9 papers
An optimal experimental design approach to sensor placement in continuous stochastic filtering
Sahani Pathiraja, Claudia Schillings, Philipp Wacker
Sequential filtering and spatial inverse problems assimilate data points distributed either temporally (in the case of filtering) or spatially (in the case of spatial inverse probl…
On MAP estimates and source conditions for drift identification in SDEs
Daniel Tenbrinck, Nikolas Uesseler, Philipp Wacker +1
We consider the inverse problem of identifying the drift in an SDE from observations of its solution at distinct time points. We derive a corresponding MAP estimate, we p…
Consensus-based optimization for closed-box adversarial attacks and a connection to evolution strategies
Tim Roith, Leon Bungert, Philipp Wacker
Consensus-based optimization (CBO) has established itself as an efficient gradient-free optimization scheme, with attractive mathematical properties, such as mean-field convergence…
Gradient-Free Sequential Bayesian Experimental Design via Interacting Particle Systems
Robert Gruhlke, Matei Hanu, Claudia Schillings +1
We introduce a gradient-free framework for Bayesian Optimal Experimental Design (BOED) in sequential settings, aimed at complex systems where gradient information is unavailable. O…
Mathematical description of continuous time and space replicator-mutator equations for quadratic fitness landscapes
Sahani Pathiraja, Philipp Wacker
The replicator-mutator equation is a model for populations of individuals carrying different traits, with a fitness function mediating their ability to replicate, and a stochastic…
Connections between sequential Bayesian inference and evolutionary dynamics
Sahani Pathiraja, Philipp Wacker
It has long been posited that there is a connection between the dynamical equations describing evolutionary processes in biology and sequential Bayesian learning methods. This manu…
How to survive the Squid Games using probability theory
Elena Moltchanova, Miguel Moyers-González, Geertrui Van de Voorde +2
In this paper, we consider how probability theory can be used to determine the survival strategy in two of the ``Squid Game" and ``Squid Game: The Challenge" challenges: the Hopsco…
Perspectives on locally weighted ensemble Kalman methods
Philipp Wacker
This manuscript derives locally weighted ensemble Kalman methods from the point of view of ensemble-based function approximation. This is done by using pointwise evaluations to bui…
Nested Sampling for Uncertainty Quantification and Rare Event Estimation
Jonas Latz, Doris Schneider, Philipp Wacker
Nested Sampling is a method for computing the Bayesian evidence, also called the marginal likelihood, which is the integral of the likelihood with respect to the prior. More genera…