Simulation of elliptic and hypo-elliptic conditional diffusions

Suppose X is a multidimensional diffusion process. Assume that at time zero the state of X is fully observed, but at time 0$ ]]> only linear combinations of its components are observed. That is, one only observes the vector for a given matrix L. In this paper we show how samples from the conditioned process can be generated. The main...

The Zig-Zag process and super-efficient sampling for Bayesian analysis of big data

Standard MCMC methods can scale poorly to big data settings due to the need to evaluate the likelihood at each iteration. There have been a number of approximate MCMC algorithms that use sub-sampling ideas to reduce this computational burden, but with the drawback that these algorithms no longer target the true posterior distribution. We...

Droplet collisions of water and milk in a spray with Langevin turbulence dispersion

In this work we investigate droplet-droplet collision interactions in a spray system using an Eulerian-Lagrangian model with subgrid turbulence dispersion. The effect of different droplet viscosities on the type and frequency of droplet collision is investigated, knowledge of which is essential for industrial processes such as spray drying...

Unambiguous sparse recovery of migrating targets with a robustified Bayesian model

The problem considered is that of estimating unambiguously migrating targets observed with a wideband radar. We extend a previously described sparse Bayesian algorithm to the presence of diffuse clutter and off-grid targets. A hybrid-Gibbs sampler is formulated to jointly estimate the sparse target amplitude vector, the grid mismatch, and the...

A boolean QPQ using single photons

I propose an implementation of the quantum private query protocol as described in an article using a photon to encode a question and reflectionor transmission of the photon as answer options. Each question is represented by a photon in a transmission line with both ends returning to the user, and the answer is represented by reflection or...

Some properties of the Langevin model for dispersion

The Langevin Equation is used to describe dispersion of pollutants in the atmosphere. The theoretical background for the equation is discussed in length and a review on previous treatments and applications is given. It is shown that the Langevin equation can describe dispersion in complex circumstances. In particular the equation is applied to...