Related papers: Sequential Monte Carlo Squared for online inferenc…
The effect of spatial correlations on the spread of infectious diseases was investigated using a stochastic SIR (Susceptible-Infective-Recovered) model on complex networks. It was found that in addition to the reduction of the effective…
This work presents self-rewarding sequential Monte Carlo (SMC), an inference-time scaling algorithm enabling effective sampling of masked diffusion language models (MDLMs). Our algorithm stems from the observation that most existing MDLMs…
This paper introduces methodology for performing Bayesian inference sequentially on a sequence of posteriors on spaces of different dimensions. We show how this may be achieved through the use of sequential Monte Carlo (SMC) samplers (Del…
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in the smoothing mode is that the resampling mechanism introduces…
Epidemiological models have tremendous potential to forecast disease burden and quantify the impact of interventions. Detailed models are increasingly popular, however these models tend to be stochastic and very costly to evaluate.…
Modeling spreading processes in complex random networks plays an essential role in understanding and prediction of many real phenomena like epidemics or rumor spreading. The dynamics of such systems may be represented algorithmically by…
Sequential Monte Carlo Samplers are a class of stochastic algorithms for Monte Carlo integral estimation w.r.t. probability distributions, which combine elements of Markov chain Monte Carlo methods and importance sampling/resampling…
Markov Chain Monte Carlo (MCMC) algorithms are routinely used to draw samples from distributions with intractable normalization constants. However, standard MCMC algorithms do not apply to doubly-intractable distributions in which there are…
This paper introduces the Sequential Monte Carlo Transformer, an original approach that naturally captures the observations distribution in a transformer architecture. The keys, queries, values and attention vectors of the network are…
Practical parameter identifiability in ODE-based epidemiological models is a known issue, yet one that merits further study. It is essentially ubiquitous due to noise and errors in real data. In this study, to avoid uncertainty stemming…
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…
Sequential Monte Carlo (SMC) samplers are powerful tools for Bayesian inference but suffer from high computational costs due to their reliance on large particle ensembles for accurate estimates. We introduce persistent sampling (PS), an…
We present a variational method for online state estimation and parameter learning in state-space models (SSMs), a ubiquitous class of latent variable models for sequential data. As per standard batch variational techniques, we use…
Modern macroeconometrics often relies on time series models for which it is time-consuming to evaluate the likelihood function. We demonstrate how Bayesian computations for such models can be drastically accelerated by reweighting and…
Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective…
This paper extends the canonical model of epidemiology, SIRD model, to allow for time varying parameters for real-time measurement of the stance of the COVID-19 pandemic. Time variation in model parameters is captured using the generalized…
Sequential Monte Carlo (SMC) is an inference algorithm for state space models that approximates the posterior by sampling from a sequence of target distributions. The target distributions are often chosen to be the filtering distributions,…
The dramatic outbreak of the coronavirus disease 2019 (COVID-19) pandemics and its ongoing progression boosted the scientific community's interest in epidemic modeling and forecasting. The SIR (Susceptible-Infected-Removed) model is a…
We present a modelling framework for the spreading of epidemics on temporal networks from which both the individual-based and pair-based models can be recovered. The proposed temporal pair-based model that is systematically derived from…
We study statistical model checking of continuous-time stochastic hybrid systems. The challenge in applying statistical model checking to these systems is that one cannot simulate such systems exactly. We employ the multilevel Monte Carlo…