7 citations · 8 across the 16 of their papers we have counts for
16 papers
Two Localization Strategies for Sequential MCMC Data Assimilation with Applications to Nonlinear Non-Gaussian Geophysical Models
Hamza Ruzayqat, Hristo G. Chipilski, Omar Knio
We present a localized data assimilation (DA) scheme based on sequential Markov Chain Monte Carlo (SMCMC) \cite{smcmc}, a provably convergent method for filtering high-dimensional,…
Whittle-Matérn Fields with Variable Smoothness
Hamza Ruzayqat, Wenyu Lei, David Bolin +2
We introduce and analyze a nonlocal generalization of Whittle--Matérn Gaussian fields in which the smoothness parameter varies in space through the fractional order, $s=s(x)\in[\un…
Local Sequential MCMC for Data Assimilation with Applications in Geoscience
Hamza Ruzayqat, Omar Knio
This paper presents a new data assimilation (DA) scheme based on a sequential Markov Chain Monte Carlo (SMCMC) DA technique [Ruzayqat et al. 2024] which is provably convergent and…
Unbiased and Multilevel Methods for a Class of Diffusions Partially Observed via Marked Point Processes
Miguel Alvarez, Ajay Jasra, Hamza Ruzayqat
In this article we consider the filtering problem associated to partially observed diffusions, with observations following a marked point process. In the model, the data form a poi…
Bayesian Parameter Inference for Partially Observed Stochastic Volterra Equations
Ajay Jasra, Hamza Ruzayqat, Amin Wu
In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathe…
Bayesian Parameter Inference for Partially Observed Diffusions using Multilevel Stochastic Runge-Kutta Methods
Pierre Del Moral, Shulan Hu, Ajay Jasra +2
We consider the problem of Bayesian estimation of static parameters associated to a partially and discretely observed diffusion process. We assume that the exact transition dynamic…
Unbiased Parameter Estimation for Partially Observed Diffusions
Elsiddig Awadelkarim, Ajay Jasra, Hamza Ruzayqat
In this article we consider the estimation of static parameters for partially observed diffusion process with discrete-time observations over a fixed time interval. In particular,…
Sequential Markov Chain Monte Carlo for Lagrangian Data Assimilation with Applications to Unknown Data Locations
Hamza Ruzayqat, Alexandros Beskos, Dan Crisan +2
We consider a class of high-dimensional spatial filtering problems, where the spatial locations of observations are unknown and driven by the partially observed hidden signal. This…
Unbiased Estimation using Underdamped Langevin Dynamics
Hamza Ruzayqat, Neil K. Chada, Ajay Jasra
In this work we consider the unbiased estimation of expectations w.r.t.~probability measures that have non-negative Lebesgue density, and which are known point-wise up-to a normali…
Unbiased Estimation using a Class of Diffusion Processes
Hamza Ruzayqat, Alexandros Beskos, Dan Crisan +2
We study the problem of unbiased estimation of expectations with respect to (w.r.t.) a given, general probability measure on that is…
Unbiased Parameter Inference for a Class of Partially Observed Levy-Process Models
Hamza Ruzayqat, Ajay Jasra
We consider the problem of static Bayesian inference for partially observed Levy-process models. We develop a methodology which allows one to infer static parameters and some state…
A Lagged Particle Filter for Stable Filtering of certain High-Dimensional State-Space Models
Hamza Ruzayqat, Aimad Er-Raiy, Alexandros Beskos +3
We consider the problem of high-dimensional filtering of state-space models (SSMs) at discrete times. This problem is particularly challenging as analytical solutions are typically…
Multilevel Estimation of Normalization Constants Using the Ensemble Kalman-Bucy Filter
Hamza Ruzayqat, Neil K. Chada, Ajay Jasra
In this article we consider the application of multilevel Monte Carlo, for the estimation of normalizing constants. In particular we will make use of the filtering algorithm, the e…
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
Dan Crisan, Pierre Del Moral, Ajay Jasra +1
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-B…
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
Alexandros Beskos, Dan Crisan, Ajay Jasra +2
We consider the problem of parameter estimation for a class of continuous-time state space models. In particular, we explore the case of a partially observed diffusion, with data a…
Unbiased Estimation of the Solution to Zakai's Equation
Hamza M. Ruzayqat, Ajay Jasra
In the following article we consider the non-linear filtering problem in continuous-time and in particular the solution to Zakai's equation or the normalizing constant. We develop…