1 code implementation • 5 Apr 2021 • Felix X. -F. Ye, Sichen Yang, Mauro Maggioni
Given only access to a black box simulator from which short bursts of simulation can be obtained, we design an algorithm that outputs an estimate of the invariant manifold, a process of the effective stochastic dynamics on it, which has averaged out the fast modes, and a simulator thereof.
no code implementations • 25 Feb 2021 • Xingjie Li, Fei Lu, Felix X. -F. Ye
However, locally Lipschitz SDEs often require special treatments such as implicit schemes with small time-steps to accurately simulate the ergodic measure.
no code implementations • 17 Oct 2017 • Felix X. -F. Ye, Yi-An Ma, Hong Qian
Inference in hidden Markov model has been challenging in terms of scalability due to dependencies in the observation data.