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Claudia Strauch

Publications and source records attributed to Claudia Strauch.

17 recordsLinked to original sources

Reflected diffusion models adapt to low-dimensional data

While the mathematical foundations of score-based generative models are increasingly well understood for unconstrained Euclidean spaces, many practical applications involve data restricted to bounded domains. This paper provides a statistical analysis of reflected diffusion models on the hypercube $[0,1]^D$ for target distributions supported on $d$-dimensional linear subspaces. A primary challenge in this setting is the absence of Gaussian transition kernels, which play a central role in standard theory in $\mathbb{R}^D$. By employing an easily implementable infinite series expansion of the transition densities, we develop analytic tools to bound the score function and its approximation by sparse ReLU networks. For target densities with Sobolev smoothness $α$, we establish a convergence rate in the $1$-Wasserstein distance of order $n^{-\frac{α+1-δ}{2α+d}}$ for arbitrarily small $δ> 0$, demonstrating that the generative algorithm fully adapts to the intrinsic dimension $d$. These results confirm that the presence of reflecting boundaries does not degrade the fundamental statistical efficiency of the diffusion paradigm, matching the almost optimal rates known for unconstrained settings.

math.ST

In situ Learning-Based Spin Engineering of Pulsed Dynamic Nuclear Polarization

Pulsed Dynamic Nuclear Polarization (DNP) is currently receiving substantial interest as a means to enhance the sensitivity of nuclear magnetic resonance (NMR) and magnetic resonance imaging (MRI) by orders of magnitude. It has also received much attention as a central ingredient in many modalities of electron spin-involved quantum sensing. Relative to spin engineering associated with NMR, the design of efficient pulsed DNP experiments with a broad experimental scope are challenged by large electron-nuclear spin systems, large electron spin-involved interactions, and instrumental non-idealities and limitations. All of this may challenge traditional NMR-like theoretical and numerical pulse sequence engineering. Exploiting state-of-the-art instrumentation and taking advantage of the high sensitivity of DNP relative to NMR, we here demonstrate the use of combinations of Bayesian machine learning methods and constrained random walk procedures to design pulse sequences \textit{in situ}, by experiments, directly on the spin systems responding to spectrometer instructions. For trityl and nitroxide samples, it is demonstrated that efficient broadband DNP pulse sequences can be designed in situ with experimental protocols benchmarked against in silico analogs.

physics.chem-ph

Statistical guarantees for denoising reflected diffusion models

In recent years, denoising diffusion models have become a crucial area of research due to their abundance in the rapidly expanding field of generative AI. While recent statistical advances have delivered explanations for the generation ability of idealised denoising diffusion models for high-dimensional target data, implementations introduce thresholding procedures for the generating process to overcome issues arising from the unbounded state space of such models. This mismatch between theoretical design and implementation of diffusion models has been addressed empirically by using a \emph{reflected} diffusion process as the driver of noise instead. In this paper, we study statistical guarantees of these denoising reflected diffusion models. In particular, under Sobolev smoothness assumptions, we establish rates of convergence in total variation which, up to a polylogarithmic factor, match the minimax lower bound. Our main contributions include the statistical analysis of this novel class of denoising reflected diffusion models and a refined score approximation method in both time and space, leveraging spectral decomposition and rigorous neural network analysis.

math.ST

Beyond Fixed Horizons: A Theoretical Framework for Adaptive Denoising Diffusions

We introduce a new class of generative diffusion models that, unlike conventional denoising diffusion models, achieve a time-homogeneous structure for both the noising and denoising processes, allowing the number of steps to adaptively adjust based on the noise level. This is accomplished by conditioning the forward process using Doob's $h$-transform, which terminates the process at a suitable sampling distribution at a random time. The model is particularly well suited for generating data with lower intrinsic dimensions, as the termination criterion simplifies to a first-hitting rule. A key feature of the model is its adaptability to the target data, enabling a variety of downstream tasks using a pre-trained unconditional generative model. These tasks include natural conditioning through appropriate initialisation of the denoising process and classification of noisy data.

stat.ML

Model-free filtering in high dimensions via projection and score-based diffusions

We consider the problem of recovering a latent signal $X$ from its noisy observation $Y$. The unknown law $\mathbb{P}^X$ of $X$, and in particular its support $\mathscr{M}$, are accessible only through a large sample of i.i.d.\ observations. We further assume $\mathscr{M}$ to be a low-dimensional submanifold of a high-dimensional Euclidean space $\mathbb{R}^d$. As a filter or denoiser $\widehat X$, we suggest an estimator of the metric projection $π_{\mathscr{M}}(Y)$ of $Y$ onto the manifold $\mathscr{M}$. To compute this estimator, we study an auxiliary semiparametric model in which $Y$ is obtained by adding isotropic Laplace noise to $X$. Using score matching within a corresponding diffusion model, we obtain an estimator of the Bayesian posterior $\mathbb{P}^{X \mid Y}$ in this setup. Our main theoretical results show that, in the limit of high dimension $d$, this posterior $\mathbb{P}^{X\mid Y}$ is concentrated near the desired metric projection $π_{\mathscr{M}}(Y)$.

math.ST

Change point estimation for a stochastic heat equation

We study a change point model based on a stochastic partial differential equation (SPDE) corresponding to the heat equation governed by the weighted Laplacian $Δ_\vartheta = \nabla\vartheta\nabla$, where $\vartheta=\vartheta(x)$ is a space-dependent diffusivity. As a basic problem the domain $(0,1)$ is considered with a piecewise constant diffusivity with a jump at an unknown point $τ$. Based on local measurements of the solution in space with resolution $δ$ over a finite time horizon, we construct a simultaneous M-estimator for the diffusivity values and the change point. The change point estimator converges at rate $δ$, while the diffusivity constants can be recovered with convergence rate $δ^{3/2}$. Moreover, when the diffusivity parameters are known and the jump height vanishes with the spatial resolution tending to zero, we derive a limit theorem for the change point estimator and identify the limiting distribution. For the mathematical analysis, a precise understanding of the SPDE with discontinuous $\vartheta$, tight concentration bounds for quadratic functionals in the solution, and a generalisation of classical M-estimators are developed.

math.ST

Nonparametric velocity estimation in stochastic convection-diffusion equations from multiple local measurements

We investigate pointwise estimation of the function-valued velocity field of a second-order linear SPDE. Based on multiple spatially localised measurements, we construct a weighted augmented MLE and study its convergence properties as the spatial resolution of the observations tends to zero and the number of measurements increases. By imposing Hölder smoothness conditions, we recover the pointwise convergence rate known to be minimax-optimal in the linear regression framework. The optimality of the rate in the current setting is verified by adapting the lower bound ansatz based on the RKHS of local measurements to the nonparametric situation.

math.ST

Data-driven optimal stopping: A pure exploration analysis

The standard theory of optimal stopping is based on the idealised assumption that the underlying process is essentially known. In this paper, we drop this restriction and study data-driven optimal stopping for a general diffusion process, focusing on investigating the statistical performance of the proposed estimator of the optimal stopping barrier. More specifically, we derive non-asymptotic upper bounds on the simple regret, along with uniform and non-asymptotic PAC bounds. Minimax optimality is verified by completing the upper bound results with matching lower bounds on the simple regret. All results are shown both under general conditions on the payoff functions and under more refined assumptions that mimic the margin condition used in binary classification, leading to an improved rate of convergence. Additionally, we investigate how our results on the simple regret transfer to the cumulative regret for a specific exploration-exploitation strategy, both with respect to lower bounds and upper bounds.

math.ST

Concentration analysis of multivariate elliptic diffusion processes

We prove concentration inequalities and associated PAC bounds for continuous- and discrete-time additive functionals for possibly unbounded functions of multivariate, nonreversible diffusion processes. Our analysis relies on an approach via the Poisson equation allowing us to consider a very broad class of subexponentially ergodic processes. These results add to existing concentration inequalities for additive functionals of diffusion processes which have so far been only available for either bounded functions or for unbounded functions of processes from a significantly smaller class. We demonstrate the power of these exponential inequalities by two examples of very different areas. Considering a possibly high-dimensional parametric nonlinear drift model under sparsity constraints, we apply the continuous-time concentration results to validate the restricted eigenvalue condition for Lasso estimation, which is fundamental for the derivation of oracle inequalities. The results for discrete additive functionals are used to investigate the unadjusted Langevin MCMC algorithm for sampling of moderately heavy-tailed densities $π$. In particular, we provide PAC bounds for the sample Monte Carlo estimator of integrals $π(f)$ for polynomially growing functions $f$ that quantify sufficient sample and step sizes for approximation within a prescribed margin with high probability.

math.PR

Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations

We consider nonparametric invariant density and drift estimation for a class of multidimensional degenerate resp. hypoelliptic diffusion processes, so-called stochastic damping Hamiltonian systems or kinetic diffusions, under anisotropic smoothness assumptions on the unknown functions. The analysis is based on continuous observations of the process, and the estimators' performance is measured in terms of the sup-norm loss. Regarding invariant density estimation, we obtain highly nonclassical results for the rate of convergence, which reflect the inhomogeneous variance structure of the process. Concerning estimation of the drift vector, we suggest both non-adaptive and fully data-driven procedures. All of the aforementioned results strongly rely on tight uniform moment bounds for empirical processes associated to deterministic and stochastic integrals of the investigated process, which are also proven in this paper.

math.ST

On Lasso and Slope drift estimators for Lévy-driven Ornstein--Uhlenbeck processes

We investigate the problem of estimating the drift parameter of a high-dimensional Lévy-driven Ornstein--Uhlenbeck process under sparsity constraints. It is shown that both Lasso and Slope estimators achieve the minimax optimal rate of convergence (up to numerical constants), for tuning parameters chosen independently of the confidence level, which improves the previously obtained results for standard Ornstein--Uhlenbeck processes. The results are nonasymptotic and hold both in probability and conditional expectation with respect to an event resembling the restricted eigenvalue condition.

math.ST

Nonparametric learning for impulse control problems

One of the fundamental assumptions in stochastic control of continuous time processes is that the dynamics of the underlying (diffusion) process is known. This is, however, usually obviously not fulfilled in practice. On the other hand, over the last decades, a rich theory for nonparametric estimation of the drift (and volatility) for continuous time processes has been developed. The aim of this paper is bringing together techniques from stochastic control with methods from statistics for stochastic processes to find a way to both learn the dynamics of the underlying process and control in a reasonable way at the same time. More precisely, we study a long-term average impulse control problem, a stochastic version of the classical Faustmann timber harvesting problem. One of the problems that immediately arises is an exploration-exploitation dilemma as is well known for problems in machine learning. We propose a way to deal with this issue by combining exploration and exploitation periods in a suitable way. Our main finding is that this construction can be based on the rates of convergence of estimators for the invariant density. Using this, we obtain that the average cumulated regret is of uniform order $O({T^{-1/3}})$.

math.OC

Mixing it up: A general framework for Markovian statistics

Up to now, the nonparametric analysis of multidimensional continuous-time Markov processes has focussed strongly on specific model choices, mostly related to symmetry of the semigroup. While this approach allows to study the performance of estimators for the characteristics of the process in the minimax sense, it restricts the applicability of results to a rather constrained set of stochastic processes and in particular hardly allows incorporating jump structures. As a consequence, for many models of applied and theoretical interest, no statement can be made about the robustness of typical statistical procedures beyond the beautiful, but limited framework available in the literature. To close this gap, we identify $β$-mixing of the process and heat kernel bounds on the transition density as a suitable combination to obtain $\sup$-norm and $L^2$ kernel invariant density estimation rates matching the case of reversible multidimenisonal diffusion processes and outperforming density estimation based on discrete i.i.d. or weakly dependent data. Moreover, we demonstrate how up to $\log$-terms, optimal $\sup$-norm adaptive invariant density estimation can be achieved within our general framework based on tight uniform moment bounds and deviation inequalities for empirical processes associated to additive functionals of Markov processes. The underlying assumptions are verifiable with classical tools from stability theory of continuous time Markov processes and PDE techniques, which opens the door to evaluate statistical performance for a vast amount of Markov models. We highlight this point by showing how multidimensional jump SDEs with Lévy driven jump part under different coefficient assumptions can be seamlessly integrated into our framework, thus establishing novel adaptive $\sup$-norm estimation rates for this class of processes.

math.ST

Learning to reflect: A unifying approach for data-driven stochastic control strategies

Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their practicability suffers from the assumption of known dynamics of the underlying stochastic process, raising the statistical challenge of developing purely data-driven strategies. For the mathematically separated classes of continuous diffusion processes and Lévy processes, we show that developing efficient strategies for related singular stochastic control problems can essentially be reduced to finding rate-optimal estimators with respect to the sup-norm risk of objects associated to the invariant distribution of ergodic processes which determine the theoretical solution of the control problem. From a statistical perspective, we exploit the exponential $β$-mixing property as the common factor of both scenarios to drive the convergence analysis, indicating that relying on general stability properties of Markov processes is a sufficiently powerful and flexible approach to treat complex applications requiring statistical methods. We show moreover that in the Lévy case $-$ even though per se jump processes are more difficult to handle both in statistics and control theory $-$ a fully data-driven strategy with regret of significantly better order than in the diffusion case can be constructed.

math.ST

Concentration of scalar ergodic diffusions and some statistical implications

We derive uniform concentration inequalities for continuous-time analogues of empirical processes and related stochastic integrals of scalar ergodic diffusion processes. Thereby, we lay the foundation typically required for the study of sup-norm properties of estimation procedures for a large class of diffusion processes. In the classical i.i.d. context, a key device for the statistical sup-norm analysis is provided by Talagrand-type concentration inequalities. Aiming for a parallel substitute in the diffusion framework, we present a systematic, self-contained approach to such uniform concentration inequalities via martingale approximation and moment bounds obtained by the generic chaining method. The developed machinery is of independent probabilistic interest and can serve as a starting point for investigations of other processes such as more general Markov processes, in particular multivariate or discretely observed diffusions. As a first concrete statistical application, we analyse the sup-norm error of estimating the invariant density of an ergodic diffusion via the natural local time estimator and the classical nonparametric kernel density estimator, respectively.

math.ST

Sup-norm adaptive simultaneous drift estimation for ergodic diffusions

We consider the question of estimating the drift and the invariant density for a large class of scalar ergodic diffusion processes, based on continuous observations, in $\sup$-norm loss. The unknown drift $b$ is supposed to belong to a nonparametric class of smooth functions of unknown order. We suggest an adaptive approach which allows to construct drift estimators attaining minimax optimal $\sup$-norm rates of convergence. In addition, we prove a Donsker theorem for the classical kernel estimator of the invariant density and establish its semiparametric efficiency. Finally, we combine both results and propose a fully data-driven bandwidth selection procedure which simultaneously yields both a rate-optimal drift estimator and an asymptotically efficient estimator of the invariant density of the diffusion. Crucial tool for our investigation are uniform exponential inequalities for empirical processes of diffusions.

math.ST

Uniform Central Limit Theorems for Multidimensional Diffusions

It has recently been shown that there are substantial differences in the regularity behavior of the empirical process based on scalar diffusions as compared to the classical empirical process, due to the existence of diffusion local time. Besides establishing strong parallels to classical theory such as Ossiander's bracketing CLT and the general Giné-Zinn CLT for uniformly bounded families of functions, we find increased regularity also for multivariate ergodic diffusions, assuming that the invariant measure is finite with Lebesgue density $π$. The effect is diminishing for growing dimension but always present. The fine differences to the classical iid setting are worked out using exponential inequalities for martingales and additive functionals of continuous Markov processes as well as the characterization of the sample path behavior of Gaussian processes by means of the generic chaining bound. To uncover the phenomenon, we study a smoothed version of the empirical diffusion process. It turns out that uniform weak convergence of the smoothed empirical diffusion process under necessary and sufficient conditions can take place with even exponentially small bandwidth in dimension $d=2$, and with strongly undersmoothing bandwidth choice for parameters $β> d/2$ in case $d\geq 3$, assuming that the coordinates of drift and diffusion coefficient belong to some Hölder ball with parameter $β$.

math.PR