We study the problem of learning the transition matrices of a set of Markov chains from a single stream of observations on each chain. We assume that the Markov chains are ergodic but otherwise unknown. The learner can sample Markov chains sequentially to observe their states. The goal of the learner is to sequentially select various chains to learn transition matrices uniformly well with respect to some loss function. We introduce a notion of loss that naturally extends the squared loss for learning distributions to the case of Markov chains, and further characterize the notion of being \emph{uniformly good} in all problem instances. We present a novel learning algorithm that efficiently balances \emph{exploration} and \emph{exploitation} intrinsic to this problem, without any prior knowledge of the chains. We provide finite-sample PAC-type guarantees on the performance of the algorithm. Further, we show that our algorithm asymptotically attains an optimal loss.

We present a principled framework for confidence estimation in computed tomography (CT) reconstruction. Based on the sequential likelihood mixing framework (Kirschner et al., 2025), we establish confidence regions with theoretical coverage guarantees for deep-learning-based CT reconstructions. We consider a realistic forward model following the Beer-Lambert law, i.e., a log-linear forward model with Poisson noise, closely reflecting clinical and scientific imaging conditions. The framework is general and applies to both classical algorithms and deep learning reconstruction methods, including U-Nets, U-Net ensembles, and generative Diffusion models. Empirically, we demonstrate that deep reconstruction methods yield substantially tighter confidence regions than classical reconstructions, without sacrificing theoretical coverage guarantees. Our approach allows the detection of hallucinations in reconstructed images and provides interpretable visualizations of confidence regions. This establishes deep models not only as powerful estimators, but also as reliable tools for uncertainty-aware medical imaging.

We develop a general framework for piecewise deterministic Markov process (PDMP) samplers that enables efficient Bayesian inference in non-linear inverse problems with expensive likelihoods. The key ingredient is a surrogate-assisted thinning scheme in which a surrogate model provides a proposal event rate and a robust correction mechanism enforces an upper bound on the true rate by dynamically adjusting an additive offset whenever violations are detected. This construction is agnostic to the choice of surrogate and PDMP, and we demonstrate it for the Zig-Zag sampler and the Bouncy particle sampler with constant, Laplace, and Gaussian process (GP) surrogates, including gradient-informed and adaptively refined GP variants. As a representative application, we consider Bayesian inference of a spatially varying Young's modulus in a one-dimensional linear elasticity problem. Across dimensions, PDMP samplers equipped with GP-based surrogates achieve substantially higher accuracy and effective sample size per forward model evaluation than Random Walk Metropolis algorithm and the No-U-Turn sampler. The Bouncy particle sampler exhibits the most favorable overall efficiency and scaling, illustrating the potential of the proposed PDMP framework beyond this particular setting.

A simple strategy for improving LLM accuracy, especially in math and reasoning problems, is to sample multiple responses and submit the answer most consistently reached. In this paper we leverage Bayesian prior information to save on sampling costs, stopping once sufficient consistency is reached. Although the exact posterior is computationally intractable, we further introduce an efficient "L-aggregated" stopping policy that tracks only the L-1 most frequent answer counts. Theoretically, we prove that L=3 is all you need: this coarse approximation is sufficient to achieve asymptotic optimality, and strictly dominates prior-free baselines, while having a fast posterior computation. Empirically, this identifies the most consistent (i.e., mode) LLM answer using fewer samples, and can achieve similar answer accuracy while cutting the number of LLM calls (i.e., saving on LLM inference costs) by up to 50%.