Related papers: Generalized Probability Smoothing
A stochastic algorithm is proposed, finding the set of generalized means associated to a probability measure on a compact Riemannian manifold M and a continuous cost function on the product of M by itself. Generalized means include p-means…
This paper presents a comprehensive analysis of a broad range of variations of the stochastic proximal point method (SPPM). Proximal point methods have attracted considerable interest owing to their numerical stability and robustness…
We introduce neural particle smoothing, a sequential Monte Carlo method for sampling annotations of an input string from a given probability model. In contrast to conventional particle filtering algorithms, we train a proposal distribution…
This article proposes an efficient Bayesian inference for piecewise exponential hazard (PEH) models, which allow the effect of a covariate on the survival time to vary over time. The proposed inference methodology is based on a particle…
We study the foundations of variational inference, which frames posterior inference as an optimisation problem, for probabilistic programming. The dominant approach for optimisation in practice is stochastic gradient descent. In particular,…
In this paper we present a novel non-parametric method of simplifying piecewise linear curves and we apply this method as a statistical approximation of structure within sequential data in the plane. We consider the problem of minimizing…
Let $\{X_n\}$ be a stationary and ergodic time series taking values from a finite or countably infinite set ${\cal X}$. Assume that the distribution of the process is otherwise unknown. We propose a sequence of stopping times $\lambda_n$…
In this paper, we propose a broad and general sequential sampling scheme, which incorporates four different types of sampling procedures: i) the classic Anscombe-Chow-Robbins purely sequential sampling procedure; ii) the ordinary…
The likelihood for the parameters of a generalized linear mixed model involves an integral which may be of very high dimension. Because of this intractability, many approximations to the likelihood have been proposed, but all can fail when…
We give a recursive construction of the stationary distribution of multi-type asymmetric simple exclusion processes on a finite ring or on the infinite line $Z$. The construction can be interpreted in terms of "multi-line diagrams" or…
We present a static analysis for discovering differentiable or more generally smooth parts of a given probabilistic program, and show how the analysis can be used to improve the pathwise gradient estimator, one of the most popular methods…
Particle smoothing methods are used for inference of stochastic processes based on noisy observations. Typically, the estimation of the marginal posterior distribution given all observations is cumbersome and computational intensive. In…
We propose a novel generalisation to the Student-t Probabilistic Principal Component methodology which: (1) accounts for an asymmetric distribution of the observation data; (2) is a framework for grouped and generalised…
Smoothing is an estimation method whereby a classical state (probability distribution for classical variables) at a given time is conditioned on all-time (both past and future) observations. Here we define a smoothed quantum state for a…
In this article, the following results are obtained: the process of a randomly wandering particle having a size and a continuous trajectory of motion is considered; (b) based on the study of this probabilistic process, a derivation of the…
The goal of this work is to formally abstract a Markov process evolving in discrete time over a general state space as a finite-state Markov chain, with the objective of precisely approximating its state probability distribution in time,…
Time series forecasting is an active research topic in academia as well as industry. Although we see an increasing amount of adoptions of machine learning methods in solving some of those forecasting challenges, statistical methods remain…
A prevalent problem in general state-space models is the approximation of the smoothing distribution of a state, or a sequence of states, conditional on the observations from the past, the present, and the future. The aim of this paper is…
Probabilistic programming is related to a compositional approach to stochastic modeling by switching from discrete to continuous time dynamics. In continuous time, an operator-algebra semantics is available in which processes proceeding in…
Probabilistic Latent Semantic Analysis is a novel statistical technique for the analysis of two-mode and co-occurrence data, which has applications in information retrieval and filtering, natural language processing, machine learning from…