Related papers: Recency-weighted Markovian inference

Probabilistic inference in high-dimensional state-space models is computationally challenging. For many spatiotemporal systems, however, prior knowledge about the dependency structure of state variables is available. We leverage this…

When statistical analyses consider multiple data sources, Markov melding provides a method for combining the source-specific Bayesian models. Markov melding joins together submodels that have a common quantity. One challenge is that the…

We propose a novel class of flexible latent-state time series regression models which we call Markov-switching generalized additive models for location, scale and shape. In contrast to conventional Markov-switching regression models, the…

We present a class of algorithms for state estimation in nonlinear, non-Gaussian state-space models. Our approach is based on a variational Lagrangian formulation that casts Bayesian inference as a sequence of entropic trust-region updates…

Deep latent variable models have achieved significant empirical successes in model-based reinforcement learning (RL) due to their expressiveness in modeling complex transition dynamics. On the other hand, it remains unclear theoretically…

Markov state models (MSMs) have been demonstrated to be a powerful method for computationally studying intramolecular processes such as protein folding and macromolecular conformational changes. In this article, we present a new approach to…

After reviewing the behavioral studies of working memory and of the cellular substrate of the latter, we argue that metastable states constitute candidates for the type of transient information storage required by working memory. We then…

State-space models are a popular statistical framework for analysing sequential data. Within this framework, particle filters are often used to perform inference on non-linear state-space models. We introduce a new method, StateMixNN, that…

In this work, we propose a Bayesian statistical model to simultaneously characterize two or more social networks defined over a common set of actors. The key feature of the model is a hierarchical prior distribution that allows us to…

Data augmentation improves the convergence of iterative algorithms, such as the EM algorithm and Gibbs sampler by introducing carefully designed latent variables. In this article, we first propose a data augmentation scheme for the…

We consider the problem of reconstructing a signal from multi-layered (possibly) non-linear measurements. Using non-rigorous but standard methods from statistical physics we present the Multi-Layer Approximate Message Passing (ML-AMP)…

Probabilistic models help us encode latent structures that both model the data and are ideally also useful for specific downstream tasks. Among these, mixture models and their time-series counterparts, hidden Markov models, identify…

Being the most classical generative model for serial data, state-space models (SSM) are fundamental in AI and statistical machine learning. In SSM, any form of parameter learning or latent state inference typically involves the computation…

The latent position cluster model is a popular model for the statistical analysis of network data. This model assumes that there is an underlying latent space in which the actors follow a finite mixture distribution. Moreover, actors which…

Inspired by Kalikow-type decompositions, we introduce a new stochastic model of infinite neuronal networks, for which we establish sharp oracle inequalities for Lasso methods and restricted eigenvalue properties for the associated Gram…

Long Short-Term Memory (LSTM) is a special class of recurrent neural network, which has shown remarkable successes in processing sequential data. The typical architecture of an LSTM involves a set of states and gates: the states retain…

We consider Bayesian inference in sequential latent variable models in general, and in nonlinear state space models in particular (i.e., state smoothing). We work with sequential Monte Carlo (SMC) algorithms, which provide a powerful…

We consider importance sampling (IS) type weighted estimators based on Markov chain Monte Carlo (MCMC) targeting an approximate marginal of the target distribution. In the context of Bayesian latent variable models, the MCMC typically…

We introduce Deep Variational Bayes Filters (DVBF), a new method for unsupervised learning and identification of latent Markovian state space models. Leveraging recent advances in Stochastic Gradient Variational Bayes, DVBF can overcome…

Multistate Markov models are a canonical parametric approach for data modeling of observed or latent stochastic processes supported on a finite state space. Continuous-time Markov processes describe data that are observed irregularly over…