11 citations · 18 across the 7 of their papers we have counts for
10 papers · 1 filter
Diffusion Schrödinger Bridges for Bayesian Computation
Jeremy Heng, Valentin De Bortoli, Arnaud Doucet
Denoising diffusion models are a novel class of generative models that have recently become extremely popular in machine learning. In this paper, we describe how such ideas can als…
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models
Andras Fulop, Jeremy Heng, Junye Li
Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed contro…
Simulating Diffusion Bridges with Score Matching
Jeremy Heng, Valentin De Bortoli, Arnaud Doucet +1
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffu…
On Unbiased Estimation for Discretized Models
Jeremy Heng, Ajay Jasra, Kody J. H. Law +1
In this article, we consider computing expectations w.r.t. probability measures which are subject to discretization error. Examples include partially observed diffusion processes o…
Sequential Monte Carlo algorithms for agent-based models of disease transmission
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. Co…
A simple Markov chain for independent Bernoulli variables conditioned on their sum
Jeremy Heng, Pierre E. Jacob, Nianqiao Ju
We consider a vector of independent binary variables, each with a different probability of success. The distribution of the vector conditional on its sum is known as the condit…