相关论文: Weak backward error analysis for overdamped Langev…

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…

Stochastic variational inference for collapsed models has recently been successfully applied to large scale topic modelling. In this paper, we propose a stochastic collapsed variational inference algorithm for hidden Markov models, in a…

This work focuses on the numerical approximation of the Shallow Water Equations (SWE) using a Lagrange-Projection type approach. We propose to extend to this context recent implicit-explicit schemes developed in the framework of…

Langevin algorithms are gradient descent methods augmented with additive noise, and are widely used in Markov Chain Monte Carlo (MCMC) sampling, optimization, and machine learning. In recent years, the non-asymptotic analysis of Langevin…

This paper focus on the convergence of stochastic approximation with Nesterov momentum. Nesterov acceleration has proven effective in machine learning for its ability to reduce computational complexity. The issue of delayed information in…

Stochastic gradient descent (SGD) optimization algorithms are key ingredients in a series of machine learning applications. In this article we perform a rigorous strong error analysis for SGD optimization algorithms. In particular, we prove…

With this contribution, we shed light on the relation between the discrete adjoints of multistep backward differentiation formula (BDF) methods and the solution of the adjoint differential equation. To this end, we develop a…

This article introduces a novel residual-based a posteriori error estimators for the Modified Weak Galerkin (MWG) finite element method applied to the obstacle problem. To the best of the author's knowledge, this work represents the first…

We introduce a novel numerical approach for a class of stochastic dynamic programs which arise as discretizations of backward stochastic differential equations or semi-linear partial differential equations. Solving such dynamic programs…

We focus on learning unknown dynamics from data using ODE-nets templated on implicit numerical initial value problem solvers. First, we perform Inverse Modified error analysis of the ODE-nets using unrolled implicit schemes for ease of…

We present a variant of accelerated gradient descent algorithms, adapted from Nesterov's optimal first-order methods, for weakly-quasi-convex and weakly-quasi-strongly-convex functions. We show that by tweaking the so-called estimate…

We characterize the measurement complexity of compressed sensing of signals drawn from a known prior distribution, even when the support of the prior is the entire space (rather than, say, sparse vectors). We show for Gaussian measurements…

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…

We introduce a family of implicit probabilistic integrators for initial value problems (IVPs), taking as a starting point the multistep Adams-Moulton method. The implicit construction allows for dynamic feedback from the forthcoming…

In this work, we develop analysis and algorithms for a class of (stochastic) bilevel optimization problems whose lower-level (LL) problem is strongly convex and linearly constrained. Most existing approaches for solving such problems rely…

In this paper, we consider the stochastic Langevin equation with additive noises, which possesses both conformal symplectic geometric structure and ergodicity. We propose a methodology of constructing high weak order conformal symplectic…

A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic variance with respect to friction. We give an expression for…

We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends on some unknown parameter and the…

Ensemble methods have become ubiquitous for the solution of Bayesian inference problems. State-of-the-art Langevin samplers such as the Ensemble Kalman Sampler (EKS), Affine Invariant Langevin Dynamics (ALDI) or its extension using weighted…

We introduce a general algorithm for the computation of the scale functions of a spectrally negative L\'evy process $X$, based on a natural weak approximation of $X$ via upwards skip-free continuous-time Markov chains with stationary…