181 citations · 755 across the 107 of their papers we have counts for
6 papers · 2 filters
Particle Filtering for Stochastic Navier-Stokes Signal Observed with Linear Additive Noise
Francesc Pons Llopis, Nikolas Kantas, Alexandros Beskos +1
We consider a non-linear filtering problem, whereby the signal obeys the stochastic Navier-Stokes equations and is observed through a linear mapping with additive noise. The setup…
Advanced Multilevel Monte Carlo Methods
Ajay Jasra, Kody Law, Carina Suciu
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which c…
A Multi-Index Markov Chain Monte Carlo Method
Ajay Jasra, Kengo Kamatani, Kody Law +1
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only r…
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with…
Unbiased Multi-index Monte Carlo
Dan Crisan, Pierre Del Moral, Jeremie Houssineau +1
We introduce a new class of Monte Carlo based approximations of expectations of random variables such that their laws are only available via certain discretizations. Sampling from…
Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort t…