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06/27/2023
Debiasing Piecewise Deterministic Markov Process samplers using couplings
Monte Carlo methods - such as Markov chain Monte Carlo (MCMC) and piecew...
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03/11/2023
Variational Gaussian filtering via Wasserstein gradient flows
We present a novel approach to approximate Gaussian and mixture-of-Gauss...
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03/01/2023
Auxiliary MCMC and particle Gibbs samplers for parallelisable inference in latent dynamical systems
We introduce two new classes of exact Markov chain Monte Carlo (MCMC) sa...
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06/29/2022
Parallel square-root statistical linear regression for inference in nonlinear state space models
In this article, we introduce parallel-in-time methods for state and par...
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02/04/2022
De-Sequentialized Monte Carlo: a parallel-in-time particle smoother
Particle smoothers are SMC (Sequential Monte Carlo) algorithms designed ...
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01/24/2022
The Coupled Rejection Sampler
We propose a coupled rejection-sampling method for sampling from couplin...
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02/19/2021
Temporal Gaussian Process Regression in Logarithmic Time
The aim of this article is to present a novel parallelization method for...
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02/15/2021
Differentiable Particle Filtering via Entropy-Regularized Optimal Transport
Particle Filtering (PF) methods are an established class of procedures f...
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01/31/2021