arXiv subjects

Riccardo Saporiti

Publications and source records attributed to Riccardo Saporiti.

3 recordsLinked to original sources

arXiv2026

Neural Galerkin Normalizing Flow for Transition Probability Density Functions of Diffusion Models

We propose a new Neural Galerkin Normalizing Flow framework to approximate the transition probability density function of a diffusion process by solving the corresponding Fokker-Planck equation with an atomic initial distribution, parametrically with respect to the location of the initial mass. By using Normalizing Flows, we look for the solution as a transformation of the transition probability density function of a reference stochastic process, ensuring that our approximation is structure-preserving and automatically satisfies positivity and mass conservation constraints. By extending Neural Galerkin schemes to the context of Normalizing Flows, we derive a system of ODEs for the time evolution of the Normalizing Flow's parameters. Adaptive sampling routines are used to evaluate the Fokker-Planck residual in meaningful locations, which is of vital importance to address high-dimensional PDEs. Numerical results show that this strategy captures key features of the true solution and enforces the causal relationship between the initial datum and the density function at subsequent times. After completing an offline training phase, online evaluation becomes significantly more cost-effective than solving the PDE from scratch. The proposed method serves as a promising surrogate model, which could be deployed in many-query problems associated with stochastic differential equations, like Bayesian inference, simulation, and diffusion bridge generation.

cs.LG↗

arXiv2026

Neural Galerkin Normalizing Flows for Bayesian Inference of Diffusions with Inaccessible Boundaries

One of the primary challenges in Bayesian inference on the parameters of a diffusion model from discrete observations is the unavailability of an analytical expression for the transition density function between consecutive observation times, which is needed to derive the likelihood function. Extending previous studies that solve Fokker-Planck (FP) type partial differential equations with Normalizing Flows, we propose a new Normalizing Flow architecture to learn the transition density function of the diffusion process between two observation times. We do so by solving in a Neural Galerkin framework the associated FP equation with a Dirac mass as initial condition, over a specified training distribution of the initial datum and the coefficients of the diffusion. We specifically focus on processes whose diffusion matrix vanishes in certain inaccessible boundary regions, such as Stochastic Volatility models that satisfy a Feller condition. The product of the obtained transition densities evaluated along the observed trajectory approximates the likelihood function, thereby enabling cheap posterior sampling via Markov chain Monte Carlo (MCMC). After the offline training phase, inference becomes significantly more efficient, as it avoids the need to solve the FP equation in real time for each parameter proposed by the MCMC sampler or to rely on other likelihood-free methods for Bayesian inference that involve repeated simulation of diffusion bridges.

cs.LG↗

arXiv2024

An optimal control strategy to design passive thermal cloaks of arbitrary shape

In this paper we describe a numerical framework for achieving passive thermal cloaking of arbitrary shapes in both static and transient regimes. The design strategy is cast as the solution of an optimal control problem (OCP) for the heat equation where the coefficients of the thermal diffusivity matrix take the role of control functions and the distance between the uncloaked and the cloaked field is minimized in a suitable observation domain. The control actions enter bilinearly in the heat equation, thus making the resulting OCP nonlinear, and its analysis nontrivial. We show that optimal diffusivity coefficients exist both for the static and the transient case; we derive a system of first-order necessary optimality conditions; finally, we carry out their numerical approximation using the Finite Element Method. A series of numerical test cases assess the capability of our strategy to tackle passive thermal cloaking of arbitrarily complex two-dimensional objects.

math.OC↗