Designing experimental conditions to use the Lotka–Volterra model to infer tumor cell line interaction types
Cho, H
Lewis, A
Storey, K
Byrne, H
Journal of Theoretical Biology
volume 559
(05 Dec 2022)
Gravity from thermodynamics: optimal transport and negative effective dimensions
De Luca, G
De Ponti, N
Mondino, A
Tomasiello, A
(05 Dec 2022)
Emahoy Tsegue-Maryam Guebrou is a 98-year-old Ethiopian nun whose solo piano music came to prominence in 2006 as part of the Ethiopiques collection. She was trained in the western classical tradition though her music has been described as bluesy, freewheeling waltzes with the influence of the chants of the Orthodox Church. It might all sound a bit obscure, but it is well worth a listen.
Thu, 19 Jan 2023
16:00 -
17:00
L6
Model Calibration with Optimal Transport
Benjamin Joseph
Abstract
In order for one to infer reasonable predictions from a model, it must be calibrated to reproduce observations in the market. We use the semimartingale optimal transport methodology to formulate this calibration problem into a constrained optimisation problem, with our model calibrated using a finite number of European options observed in the market as constraints. Given such a PDE formulation, we are able to then derive a dual formulation involving an HJB equation which we can numerically solve. We focus on two cases: (1) The stochastic interest rate is known and perfectly matches the observed term structure in the market, however the asset local volatility and correlation are not known and must be calibrated; (2) The dynamics of both the stochastic interest rate and the underlying asset are unknown, and we must jointly calibrate both to European options on the interest rate and on the asset.
COIN++: neural compression across modalities
Dupont, E
Loya, H
Alizadeh, M
Golinski, A
Teh, Y
Doucet, A
Transactions on Machine Learning Research
volume 2022
issue 11
(07 Dec 2022)
A multi-resolution framework for U-nets with applications to hierarchical VAEs
Falck, F
Williams, C
Danks, D
Deligiannidis, G
Yau, C
Holmes, C
Willetts, M
Doucet, A
Advances in Neural Information Processing Systems 35 (NeurIPS 2022)
volume 21
15529-15544
(01 Apr 2023)
Score-based diffusion meets annealed importance sampling
Doucet, A
Grathwohl, W
Matthews, A
Strathmann, H
Advances in Neural Information Processing Systems 35 (NeurIPS 2022)
volume 28
21482-21496
(01 Apr 2023)
Continual repeated annealed flow transport Monte Carlo
Matthews, A
Arbel, M
Rezende, D
Doucet, A
Proceedings of the 39th International Conference on Machine Learning
15196-15219
(22 Jun 2022)
A continuous time framework for discrete denoising models
Campbell, A
Benton, J
De Bortoli, V
Rainforth, T
Deligiannidis, G
Doucet, A
Advances in Neural Information Processing Systems 35 (NeurIPS 2022)
volume 37
28266-28279
(01 Apr 2023)
Riemannian score-based generative modelling
De Bortoli, V
Mathieu, E
Hutchinson, M
Thornton, J
Teh, Y
Doucet, A
Advances in Neural Information Processing Systems 35 (NeurIPS 2022)
volume 4
2406-2422
(01 Apr 2023)