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Latent state space models are a fundamental and widely used tool for modeling dynamical systems. However, they are difficult to learn from data and learned models often lack performance guarantees on inference tasks such as filtering and…
We introduce a statistical physics inspired supervised machine learning algorithm for classification and regression problems. The method is based on the invariances or stability of predicted results when known data is represented as…
This paper deals with the identification of linear stochastic dynamical systems, where the unknowns include system coefficients and noise variances. Conventional approaches that rely on the maximum likelihood estimation (MLE) require…
Scalable algorithms of posterior approximation allow Bayesian nonparametrics such as Dirichlet process mixture to scale up to larger dataset at fractional cost. Recent algorithms, notably the stochastic variational inference performs local…
Estimating probabilistic deformable template models is a new approach in the fields of computer vision and probabilistic atlases in computational anatomy. A first coherent statistical framework modelling the variability as a hidden random…
We present a deep learning model, DE-LSTM, for the simulation of a stochastic process with an underlying nonlinear dynamics. The deep learning model aims to approximate the probability density function of a stochastic process via numerical…
Neural networks are emerging as a tool for scalable data-driven simulation of high-dimensional dynamical systems, especially in settings where numerical methods are infeasible or computationally expensive. Notably, it has been shown that…
Reinforcement learning methods trained on few environments rarely learn policies that generalize to unseen environments. To improve generalization, we incorporate the inherent sequential structure in reinforcement learning into the…
We propose a new algorithm to learn the network of the interactions of pairwise Ising models. The algorithm is based on the pseudo-likelihood method (PLM), that has already been proven to efficiently solve the problem in a large variety of…
The generalized approximate message passing (GAMP) algorithm under the Bayesian setting shows advantage in recovering under-sampled sparse signals from corrupted observations. Compared to conventional convex optimization methods, it has a…
We numerically investigate an adaptive version of the parareal algorithm in the context of molecular dynamics. This adaptive variant has been originally introduced in [F. Legoll, T. Lelievre and U. Sharma, SISC 2022]. We focus here on test…
The expectation maximization (EM) algorithm is a widespread method for empirical Bayesian inference, but its expectation step (E-step) is often intractable. Employing a stochastic approximation scheme with Markov chain Monte Carlo (MCMC)…
We present a new algorithm for approximate inference in probabilistic programs, based on a stochastic gradient for variational programs. This method is efficient without restrictions on the probabilistic program; it is particularly…
Stochastic approximation (SA) is a key method used in statistical learning. Recently, its non-asymptotic convergence analysis has been considered in many papers. However, most of the prior analyses are made under restrictive assumptions…
We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states…
The Expectation Maximisation (EM) algorithm is widely used to optimise non-convex likelihood functions with latent variables. Many authors modified its simple design to fit more specific situations. For instance, the Expectation (E) step…
Increasing effort is put into the development of methods for learning mechanistic models from data. This task entails not only the accurate estimation of parameters but also a suitable model structure. Recent work on the discovery of…
We introduce a probabilistic approach to the LMS filter. By means of an efficient approximation, this approach provides an adaptable step-size LMS algorithm together with a measure of uncertainty about the estimation. In addition, the…
In this work, we introduce a stochastic maximum principle (SMP) approach for solving the reinforcement learning problem with the assumption that the unknowns in the environment can be parameterized based on physics knowledge. For the…
Stochastic gradient methods enable learning probabilistic models from large amounts of data. While large step-sizes (learning rates) have shown to be best for least-squares (e.g., Gaussian noise) once combined with parameter averaging,…