7 citations · 7 across the 5 of their papers we have counts for
5 papers
Efficient Learning of Deep State Space Models via Importance Smoothing
John-Joseph Brady, Nikolas Nusken, Yunpeng Li
Latent state space systems are ubiquitous in statistical modelling, arising naturally when time series are observed through noisy measurements. However, training deep state space m…
Conditioning Diffusions Using Malliavin Calculus
Jakiw Pidstrigach, Elizabeth Baker, Carles Domingo-Enrich +2
In generative modelling and stochastic optimal control, a central computational task is to modify a reference diffusion process to maximise a given terminal-time reward. Most exist…
Transport meets Variational Inference: Controlled Monte Carlo Diffusions
Francisco Vargas, Shreyas Padhy, Denis Blessing +1
Connecting optimal transport and variational inference, we present a principled and systematic framework for sampling and generative modelling centred around divergences on path sp…
Interpolating between BSDEs and PINNs: deep learning for elliptic and parabolic boundary value problems
Nikolas Nüsken, Lorenz Richter
Solving high-dimensional partial differential equations is a recurrent challenge in economics, science and engineering. In recent years, a great number of computational approaches…
Bayesian Learning via Neural Schrödinger-Föllmer Flows
Francisco Vargas, Andrius Ovsianas, David Fernandes +3
In this work we explore a new framework for approximate Bayesian inference in large datasets based on stochastic control (i.e. Schrödinger bridges). We advocate stochastic control…