3 papers
stat.CO2026
On the complexity of standard and waste-free SMC samplers
Yvann Le Fay, Nicolas Chopin, Matti Vihola
We establish finite sample bounds for the error of standard and waste-free SMC samplers. Our results cover estimates of both expectations and normalising constants of the target di…
stat.CO2025
Least squares variational inference
Yvann Le Fay, Nicolas Chopin, Simon Barthelmé
Variational inference consists in finding the best approximation of a target distribution within a certain family, where `best' means (typically) smallest Kullback-Leiber divergenc…
math.NA2025
Modelling pathwise uncertainty of Stochastic Differential Equations samplers via Probabilistic Numerics
Yvann Le Fay, Simo Särkkä, Adrien Corenflos
Probabilistic ordinary differential equation (ODE) solvers have been introduced over the past decade as uncertainty-aware numerical integrators. They typically proceed by assuming…