Simulating infinite-dimensional nonlinear diffusion bridges

• URL: http://arxiv.org/abs/2405.18353v2
• Date: Thu, 6 Jun 2024 14:32:38 GMT
• Title: Simulating infinite-dimensional nonlinear diffusion bridges
• Authors: Gefan Yang, Elizabeth Louise Baker, Michael L. Severinsen, Christy Anna Hipsley, Stefan Sommer,
• Abstract summary: The diffusion bridge is a type of diffusion process that conditions on hitting a specific state within a finite time period. We present a solution by merging score-matching techniques with operator learning, enabling a direct approach to score-matching for the infinite-dimensional bridge.
• Score: 1.747623282473278
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: The diffusion bridge is a type of diffusion process that conditions on hitting a specific state within a finite time period. It has broad applications in fields such as Bayesian inference, financial mathematics, control theory, and shape analysis. However, simulating the diffusion bridge for natural data can be challenging due to both the intractability of the drift term and continuous representations of the data. Although several methods are available to simulate finite-dimensional diffusion bridges, infinite-dimensional cases remain unresolved. In the paper, we present a solution to this problem by merging score-matching techniques with operator learning, enabling a direct approach to score-matching for the infinite-dimensional bridge. We construct the score to be discretization invariant, which is natural given the underlying spatially continuous process. We conduct a series of experiments, ranging from synthetic examples with closed-form solutions to the stochastic nonlinear evolution of real-world biological shape data, and our method demonstrates high efficacy, particularly due to its ability to adapt to any resolution without extra training.

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