Reich, Sebastian

Robust parameter estimation using the ensemble Kalman filter

2022 · arXiv (Cornell University)

Standard maximum likelihood or Bayesian approaches to parameter estimation for stochastic differential equations are not robust to perturbations in the continuous-in-time data. In this paper, we give a rather elementary explanation of this observation in …

Sampling via Gradient Flows in the Space of Probability Measures

2023 · arXiv (Cornell University)

Sampling a target probability distribution with an unknown normalization constant is a fundamental challenge in computational science and engineering. Recent work shows that algorithms derived by considering gradient flows in the space of probability measures …