces direct discretization…
Diffusion models have achieved great success in generating high-dimensional samples across various applications. While the theoretical guarantees for continuous-state diffusion models have been extensively studied, the convergence analysis…
Spatial profiling technologies in biology, such as imaging mass cytometry (IMC) and spatial transcriptomics (ST), generate high-dimensional, multi-channel data with strong spatial alignment and complex inter-channel relationships.…
While score-based generative models are the model of choice across diverse domains, there are limited tools available for controlling inference-time behavior in a principled manner, e.g. for composing multiple pretrained models. Existing…
State-of-the-art methods for Bayesian inference in state-space models are (a) conditional sequential Monte Carlo (CSMC) algorithms; (b) sophisticated 'classical' MCMC algorithms like MALA, or mGRAD from Titsias and Papaspiliopoulos (2018,…
Particle filtering is a Bayesian inference method and a fundamental tool in state estimation for dynamic systems, but its effectiveness is often limited by the constraints of the initial prior distribution, a phenomenon we define as the…
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)…
We propose a methodology that combines generative latent diffusion models with physics-informed machine learning to generate solutions of parametric partial differential equations (PDEs) conditioned on partial observations, which includes,…
Recent advances in denoising diffusion probabilistic models have shown great success in image synthesis tasks. While there are already works exploring the potential of this powerful tool in image semantic segmentation, its application in…
Single-particle traces of the diffusive motion of molecules, cells, or animals are by-now routinely measured, similar to stochastic records of stock prices or weather data. Deciphering the stochastic mechanism behind the recorded dynamics…
Continuous time Feynman-Kac measures on path spaces are central in applied probability, partial differential equation theory, as well as in quantum physics. This article presents a new duality formula between normalized Feynman-Kac…
State space models (SSMs) provide a flexible framework for modeling complex time series via a latent stochastic process. Inference for nonlinear, non-Gaussian SSMs is often tackled with particle methods that do not scale well to long time…
Discretizations of the Feynman-Kac path integral representation of the quantum mechanical density matrix are investigated. Each infinite-dimensional path integral is approximated by a Riemann integral over a finite-dimensional function…
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…
We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states…
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…
Diffusion models over discrete spaces have recently shown striking empirical success, yet their theoretical foundations remain incomplete. In this paper, we study the sampling efficiency of score-based discrete diffusion models under a…