| Publication | Date of Publication | Type |
|---|
Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread
Journal of the Royal Statistical Society. Series C. Applied Statistics | 2024-11-21 | Paper |
Stochastic mirror descent for convex optimization with consensus constraints
SIAM Journal on Applied Dynamical Systems | 2024-09-05 | Paper |
Optimal friction matrix for underdamped Langevin sampling
ESAIM: Mathematical Modelling and Numerical Analysis | 2024-01-22 | Paper |
Curvature Aligned Simplex Gradient: Principled Sample Set Construction For Numerical Differentiation
| 2023-10-19 | Paper |
Online parameter estimation for the McKean-Vlasov stochastic differential equation
Stochastic Processes and their Applications | 2023-07-12 | Paper |
On the Generalized Langevin Equation for Simulated Annealing
SIAM/ASA Journal on Uncertainty Quantification | 2023-06-30 | Paper |
Two-timescale stochastic gradient descent in continuous time with applications to joint online parameter estimation and optimal sensor placement
Bernoulli | 2023-03-22 | Paper |
A lagged particle filter for stable filtering of certain high-dimensional state-space models
SIAM/ASA Journal on Uncertainty Quantification | 2022-11-25 | Paper |
Unbiased estimation using a class of diffusion processes
Journal of Computational Physics | 2022-11-18 | Paper |
Joint online parameter estimation and optimal sensor placement for the partially observed stochastic advection-diffusion equation
SIAM/ASA Journal on Uncertainty Quantification | 2022-03-10 | Paper |
Unbiased Estimation using a Class of Diffusion Processes
| 2022-03-06 | Paper |
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
SIAM Journal on Scientific Computing | 2021-08-04 | Paper |
Book Reviews
SIAM Review | 2020-12-16 | Paper |
scientific article; zbMATH DE number 7286357 (Why is no real title available?)
| 2020-12-16 | Paper |
Two-Timescale Stochastic Gradient Descent in Continuous Time with Applications to Joint Online Parameter Estimation and Optimal Sensor Placement
| 2020-07-31 | Paper |
Distributed Maximum Likelihood for Simultaneous Self-Localization and Tracking in Sensor Networks
IEEE Transactions on Signal Processing | 2018-07-18 | Paper |
Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
SIAM Journal on Scientific Computing | 2018-06-05 | Paper |
Some recent developments in Markov chain Monte Carlo for cointegrated time series
ESAIM: Proceedings and Surveys | 2018-03-07 | Paper |
Calculating Principal Eigen-Functions of Non-Negative Integral Kernels: Particle Approximations and Applications
Mathematics of Operations Research | 2017-12-07 | Paper |
On the convergence of adaptive sequential Monte Carlo methods
The Annals of Applied Probability | 2016-06-09 | Paper |
On particle methods for parameter estimation in state-space models
Statistical Science | 2016-03-08 | Paper |
Bayesian parameter inference for partially observed stopped processes
Statistics and Computing | 2015-11-19 | Paper |
Gradient free parameter estimation for hidden Markov models with intractable likelihoods
Methodology and Computing in Applied Probability | 2015-07-31 | Paper |
Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
ACM Transactions on Modeling and Computer Simulation | 2015-02-26 | Paper |
Sequential Monte Carlo methods for high-dimensional inverse problems: a case study for the Navier-Stokes equations
SIAM/ASA Journal on Uncertainty Quantification | 2015-01-14 | Paper |
Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae
Stochastic Processes and their Applications | 2012-06-01 | Paper |
Simulation-based Bayesian optimal design of aircraft trajectories for air traffic management
International Journal of Adaptive Control and Signal Processing | 2010-12-21 | Paper |
Sequential Monte Carlo for model predictive control
Nonlinear Model Predictive Control | 2010-09-20 | Paper |
Stochastic Mirror Descent for Convex Optimization with Consensus Constraints
| N/A | Paper |
