Related papers: Particle Filtering Methods for Stochastic Optimiza…
Federated Learning (FL) is a distributed machine learning setting that requires multiple clients to collaborate on training a model while maintaining data privacy. The unaddressed inherent sparsity in data and models often results in overly…
In this article we consider Bayesian parameter inference associated to partially-observed stochastic processes that start from a set B0 and are stopped or killed at the first hitting time of a known set A. Such processes occur naturally…
Stochastic compositional optimization arises in many important machine learning tasks such as value function evaluation in reinforcement learning and portfolio management. The objective function is the composition of two expectations of…
Existing score-based methods for inverse problems often resort to approximate minimization of the KL divergence between the inversion distribution and the Bayesian posterior. Such an approximation leads to severe mode collapse and…
The alignment of large language models (LLMs) with human preferences remains a key challenge. While post-training techniques like Reinforcement Learning from Human Feedback (RLHF) and Direct Preference Optimization (DPO) have achieved…
Ensemble methods such as the Ensemble Kalman Filter (EnKF) are widely used for data assimilation in large-scale geophysical applications, as for example in numerical weather prediction (NWP). There is a growing interest for physical models…
The Kalman Filter (KF) parameters are traditionally determined by noise estimation, since under the KF assumptions, the state prediction errors are minimized when the parameters correspond to the noise covariance. However, noise estimation…
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
Partially observable Markov decision processes (POMDPs) provide a flexible representation for real-world decision and control problems. However, POMDPs are notoriously difficult to solve, especially when the state and observation spaces are…
We propose a novel method for maximum likelihood-based parameter inference in nonlinear and/or non-Gaussian state space models. The method is an iterative procedure with three steps. At each iteration a particle filter is used to estimate…
Many machine learning algorithms minimize a regularized risk, and stochastic optimization is widely used for this task. When working with massive data, it is desirable to perform stochastic optimization in parallel. Unfortunately, many…
Fourier ptychographic microscopy (FPM) is a recently proposed quantitative phase imaging technique with high resolution and wide field-of-view (FOV). In current FPM imaging platforms, systematic error sources come from the aberrations, LED…
Kalman Filters (KF) are fundamental to real-time state estimation applications, including radar-based tracking systems used in modern driver assistance and safety technologies. In a linear dynamical system with Gaussian noise distributions…
Due to the highly non-convex nature of large-scale robust parameter estimation, avoiding poor local minima is challenging in real-world applications where input data is contaminated by a large or unknown fraction of outliers. In this paper,…
A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to…
(Neal and Hinton, 1998) recast maximum likelihood estimation of any given latent variable model as the minimization of a free energy functional $F$, and the EM algorithm as coordinate descent applied to $F$. Here, we explore alternative…
This paper proposes new methodology for sequential state and parameter estimation within the ensemble Kalman filter. The method is fully Bayesian and propagates the joint posterior density of states and parameters over time. In order to…
Integrating human feedback to align text-to-speech (TTS) system outputs with human preferences has proven to be an effective approach for enhancing the robustness of language model-based TTS systems. Current approaches primarily focus on…
The particle filter (PF) and the ensemble Kalman filter (EnKF) are widely used for approximate inference in state-space models. From a Bayesian perspective, these algorithms represent the prior by an ensemble of particles and update it to…
This article introduces a new algorithm for nonlinear state estimation based on deterministic sigma point and EKF linearized framework for priori mean and covariance respectively. This method reduces the computation cost of UKF about 50%…