362 citations · 470 across the 35 of their papers we have counts for
16 papers · 1 filter
Smoothness and other hyperparameter estimation for inverse problems related to data assimilation
Baptiste Simandoux, Nikolas Kantas, Dan Crisan
We consider Bayesian inverse problems arising in data assimilation for dynamical systems governed by partial and stochastic partial differential equations. The space-time dependent…
Particle Filtering for a Class of State-Space Models with Low and Degenerate Observational Noise
Abylay Zhumekenov, Alexandros Beskos, Dan Crisan +2
We consider the discrete-time filtering problem in scenarios where the observation noise is low or degenerate. We focus on the case where the observation equation is a linear funct…
Sequential Markov Chain Monte Carlo for Filtering of State-Space Models with Low or Degenerate Observation Noise
Abylay Zhumekenov, Alexandros Beskos, Dan Crisan +2
We consider the discrete-time filtering problem in scenarios where the observation noise is degenerate or low. More precisely, one is given access to a discrete time observation se…
Unbiased Estimation using a Class of Diffusion Processes
Hamza Ruzayqat, Alexandros Beskos, Dan Crisan +2
We study the problem of unbiased estimation of expectations with respect to (w.r.t.) a given, general probability measure on that is…
Optimal friction matrix for underdamped Langevin sampling
Martin Chak, Nikolas Kantas, Tony Lelièvre +1
A systematic procedure for optimising the friction coefficient in underdamped Langevin dynamics as a sampling tool is given by taking the gradient of the associated asymptotic vari…
A Lagged Particle Filter for Stable Filtering of certain High-Dimensional State-Space Models
Hamza Ruzayqat, Aimad Er-Raiy, Alexandros Beskos +3
We consider the problem of high-dimensional filtering of state-space models (SSMs) at discrete times. This problem is particularly challenging as analytical solutions are typically…