Related papers: A generalized reduction scheme for the Stochastic …
Since Pearson [Philosophical Transactions of the Royal Society of London. A, 185 (1894), pp. 71-110] first applied the method of moments (MM) for modeling data as a mixture of one-dimensional Gaussians, moment-based estimation methods have…
We introduce neural particle smoothing, a sequential Monte Carlo method for sampling annotations of an input string from a given probability model. In contrast to conventional particle filtering algorithms, we train a proposal distribution…
As a counterpoint to classical stochastic particle methods for linear diffusion equations, we develop a deterministic particle method for the weighted porous medium equation (WPME) and prove its convergence on bounded time intervals. This…
The energy-conserving sampling and weighting (ECSW) method is a hyperreduction method originally developed for accelerating the performance of Galerkin projection-based reduced-order models (PROMs) associated with large-scale finite element…
Gaussian process state-space models (GP-SSMs) are a very flexible family of models of nonlinear dynamical systems. They comprise a Bayesian nonparametric representation of the dynamics of the system and additional (hyper-)parameters…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…
Common trends in model order reduction of large nonlinear finite-element-discretized systems involve the introduction of a linear mapping into a reduced set of unknowns, followed by Galerkin projection of the governing equations onto a…
In this work, we propose a novel methodology for robustly estimating particle size distributions from optical scattering measurements using constrained Gaussian process regression. The estimation of particle size distributions is commonly…
We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…
We study estimation in the low signal-to-noise ratio (SNR) regime for a broad class of Gaussian latent-variable models, including Gaussian mixtures and orbit recovery problems. We show that, in this regime, the generalized method-of-moments…
This paper proposes a numerical method for solving time-dependent Schrodinger equations with finite spectral bandwidth, which applies to both periodic and non-periodic cases. We introduce the concept of Pulse Width Modulation (PWM), which…
The challenging problem of conducting fully Bayesian inference for the reaction rate constants governing stochastic kinetic models (SKMs) is considered. Given the challenges underlying this problem, the Markov jump process representation is…
The simplest, and most common, stochastic model for population processes, including those from biochemistry and cell biology, are continuous time Markov chains. Simulation of such models is often relatively straightforward as there are…
The growing prevalence of nonsmooth optimization problems in machine learning has spurred significant interest in generalized smoothness assumptions. Among these, the (L0, L1)-smoothness assumption has emerged as one of the most prominent.…
Gradient flow in the 2-Wasserstein space is widely used to optimize functionals over probability distributions and is typically implemented using an interacting particle system with $n$ particles. Analyzing these algorithms requires showing…
In the realm of statistical learning, the increasing volume of accessible data and increasing model complexity necessitate robust methodologies. This paper explores two branches of robust Bayesian methods in response to this trend. The…
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…
Stochastic gradient descent with momentum (SGDM) is the dominant algorithm in many optimization scenarios, including convex optimization instances and non-convex neural network training. Yet, in the stochastic setting, momentum interferes…
The stochastic theory of non-relativistic quantum mechanics presented here relies heavily upon the theory of stochastic processes, with its definitions, theorems and specific vocabulary as well. Its main hypothesis states indeed that the…
We study a family of numerical schemes applied to a class of multiscale systems of stochastic differential equations. When the time scale separation parameter vanishes, a well-known Smoluchowski--Kramers diffusion approximation result…