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This paper is concerned with probabilistic techniques for forecasting dynamical systems described by partial differential equations (such as, for example, the Navier-Stokes equations). In particular, it is investigating and comparing…

The rise of parallel computing hardware has made it increasingly important to understand which nonlinear state space models can be efficiently parallelized. Recent advances like DEER (arXiv:2309.12252) and DeepPCR (arXiv:2309.16318) recast…

The positive link prediction (PLP) problem is formulated in a system identification framework: we consider dynamic graphical models for auto-regressive moving-average (ARMA) Gaussian random processes. For the identification of the…

We introduce a new procedure to neuralize unsupervised Hidden Markov Models in the continuous case. This provides higher flexibility to solve problems with underlying latent variables. This approach is evaluated on both synthetic and real…

In this work, we present a novel approach to system identification for dynamical systems, based on a specific class of Deep Gaussian Processes (Deep GPs). These models are constructed by interconnecting linear dynamic GPs (equivalent to…

We present a Gaussian Process - Latent Class Choice Model (GP-LCCM) to integrate a non-parametric class of probabilistic machine learning within discrete choice models (DCMs). Gaussian Processes (GPs) are kernel-based algorithms that…

Online monitoring aims to evaluate or to predict, at runtime, whether or not the behaviors of a system satisfy some desired specification. It plays a key role in safety-critical cyber-physical systems. In this work, we propose a new…

We propose a probabilistic framework for developing computational models of biological neural systems. In this framework, physiological recordings are viewed as discrete-time partial observations of an underlying continuous-time stochastic…

Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only…

Neural network modules conditioned by known priors can be effectively trained and combined to represent systems with nonlinear dynamics. This work explores a novel formulation for data-efficient learning of deep control-oriented nonlinear…

The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…

Predictive coding graphs (PCGs) are a recently introduced generalization to predictive coding networks, a neuroscience-inspired probabilistic latent variable model. Here, we prove how PCGs define a mathematical superset of feedforward…

Classical discriminant analysis assumes identically distributed training data, yet in many applications observations are collected over time and the class-conditional distributions drift. This population drift renders stationary classifiers…

Data-driven Model Predictive Control (MPC), where the system model is learned from data with machine learning, has recently gained increasing interests in the control community. Gaussian Processes (GP), as a type of statistical models, are…

This paper proposes a new algorithm for Gaussian process classification based on posterior linearisation (PL). In PL, a Gaussian approximation to the posterior density is obtained iteratively using the best possible linearisation of the…

In this letter, a new filtering technique to solve a nonlinear state estimation problem has been developed. It is well known that for a nonlinear system, the prior and posterior probability density functions (pdf) are non-Gaussian in…

Modeling count-valued time series has been receiving increasing attention since count time series naturally arise in physical and social domains. Poisson gamma dynamical systems (PGDSs) are newly-developed methods, which can well capture…

Probabilistic graphical models (PGMs) are powerful tools for representing statistical dependencies through graphs in high-dimensional systems. However, they are limited to pairwise interactions. In this work, we propose the simplicial…

Sequential Bayesian Filtering aims to estimate the current state distribution of a Hidden Markov Model, given the past observations. The problem is well-known to be intractable for most application domains, except in notable cases such as…

Planning is a powerful approach to control problems with known environment dynamics. In unknown environments the agent needs to learn a model of the system dynamics to make planning applicable. This is particularly challenging when the…