Related papers: Recency-weighted Markovian inference
In this paper we introduce a new sampling algorithm which has the potential to be adopted as a universal replacement to the Metropolis--Hastings algorithm. It is related to the slice sampler, and motivated by an algorithm which is…
Gaussian state space models have been used for decades as generative models of sequential data. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption. We introduce a unified…
We introduce a new version of deep state-space models (DSSMs) that combines a recurrent neural network with a state-space framework to forecast time series data. The model estimates the observed series as functions of latent variables that…
Markov chain Monte Carlo (MCMC) algorithms for hidden Markov models often rely on the forward-backward sampler. This makes them computationally slow as the length of the time series increases, motivating the development of…
We show that a probabilistic version of the classical forward-stepwise variable inclusion procedure can serve as a general data-augmentation scheme for model space distributions in (generalized) linear models. This latent variable…
Unsupervised learning on imbalanced data is challenging because, when given imbalanced data, current model is often dominated by the major category and ignores the categories with small amount of data. We develop a latent variable model…
Latent space models are popular for analyzing dynamic network data. We propose a variational approach to estimate the model parameters as well as the latent positions of the nodes in the network. The variational approach is much faster than…
A novel strategy that combines a given collection of $\pi$-reversible Markov kernels is proposed. At each Markov transition, one of the available kernels is selected via a state-dependent probability distribution. In contrast to random-scan…
Often in machine learning, data are collected as a combination of multiple conditions, e.g., the voice recordings of multiple persons, each labeled with an ID. How could we build a model that captures the latent information related to these…
Long Short-Term Memory (LSTM) is one of the most powerful sequence models. Despite the strong performance, however, it lacks the nice interpretability as in state space models. In this paper, we present a way to combine the best of both…
Latent space models are frequently used for modeling single-layer networks and include many popular special cases, such as the stochastic block model and the random dot product graph. However, they are not well-developed for more complex…
Stochastic processes on complex networks, where each node is in one of several compartments, and neighboring nodes interact with each other, can be used to describe a variety of real-world spreading phenomena. However, computational…
Latent Space (LS) network models project the nodes of a network on a $d$-dimensional latent space to achieve dimensionality reduction of the network while preserving its relevant features. Inference is often carried out within a Markov…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
Accurate imputation is essential for the reliability and success of downstream tasks. Recently, diffusion models have attracted great attention in this field. However, these models neglect the latent distribution in a lower-dimensional…
Variational inference has had great success in scaling approximate Bayesian inference to big data by exploiting mini-batch training. To date, however, this strategy has been most applicable to models of independent data. We propose an…
We consider the problem of sampling from a product-of-experts-type model that encompasses many standard prior and posterior distributions commonly found in Bayesian imaging. We show that this model can be easily lifted into a novel latent…
Bayesian network models with latent variables are widely used in statistics and machine learning. In this paper we provide a complete algebraic characterization of Bayesian network models with latent variables when the observed variables…
Markovian population models are suitable abstractions to describe well-mixed interacting particle systems in situation where stochastic fluctuations are significant due to the involvement of low copy particles. In molecular biology,…
State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference \emph{and learning} (i.e. state estimation and system…