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08/15/2023
Nonnegative matrix factorization for coherent set identification by direct low rank maximum likelihood estimation
We analyze connections between two low rank modeling approaches from the...
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07/28/2023
From continuous-time formulations to discretization schemes: tensor trains and robust regression for BSDEs and parabolic PDEs
The numerical approximation of partial differential equations (PDEs) pos...
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07/03/2023
Transport, Variational Inference and Diffusions: with Applications to Annealed Flows and Schrödinger Bridges
This paper explores the connections between optimal transport and variat...
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12/07/2021
Interpolating between BSDEs and PINNs – deep learning for elliptic and parabolic boundary value problems
Solving high-dimensional partial differential equations is a recurrent c...
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11/20/2021
Bayesian Learning via Neural Schrödinger-Föllmer Flows
In this work we explore a new framework for approximate Bayesian inferen...
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07/14/2021
Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
Motivated by the challenge of incorporating data into misspecified and m...
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02/25/2021
Stein Variational Gradient Descent: many-particle and long-time asymptotics
Stein variational gradient descent (SVGD) refers to a class of methods f...
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02/23/2021
Solving high-dimensional parabolic PDEs using the tensor train format
High-dimensional partial differential equations (PDEs) are ubiquitous in...
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10/20/2020
VarGrad: A Low-Variance Gradient Estimator for Variational Inference
We analyse the properties of an unbiased gradient estimator of the ELBO ...
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05/11/2020
Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space
Optimal control of diffusion processes is intimately connected to the pr...
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12/05/2019
Affine invariant interacting Langevin dynamics for Bayesian inference
We propose a computational method (with acronym ALDI) for sampling from ...
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08/28/2019
Note on Interacting Langevin Diffusions: Gradient Structure and Ensemble Kalman Sampler by Garbuno-Inigo, Hoffmann, Li and Stuart
An interacting system of Langevin dynamics driven particles has been pro...
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08/26/2018
Hypocoercivity of Piecewise Deterministic Markov Process-Monte Carlo
In this work, we establish L^2-exponential convergence for a broad class...
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08/26/2018