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We study the problem of inferring sparse time-varying Markov random fields (MRFs) with different discrete and temporal regularizations on the parameters. Due to the intractability of discrete regularization, most approaches for solving this…
A Gaussian process (GP)-based methodology is proposed to emulate complex dynamical computer models (or simulators). The method relies on emulating the numerical flow map of the system over an initial (short) time step, where the flow map is…
Consider a Gaussian memoryless multiple source with $m$ components with joint probability distribution known only to lie in a given class of distributions. A subset of $k \leq m$ components are sampled and compressed with the objective of…
Probabilistic graphical models, such as Markov random fields (MRFs), are useful for describing high-dimensional distributions in terms of local dependence structures. The probabilistic inference is a fundamental problem related to graphical…
Graphical model selection in Markov random fields is a fundamental problem in statistics and machine learning. Two particularly prominent models, the Ising model and Gaussian model, have largely developed in parallel using different (though…
Kalman filtering and smoothing are the foundational mechanisms for efficient inference in Gauss-Markov models. However, their time and memory complexities scale prohibitively with the size of the state space. This is particularly…
Approximate Bayesian inference methods that scale to very large datasets are crucial in leveraging probabilistic models for real-world time series. Sparse Markovian Gaussian processes combine the use of inducing variables with efficient…
Estimation of patient-specific model parameters is important for personalized modeling, although sparse and noisy clinical data can introduce significant uncertainty in the estimated parameter values. This importance source of uncertainty,…
Gaussian process regression is a frequently used statistical method for flexible yet fully probabilistic non-linear regression modeling. A common obstacle is its computational complexity which scales poorly with the number of observations.…
We study the application of graph random features (GRFs) - a recently introduced stochastic estimator of graph node kernels - to scalable Gaussian processes on discrete input spaces. We prove that (under mild assumptions) Bayesian inference…
In this paper we consider the problem of computing the stationary distribution of nearly completely decomposable Markov processes, a well-established area in the classical theory of Markov processes with broad applications in the design,…
The widespread use of Markov Chain Monte Carlo (MCMC) methods for high-dimensional applications has motivated research into the scalability of these algorithms with respect to the dimension of the problem. Despite this, numerous problems…
We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling…
Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…
This work is concerned with the computation of the action of a matrix function f(A), such as the matrix exponential or the matrix square root, on a vector b. For a general matrix A, this can be done by computing the compression of A onto a…
In Gaussian graphical models, the likelihood equations must typically be solved iteratively. We investigate two algorithms: A version of iterative proportional scaling which avoids inversion of large matrices, and an algorithm based on…
In addition to recent developments in computing speed and memory, methodological advances have contributed to significant gains in the performance of stochastic simulation. In this paper, we focus on variance reduction for matrix…
Gaussian processes are a natural way of defining prior distributions over functions of one or more input variables. In a simple nonparametric regression problem, where such a function gives the mean of a Gaussian distribution for an…
Many problems in the physical sciences, machine learning, and statistical inference necessitate sampling from a high-dimensional, multi-modal probability distribution. Markov Chain Monte Carlo (MCMC) algorithms, the ubiquitous tool for this…
Local approximations are popular methods to scale Gaussian processes (GPs) to big data. Local approximations reduce time complexity by dividing the original dataset into subsets and training a local expert on each subset. Aggregating the…