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We propose a novel approach to perform approximate Bayesian inference in complex models such as Bayesian neural networks. The approach is more scalable to large data than Markov Chain Monte Carlo, it embraces more expressive models than…

We introduce a variational Bayesian neural network where the parameters are governed via a probability distribution on random matrices. Specifically, we employ a matrix variate Gaussian \cite{gupta1999matrix} parameter posterior…

Bayesian inference in deep neural networks is challenging due to the high-dimensional, strongly multi-modal parameter posterior density landscape. Markov chain Monte Carlo approaches asymptotically recover the true posterior but are…

Bayesian nonparametric methods are a popular choice for analysing survival data due to their ability to flexibly model the distribution of survival times. These methods typically employ a nonparametric prior on the survival function that is…

Bayesian nonparametric inferential procedures based on Markov chain Monte Carlo marginal methods typically yield point estimates in the form of posterior expectations. Though very useful and easy to implement in a variety of statistical…

Classic Bayesian methods with complex models are frequently infeasible due to an intractable likelihood. Simulation-based inference methods, such as Approximate Bayesian Computing (ABC), calculate posteriors without accessing a likelihood…

Ordinal categorical data are routinely encountered in many practical applications. When the primary goal is to construct a regression model for ordinal outcomes, cumulative link models represent one of the most popular choices to link the…

We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…

In the last decade, deep learning (DL) has outperformed model-based and statistical approaches in predicting the remaining useful life (RUL) of machinery in the context of condition-based maintenance. One of the major drawbacks of DL is…

Markov chain Monte Carlo (MCMC) provides asymptotically consistent estimates of intractable posterior expectations as the number of iterations tends to infinity. However, in large data applications, MCMC can be computationally expensive per…

We present a novel approach for training deep neural networks in a Bayesian way. Classical, i.e. non-Bayesian, deep learning has two major drawbacks both originating from the fact that network parameters are considered to be deterministic.…

Markov chain Monte Carlo (MCMC) is widely used for Bayesian inference in models of complex systems. Performance, however, is often unsatisfactory in models with many latent variables due to so-called poor mixing, necessitating development…

Deep learning has enjoyed much recent success, and applying state-of-the-art model learning methods to controls is an exciting prospect. However, there is a strong reluctance to use these methods on safety-critical systems, which have…

Markov Chain Monte Carlo (MCMC) algorithms are commonly used for their versatility in sampling from complicated probability distributions. However, as the dimension of the distribution gets larger, the computational costs for a satisfactory…

In the recent past, psychological stress has been increasingly observed in humans, and early detection is crucial to prevent health risks. Stress detection using on-device deep learning algorithms has been on the rise owing to advancements…

Markov chain Monte Carlo (MCMC) provides a feasible method for inferring Hidden Markov models, however, it is often computationally prohibitive, especially constrained by the curse of dimensionality, as the Monte Carlo sampler traverses…

Finite element model updating is challenging because 1) the problem is oftentimes underdetermined while the measurements are limited and/or incomplete; 2) many combinations of parameters may yield responses that are similar with respect to…

In this note, the practical use of priors for Bayes estimators, of the two parameters of the Weibull reliability model, is discussed in a technological context. The meaning of the priors as expression of virtual data samples is analyzed.…

Discrete data are collected in many application areas and are often characterised by highly skewed and power-lawlike distributions. An example of this, which is considered in this paper, is the number of visits to a specialist, often taken…

We present an original simulation-based method to estimate likelihood ratios efficiently for general state-space models. Our method relies on a novel use of the conditional Sequential Monte Carlo (cSMC) algorithm introduced in…