Proposals which speed-up function-space MCMC

Inverse problems lend themselves naturally to a Bayesian formulation, in which the quantity of interest is a posterior distribution of state and/or parameters given some uncertain observations. For the common case in which the forward operator is smoothing, then the inverse problem is ill-posed. Well-posedness is imposed via regularisation in the form of a prior, which is often Gaussian. Under quite general conditions, it can be shown that the posterior is absolutely continuous with respect to the prior and it may be well-defined on function space in terms of its density with respect to the prior. In this case, by constructing a proposal for which the prior is invariant, one can define Metropolis-Hastings schemes for MCMC which are well-defined on function space, and hence do not degenerate as the dimension of the underlying quantity of interest increases to infinity, e.g. under mesh refinement when approximating PDE in finite dimensions. However, in practice, despite the attractive theoretical properties of the currently available schemes, they may still suffer from long correlation times, particularly if the data is very informative about some of the unknown parameters. In fact, in this case it may be the directions of the posterior which coincide with the (already known) prior which decorrelate the slowest. The information incorporated into the posterior through the data is often contained within some finite-dimensional subspace, in an appropriate basis, perhaps even one defined by eigenfunctions of the prior. We aim to exploit this fact and improve the mixing time of function-space MCMC by careful rescaling of the proposal. To this end, we introduce two new basic methods of increasing complexity, involving (i) characteristic function truncation of high frequencies and (ii) hessian information to interpolate between low and high frequencies

Deterministic Mean-field Ensemble Kalman Filtering

The proof of convergence of the standard ensemble Kalman filter (EnKF) from Legland etal. (2011) is extended to non-Gaussian state space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence $\kappa$ between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF when the dimension $d<2\kappa$. The fidelity of approximation of the true distribution is also established using an extension of total variation metric to random measures. This is limited by a Gaussian bias term arising from non-linearity/non-Gaussianity of the model, which exists for both DMFEnKF and standard EnKF. Numerical results support and extend the theory

Multilevel Particle Filters for L\'evy-driven stochastic differential equations

We develop algorithms for computing expectations of the laws of models associated to stochastic differential equations (SDEs) driven by pure L\'evy processes. We consider filtering such processes and well as pricing of path dependent options. We propose a multilevel particle filter (MLPF) to address the computational issues involved in solving these continuum problems. We show via numerical simulations and theoretical results that under suitable assumptions of the discretization of the underlying driving L\'evy proccess, our proposed method achieves optimal convergence rates. The cost to obtain MSE $O(\epsilon^2)$ scales like $O(\epsilon^{-2})$ for our method, as compared with the standard particle filter $O(\epsilon^{-3})$

A hybrid asymptotic-modal analysis of the EM scattering by an open-ended S-shaped rectangular waveguide cavity

The electromagnetic fields (EM) backscatter from a 3-dimensional perfectly conducting S-shaped open-ended cavity with a planar interior termination is analyzed when it is illuminated by an external plane wave. The analysis is based on a self-consistent multiple scattering method which accounts for the multiple wave interactions between the open end and the interior termination. The scattering matrices which described the reflection and transmission coefficients of the waveguide modes reflected and transmitted at each junction between the different waveguide sections, as well at the scattering from the edges at the open end are found via asymptotic high frequency methods such as the geometrical and physical theories of diffraction used in conjunction with the equivalent current method. The numerical results for an S-shaped inlet cavity are compared with the backscatter from a straight inlet cavity; the backscattered patterns are different because the curvature of an S-shaped inlet cavity redistributes the energy reflected from the interior termination in a way that is different from a straight inlet cavity

Spectrum of single-photon emission and scattering in cavity optomechanics

We present an analytic solution describing the quantum state of a single photon after interacting with a moving mirror in a cavity. This includes situations when the photon is initially stored in a cavity mode as well as when the photon is injected into the cavity. In addition, we obtain the spectrum of the output photon in the resolved-sideband limit, which reveals spectral features of the single-photon strong-coupling regime in this system. We also clarify the conditions under which the phonon sidebands are visible and the photon-state frequency shift can be resolved.Comment: 5 pages, 5 figure