Related papers: Computable infinite dimensional filters with appli…
Probabilistic models based on continuous latent spaces, such as variational autoencoders, can be understood as uncountable mixture models where components depend continuously on the latent code. They have proven to be expressive tools for…
Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. The smoothing problem consists of recovering the path of the…
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…
"Particle methods" are sequential Monte Carlo algorithms, typically involving importance sampling, that are used to estimate and sample from joint and marginal densities from a collection of a, presumably increasing, number of random…
Computing expected predictions of discriminative models is a fundamental task in machine learning that appears in many interesting applications such as fairness, handling missing values, and data analysis. Unfortunately, computing…
We provide an overview on how to use the measurable selection techniques to derive the dynamic programming principle for a general stochastic optimal control/stopping problem. By considering its martingale problem formulation on the…
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…
This paper investigates the distributionally robust filtering of signals generated by state-space models driven by exogenous disturbances with noisy observations in finite and infinite horizon scenarios. The exact joint probability…
Pathwise predictability and predictors for discrete time processes are studied in deterministic setting. It is suggested to approximate convolution sums over future times by convolution sums over past time. It is shown that all band-limited…
Leveraging an algebraic approach built on minimal realizations and conditional expectations in quantum probability, we propose a method to reduce the dimension of quantum filters in discrete-time, while maintaining the correct distributions…
The Derivative-free nonlinear Kalman Filter is proposed for state estimation and fault diagnosis in distributed parameter systems and particularly in dynamical systems described by partial differential equations of the nonlinear wave type.…
The least squares linear filter, also called the Wiener filter, is a popular tool to predict the next element(s) of time series by linear combination of time-delayed observations. We consider observation sequences of deterministic dynamics,…
A joint characterization of reachability (controllability) and observability (constructibility) for linear SISO nonuniformly sampled discrete systems is presented. The work generalizes to the nonuniform sampling the criterion known for the…
We develop a Markov process viewpoint for discrete circular distributions motivated by directional-statistics settings where angles are observed on a finite grid and evolve over time. On the $m$-point discrete circle, the cycle graph, we…
Diffusion models, a powerful and universal generative AI technology, have achieved tremendous success in computer vision, audio, reinforcement learning, and computational biology. In these applications, diffusion models provide flexible…
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…
We consider the question of computing invariant measures from an abstract point of view. We work in a general framework (computable metric spaces, computable measures and functions) where this problem can be posed precisely. We consider…
We present an ``equation-free'' multiscale approach to the simulation of unsteady diffusion in a random medium. The diffusivity of the medium is modeled as a random field with short correlation length, and the governing equations are cast…
Nonlinear filtering problems are encountered in many applications, and one solution approach is the extended Kalman filter, which is not always convergent. Therefore, it is crucial to identify conditions under which the extended Kalman…
This article is concerned with the convergence of the state estimate obtained from the discrete time Kalman filter to the continuous time estimate as the temporal discretization is refined. We derive convergence rate estimates for different…