Research
Google Scholar
Link to my Google Scholar page.
Articles
Diffusion Schrödinger Bridge for Bayesian computation (co-authors: Valentin De Bortoli and Arnaud Doucet). Statistical Science, 39(1):90-99, 2024. Link, arXiv:2308.14106
Computational Doob's h-transforms for Online Filtering of Discretely Observed Diffusions (co-authors: Nicolas Chopin, Andras Fulop and Alexandre H. Thiery). ICML 2023. arXiv:2206.03369, Python package
Simulating Diffusion Bridges with Score Matching (co-authors: Valentin De Bortoli, Arnaud Doucet and James Thornton). arXiv:2111.07243, Python package
Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models (co-authors: Andras Fulop and Junye Li). SSRN.3878869, arXiv:2201.01094
Diffusion Schrödinger Bridge with Applications to Score-Based Generative Modeling (co-authors: Valentin De Bortoli, James Thornton and Arnaud Doucet). NeurIPS 2021 (Spotlight). arXiv:2106.01357, Python package
On Unbiased Score Estimation for Partially Observed Diffusions (co-authors: Jeremie Houssineau and Ajay Jasra). Journal of Machine Learning Research, 25(66):1-66, 2024. arXiv:2105.04912, R package
On Unbiased Estimation for Discretized Models (co-authors: Ajay Jasra, Kody Law and Alexander Tarakanov). SIAM/ASA Journal on Uncertainty Quantification, 11(2):616-645, 2023. Link, arXiv:2102.12230, R package
Sequential Monte Carlo algorithms for agent-based models of disease transmission (co-authors: Pierre Jacob and Nianqiao Ju). arXiv:2101.12156, R package
A simple Markov chain for independent Bernoulli variables conditioned on their sum (co-authors: Pierre Jacob and Nianqiao Ju). arXiv:2012.03103
An invitation to sequential Monte Carlo samplers (co-authors: Chenguang Dai, Pierre Jacob and Nick Whiteley). Journal of the American Statistical Association, 117(539):1587-1600, 2022. Link, arXiv:2007.11936, R package
Bayesian Estimation of Long-Run Risk Models Using Sequential Monte Carlo (co-authors: Andras Fulop, Junye Li and Hening Liu). Journal of Econometrics, 228(1):62-84, 2022. Link, SSRN.3573235
Schrödinger Bridge Samplers (co-authors: Espen Bernton, Arnaud Doucet and Pierre Jacob). arXiv:1912.13170
Multilevel Particle Filters for the Non-Linear Filtering Problem in Continuous Time (co-authors: Ajay Jasra and Fangyuan Yu). Statistics and Computing, 30(5):1381-1402, 2020. Link, arXiv:1907.06328, R code
A Multilevel Approach for Stochastic Nonlinear Optimal Control (co-authors: Ajay Jasra, Yaxian Xu and Adrian Bishop). International Journal of Control, 95(5):1290-1304, 2020. Link, arXiv:1901.05583
Clustering Time Series with Nonlinear Dynamics: A Bayesian Non-Parametric and Particle-Based Approach (co-authors: Alexander Lin, Yingzhuo Zhang, Stephen Allsop, Kay Tye, Pierre Jacob and Demba Ba). AISTATS 2019. Link, arXiv:1810.09920, Python code
Unbiased Hamiltonian Monte Carlo with couplings (co-author: Pierre Jacob). Biometrika, 106(2):287-302, 2019. Link, Amendment, arXiv:1709.00404, R package, Pierre's blog post, Xi'an's blog post
Controlled Sequential Monte Carlo (co-authors: Adrian Bishop, George Deligiannidis and Arnaud Doucet). Annals of Statistics, 48(5):2904-2929, 2020. Link, arXiv:1708.08396, MATLAB code, Xi'an's blog post
Gibbs Flow for Approximate Transport with Applications to Bayesian Computation (co-authors: Arnaud Doucet and Yvo Pokern). Journal of the Royal Statistical Society: Series B (Statistical Methodology), 83(1):156-187, 2021. Link, arXiv:1509.08787, R package
Thesis
On the use of transport and optimal control methods for Monte Carlo simulation. Oxford Research Archive