1 code implementation • 7 Jun 2022 • Nicolas Chopin, Andras Fulop, Jeremy Heng, Alexandre H. Thiery
This paper is concerned with online filtering of discretely observed nonlinear diffusion processes.
1 code implementation • 14 Nov 2021 • Jeremy Heng, Valentin De Bortoli, Arnaud Doucet, James Thornton
This is known to be a challenging problem that has received much attention in the last two decades.
2 code implementations • NeurIPS 2021 • Valentin De Bortoli, James Thornton, Jeremy Heng, Arnaud Doucet
In contrast, solving the Schr\"odinger Bridge problem (SB), i. e. an entropy-regularized optimal transport problem on path spaces, yields diffusions which generate samples from the data distribution in finite time.
1 code implementation • 24 Feb 2021 • Jeremy Heng, Ajay Jasra, Kody J. H. Law, Alexander Tarakanov
In this article, we consider computing expectations w. r. t.
Bayesian Inference Computation Numerical Analysis Numerical Analysis Methodology
1 code implementation • 28 Jan 2021 • Nianqiao Ju, Jeremy Heng, Pierre E. Jacob
Agent-based models of disease transmission involve stochastic rules that specify how a number of individuals would infect one another, recover or be removed from the population.
Computation Cellular Automata and Lattice Gases Populations and Evolution Methodology
no code implementations • 31 Dec 2019 • Espen Bernton, Jeremy Heng, Arnaud Doucet, Pierre E. Jacob
This is achieved by iteratively modifying the transition kernels of the reference Markov chain to obtain a process whose marginal distribution at time $T$ becomes closer to $\pi_T = \pi$, via regression-based approximations of the corresponding iterative proportional fitting recursion.
no code implementations • 15 Jul 2019 • Ajay Jasra, Fangyuan Yu, Jeremy Heng
Under assumptions, this can achieve a mean square error of $\mathcal{O}(\epsilon^2)$, for $\epsilon>0$ arbitrary, such that the associated cost is $\mathcal{O}(\epsilon^{-4})$.
Numerical Analysis Numerical Analysis Probability
no code implementations • 23 Oct 2018 • Alexander Lin, Yingzhuo Zhang, Jeremy Heng, Stephen A. Allsop, Kay M. Tye, Pierre E. Jacob, Demba Ba
We propose a general statistical framework for clustering multiple time series that exhibit nonlinear dynamics into an a-priori-unknown number of sub-groups.
1 code implementation • 1 Sep 2017 • Jeremy Heng, Pierre E. Jacob
We propose a methodology to parallelize Hamiltonian Monte Carlo estimators.
Computation
1 code implementation • 29 Sep 2015 • Jeremy Heng, Arnaud Doucet, Yvo Pokern
Any measurable function $T:\mathbb{R}^{d}\rightarrow\mathbb{R}^{d}$ such that $Y=T(X)\sim\pi_{1}$ if $X\sim\pi_{0}$ is called a transport map from $\pi_{0}$ to $\pi_{1}$.
Computation