Related papers: Optimal quantisation of probability measures using…
Nonuniform subsampling methods are effective to reduce computational burden and maintain estimation efficiency for massive data. Existing methods mostly focus on subsampling with replacement due to its high computational efficiency. If the…
Kernel embeddings of distributions and the Maximum Mean Discrepancy (MMD), the resulting distance between distributions, are useful tools for fully nonparametric two-sample testing and learning on distributions. However, it is rarely that…
Reliable uncertainty estimation is crucial for machine learning models, especially in safety-critical domains. While exact Bayesian inference offers a principled approach, it is often computationally infeasible for deep neural networks.…
In this paper we present a family of algorithms that can simultaneously align and cluster sets of multidimensional curves measured on a discrete time grid. Our approach is based on a generative mixture model that allows non-linear time…
Markov Chain Monte Carlo (MCMC) requires to evaluate the full data likelihood at different parameter values iteratively and is often computationally infeasible for large data sets. In this paper, we propose to approximate the log-likelihood…
We apply kernel mean embedding methods to sample-based stochastic optimization and control. Specifically, we use the reduced-set expansion method as a way to discard sampled scenarios. The effect of such constraint removal is improved…
Sampling from an unnormalized target distribution is an essential problem with many applications in probabilistic inference. Stein Variational Gradient Descent (SVGD) has been shown to be a powerful method that iteratively updates a set of…
To deal with very large datasets a mini-batch version of the Monte Carlo Markov Chain Stochastic Approximation Expectation-Maximization algorithm for general latent variable models is proposed. For exponential models the algorithm is shown…
Consider the problem of finding a population or a probability distribution amongst many with the largest mean when these means are unknown but population samples can be simulated or otherwise generated. Typically, by selecting largest…
Given a set $V$ of $n$ elements and a distance matrix $[d_{ij}]_{n\times n}$ among elements, the max-mean dispersion problem (MaxMeanDP) consists in selecting a subset $M$ from $V$ such that the mean dispersion (or distance) among the…
The Markov Chain Monte Carlo method is the dominant paradigm for posterior computation in Bayesian analysis. It is common to control computation time by making approximations to the Markov transition kernel. Comparatively little attention…
We consider the distributed version of the Multiple Knapsack Problem (MKP), where $m$ items are to be distributed amongst $n$ processors, each with a knapsack. We propose different distributed approximation algorithms with a tradeoff…
We investigate the problem of best policy identification in discounted linear Markov Decision Processes in the fixed confidence setting under a generative model. We first derive an instance-specific lower bound on the expected number of…
Machine learning algorithms have been effectively applied into various real world tasks. However, it is difficult to provide high-quality machine learning solutions to accommodate an unknown distribution of input datasets; this difficulty…
Running machine learning algorithms on large and rapidly growing volumes of data is often computationally expensive, one common trick to reduce the size of a data set, and thus reduce the computational cost of machine learning algorithms,…
We consider chance-constrained problems with discrete random distribution. We aim for problems with a large number of scenarios. We propose a novel method based on the stochastic gradient descent method which performs updates of the…
Integration over non-negative integrands is a central problem in machine learning (e.g. for model averaging, (hyper-)parameter marginalisation, and computing posterior predictive distributions). Bayesian Quadrature is a probabilistic…
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…
This paper proposes novel algorithm for non-convex multimodal constrained optimisation problems. It is based on sequential solving restrictions of problem to sections of feasible set by random subspaces (in general, manifolds) of low…
As a new method for detecting change-points in high-resolution time series, we apply Maximum Mean Discrepancy to the distributions of ordinal patterns in different parts of a time series. The main advantage of this approach is its…