4 papers · 1 filter
Neural Backward Filtering Forward Guiding
Gefan Yang, Frank van der Meulen, Stefan Sommer
Inference in nonlinear continuous stochastic processes on trees is challenging, particularly when observations are sparse and the topology is complex. Exact smoothing via Doob's $h…
Neural Guided Diffusion Bridges
Gefan Yang, Frank van der Meulen, Stefan Sommer
We propose a novel method for simulating conditioned diffusion processes (diffusion bridges) in Euclidean spaces. By training a neural network to approximate bridge dynamics, our a…
Parameter Inference via Differentiable Diffusion Bridge Importance Sampling
Nicklas Boserup, Gefan Yang, Michael Lind Severinsen +2
We introduce a methodology for performing parameter inference in high-dimensional, non-linear diffusion processes. We illustrate its applicability for obtaining insights into the e…
Conditioning non-linear and infinite-dimensional diffusion processes
Elizabeth Louise Baker, Gefan Yang, Michael L. Severinsen +2
Generative diffusion models and many stochastic models in science and engineering naturally live in infinite dimensions before discretisation. To incorporate observed data for stat…