Related papers: In-Context Learning of Stochastic Differential Equ…
This is an expository article on the score-based diffusion models, with a particular focus on the formulation via stochastic differential equations (SDE). After a gentle introduction, we discuss the two pillars in the diffusion modeling --…
Inferring a diffusion equation from discretely-observed measurements is a statistical challenge of significant importance in a variety of fields, from single-molecule tracking in biophysical systems to modeling financial instruments.…
Macroscopic traffic flow is stochastic, but the physics-informed deep learning methods currently used in transportation literature embed deterministic PDEs and produce point-valued outputs; the stochasticity of the governing dynamics plays…
Multiscale stochastic dynamical systems have been widely adopted to a variety of scientific and engineering problems due to their capability of depicting complex phenomena in many real world applications. This work is devoted to…
In this paper we analyze the behaviour of the stochastic gradient descent (SGD), a widely used method in supervised learning for optimizing neural network weights via a minimization of non-convex loss functions. Since the pioneering work of…
Stochastic differential equations (SDEs) are one of the most important representations of dynamical systems. They are notable for the ability to include a deterministic component of the system and a stochastic one to represent random…
In this paper we construct a framework for doing statistical inference for discretely observed stochastic differential equations (SDEs) where the driving noise has 'memory'. Classical SDE models for inference assume the driving noise to be…
We propose a new class of physics-informed neural networks, called physics-informed Variational Autoencoder (PI-VAE), to solve stochastic differential equations (SDEs) or inverse problems involving SDEs. In these problems the governing…
Discovering the underlying relationships among variables from temporal observations has been a longstanding challenge in numerous scientific disciplines, including biology, finance, and climate science. The dynamics of such systems are…
Continuous-time approximation of Stochastic Gradient Descent (SGD) is a crucial tool to study its escaping behaviors from stationary points. However, existing stochastic differential equation (SDE) models fail to fully capture these…
Deterministic flow models, such as rectified flows, offer a general framework for learning a deterministic transport map between two distributions, realized as the vector field for an ordinary differential equation (ODE). However, they are…
This paper focuses on a stochastic system identification problem: given time series observations of a stochastic differential equation (SDE) driven by L\'{e}vy $\alpha$-stable noise, estimate the SDE's drift field. For $\alpha$ in the…
Inverse problems describe the process of estimating the causal factors from a set of measurements or data. Mapping of often incomplete or degraded data to parameters is ill-posed, thus data-driven iterative solutions are required, for…
We investigate neural ordinary and stochastic differential equations (neural ODEs and SDEs) to model stochastic dynamics in fully and partially observed environments within a model-based reinforcement learning (RL) framework. Through a…
A potent class of generative models known as Diffusion Probabilistic Models (DPMs) has become prominent. A forward diffusion process adds gradually noise to data, while a model learns to gradually denoise. Sampling from pre-trained DPMs is…
In this paper, we address the issue of modeling and estimating changes in the state of the spatio-temporal dynamical systems based on a sequence of observations like video frames. Traditional numerical simulation systems depend largely on…
Stochastic partial differential equations (SPDEs) represent a very active research field with numerous recent developments and breakthrough results. There are several well-established approaches and methods used to construct solutions for…
The joint prediction of continuous fields and statistical estimation of the underlying discrete parameters is a common problem for many physical systems, governed by PDEs. Hitherto, it has been separately addressed by employing operator…
Dynamical systems that are subject to continuous uncertain fluctuations can be modelled using Stochastic Differential Equations (SDEs). Controlling such system results in solving path constrained SDEs. Broadly, these problems fall under the…
Bayesian flow networks (BFNs) iteratively refine the parameters, instead of the samples in diffusion models (DMs), of distributions at various noise levels through Bayesian inference. Owing to its differentiable nature, BFNs are promising…