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Variational Bayes (VB) is a common strategy for approximate Bayesian inference, but simple methods are only available for specific classes of models including, in particular, representations having conditionally conjugate constructions…

Methodology · Statistics 2019-11-19 Daniele Durante , Tommaso Rigon

This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…

Applications · Statistics 2017-12-07 David S. Dias , Ricardo S. Ehlers

This paper tackles the challenge of parameter calibration in stochastic models, particularly in scenarios where the likelihood function is unavailable in an analytical form. We introduce a gradient-based simulated parameter estimation…

Machine Learning · Statistics 2025-03-25 Zehao Li , Yijie Peng

Gaussian graphical model is one of the powerful tools to analyze conditional independence between two variables for multivariate Gaussian-distributed observations. When the dimension of data is moderate or high, penalized likelihood methods…

Methodology · Statistics 2025-01-24 Takahiro Onizuka , Shintaro Hashimoto

Suppose we observe samples of a subset of a collection of random variables. No additional information is provided about the number of latent variables, nor of the relationship between the latent and observed variables. Is it possible to…

Statistics Theory · Mathematics 2012-11-05 Venkat Chandrasekaran , Pablo A. Parrilo , Alan S. Willsky

Stochastic-gradient sampling methods are often used to perform Bayesian inference on neural networks. It has been observed that the methods in which notions of differential geometry are included tend to have better performances, with the…

Machine Learning · Computer Science 2024-04-02 Hanlin Yu , Marcelo Hartmann , Bernardo Williams , Arto Klami

Particle-based approximate Bayesian inference approaches such as Stein Variational Gradient Descent (SVGD) combine the flexibility and convergence guarantees of sampling methods with the computational benefits of variational inference. In…

Machine Learning · Computer Science 2021-07-30 Lauro Langosco di Langosco , Vincent Fortuin , Heiko Strathmann

Dependent generalized extreme value (dGEV) models have attracted much attention due to the dependency structure that often appears in real datasets. To construct a dGEV model, a natural approach is to assume that some parameters in the…

Methodology · Statistics 2017-03-06 Bo Ning , Peter Bloomfield

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…

Computation · Statistics 2020-03-12 Gregor Kastner , Florian Huber

Learning parameters of latent graphical models (GM) is inherently much harder than that of no-latent ones since the latent variables make the corresponding log-likelihood non-concave. Nevertheless, expectation-maximization schemes are…

Machine Learning · Computer Science 2017-03-17 Sejun Park , Eunho Yang , Jinwoo Shin

Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…

Computational Engineering, Finance, and Science · Computer Science 2007-05-23 Gilles Daniel

Strongly nonlinear flows, which commonly arise in geophysical and engineering turbulence, are characterized by persistent and intermittent energy transfer between various spatial and temporal scales. These systems are difficult to model and…

Dynamical Systems · Mathematics 2022-01-25 Hassan Arbabi , Themistoklis Sapsis

We analyze in a closed form the learning dynamics of stochastic gradient descent (SGD) for a single-layer neural network classifying a high-dimensional Gaussian mixture where each cluster is assigned one of two labels. This problem provides…

Machine Learning · Computer Science 2022-03-28 Francesca Mignacco , Florent Krzakala , Pierfrancesco Urbani , Lenka Zdeborová

We study the generalization error of randomized learning algorithms -- focusing on stochastic gradient descent (SGD) -- using a novel combination of PAC-Bayes and algorithmic stability. Importantly, our generalization bounds hold for all…

Machine Learning · Computer Science 2020-06-23 Ben London

We present a variational method for online state estimation and parameter learning in state-space models (SSMs), a ubiquitous class of latent variable models for sequential data. As per standard batch variational techniques, we use…

Machine Learning · Statistics 2022-06-16 Andrew Campbell , Yuyang Shi , Tom Rainforth , Arnaud Doucet

Stochastic Gradient Descent (SGD) is a cornerstone of large-scale optimization, yet its theoretical behavior under heavy-tailed noise -- common in modern machine learning and reinforcement learning -- remains poorly understood. In this…

Optimization and Control · Mathematics 2025-08-08 Ilyas Fatkhullin , Florian Hübler , Guanghui Lan

In this paper, we study the performance of a large family of SGD variants in the smooth nonconvex regime. To this end, we propose a generic and flexible assumption capable of accurate modeling of the second moment of the stochastic…

Optimization and Control · Mathematics 2020-06-15 Zhize Li , Peter Richtárik

This work proposes a scalable probabilistic latent variable model based on Gaussian processes (Lawrence, 2004) in the context of multiple observation spaces. We focus on an application in astrophysics where data sets typically contain both…

Astrophysics of Galaxies · Physics 2025-02-28 Vidhi Lalchand , Anna-Christina Eilers

It has repeatedly been observed that loss minimization by stochastic gradient descent (SGD) leads to heavy-tailed distributions of neural network parameters. Here, we analyze a continuous diffusion approximation of SGD, called homogenized…

Machine Learning · Statistics 2024-02-05 Zhe Jiao , Martin Keller-Ressel

We present a convergence rate analysis for biased stochastic gradient descent (SGD), where individual gradient updates are corrupted by computation errors. We develop stochastic quadratic constraints to formulate a small linear matrix…

Optimization and Control · Mathematics 2020-03-31 Bin Hu , Peter Seiler , Laurent Lessard