Related papers: New Ensemble Domain Decomposition Method for the S…

In engineering, accurately modeling nonlinear dynamic systems from data contaminated by noise is both essential and complex. Established Sequential Monte Carlo (SMC) methods, used for the Bayesian identification of these systems, facilitate…

Irreversible and rejection-free Monte Carlo methods, recently developed in Physics under the name Event-Chain and known in Statistics as Piecewise Deterministic Monte Carlo (PDMC), have proven to produce clear acceleration over standard…

We present a new method to couple the Direct Simulation Monte Carlo (DSMC) algorithm with molecular dynamics (MD). The coupling approach generalizes prior coupling methods using a cell-based decision. The approach is supported by a lifting…

Performing exact Bayesian inference for complex models is computationally intractable. Markov chain Monte Carlo (MCMC) algorithms can provide reliable approximations of the posterior distribution but are expensive for large datasets and…

Although synthetic data can alleviate acquisition challenges in image dehazing tasks, it also introduces the problem of domain bias when dealing with small-scale data. This paper proposes a novel dual-branch collaborative unpaired dehazing…

We develop randomized (block) coordinate descent (CD) methods for linearly constrained convex optimization. Unlike most CD methods, we do not assume the constraints to be separable, but let them be coupled linearly. To our knowledge, ours…

Sequential Monte Carlo (SMC) methods offer a principled approach to Bayesian uncertainty quantification but are traditionally limited by the need for full-batch gradient evaluations. We introduce a scalable variant by incorporating…

Restricted Boltzmann Machines are simple and powerful generative models that can encode any complex dataset. Despite all their advantages, in practice the trainings are often unstable and it is difficult to assess their quality because the…

We propose a new computationally efficient sampling scheme for Bayesian inference involving high dimensional probability distributions. Our method maps the original parameter space into a low-dimensional latent space, explores the latent…

We propose a new Markov Chain Monte Carlo (MCMC) method for constrained target distributions. Our method first maps the $D$-dimensional constrained domain of parameters to the unit ball ${\bf B}_0^D(1)$. Then, it augments the resulting…

Sequential Monte Carlo (SMC) algorithms represent a suite of robust computational methodologies utilized for state estimation and parameter inference within dynamical systems, particularly in real-time or online environments where data…

In this paper we propose a parallel coordinate descent algorithm for solving smooth convex optimization problems with separable constraints that may arise e.g. in distributed model predictive control (MPC) for linear network systems. Our…

We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for…

Piecewise-deterministic Markov process (PDMP) samplers constitute a state-of-the-art Markov chain Monte Carlo paradigm in Bayesian computation, with examples including the zig-zag and bouncy particle sampler (bps). Recent work on the…

In this paper we consider a new probability sampling methods based on Langevin diffusion dynamics to resolve the problem of existing Monte Carlo algorithms when draw samples from high dimensional target densities. We extent…

Scientific research and engineering practice often require the modeling and decomposition of nonlinear systems. The Dynamic Mode Decomposition (DMD) is a novel Koopman-based technique that effectively dissects high-dimensional nonlinear…

In this article we propose a novel MCMC method based on deterministic transformations T: X x D --> X where X is the state-space and D is some set which may or may not be a subset of X. We refer to our new methodology as Transformation-based…

Single-particle imaging with X-ray free-electron lasers depends crucially on algorithms that merge large numbers of weak diffraction patterns despite missing measurements of parameters such as particle orientations. The…

This paper investigates Monte Carlo (MC) methods to estimate probabilities of rare events associated with solutions to the $d$-dimensional McKean-Vlasov stochastic differential equation (MV-SDE). MV-SDEs are usually approximated using a…

A strategy to construct physics-based local surrogate models for parametric Stokes flows and coupled Stokes-Darcy systems is presented. The methodology relies on the proper generalized decomposition (PGD) method to reduce the dimensionality…