Related papers: Deep Learning-enabled MCMC for Probabilistic State…

We present a novel framework for high-resolution forecasting of residential heating demand and non-heating electricity demand using probabilistic deep learning models. Because our models are trained on electricity consumption from a…

Increasing penetration of renewable energy sources (RES) and electrification of energy systems necessitates the engagement of demand-side management (DSM) to help alleviate congestion in electricity grid. Heat pump and thermal energy…

Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…

This paper studies the fundamental problem of learning deep generative models that consist of multiple layers of latent variables organized in top-down architectures. Such models have high expressivity and allow for learning hierarchical…

Bayesian mixture models are widely applied for unsupervised learning and exploratory data analysis. Markov chain Monte Carlo based on Gibbs sampling and split-merge moves are widely used for inference in these models. However, both methods…

We introduce a Markov Chain Monte Carlo (MCMC) algorithm to generate samples from probability distributions supported on a $d$-dimensional lattice $\Lambda = \mathbf{B}\mathbb{Z}^d$, where $\mathbf{B}$ is a full-rank matrix. Specifically,…

The hierarchical Dirichlet process (HDP) has become an important Bayesian nonparametric model for grouped data, such as document collections. The HDP is used to construct a flexible mixed-membership model where the number of components is…

Robust control and maintenance of the grid relies on accurate data. Both PMUs and state estimators are prone to false data injection attacks. Thus, it is crucial to have a mechanism for fast and accurate detection of an agent maliciously…

Variable selection is a key issue when analyzing high-dimensional data. The explosion of data with large sample sizes and dimensionality brings new challenges to this problem in both inference accuracy and computational complexity. To…

Smoothing in state-space models amounts to computing the conditional distribution of the latent state trajectory, given observations, or expectations of functionals of the state trajectory with respect to this distributions. For models that…

For large model spaces, the potential entrapment of Markov chain Monte Carlo (MCMC) based methods with spike-and-slab priors poses significant challenges in posterior computation in regression models. On the other hand, maximum a posteriori…

Hidden semi-Markov Models (HSMM's) - while broadly in use - are restricted to a discrete and uniform time grid. They are thus not well suited to explain often irregularly spaced discrete event data from continuous-time phenomena. We show…

Bayesian Neural Networks (BNNs) provide a promising framework for modeling predictive uncertainty and enhancing out-of-distribution robustness (OOD) by estimating the posterior distribution of network parameters. Stochastic Gradient Markov…

Recently, Andrieu, Doucet and Holenstein (2010) introduced a general framework for using particle filters (PFs) to construct proposal kernels for Markov chain Monte Carlo (MCMC) methods. This framework, termed Particle Markov chain Monte…

In this paper, we use stochastic polynomial optimization to derive high-performance operating strategies for heating networks with uncertain or variable demand. The heat flow in district heating networks can be regulated by varying the…

Learning in deep models using Bayesian methods has generated significant attention recently. This is largely because of the feasibility of modern Bayesian methods to yield scalable learning and inference, while maintaining a measure of…

We explore the use of Hamiltonian Monte Carlo (HMC) sampling as a probabilistic last layer approach for deep neural networks (DNNs). While HMC is widely regarded as a gold standard for uncertainty estimation, the computational demands limit…

This paper considers the low-observability state estimation problem in power distribution networks and develops a decentralized state estimation algorithm leveraging the matrix completion methodology. Matrix completion has been shown to be…

We introduce \textit{Policy Guided Monte Carlo} (PGMC), a computational framework using reinforcement learning to improve Markov chain Monte Carlo (MCMC) sampling. The methodology is generally applicable, unbiased and opens up a new path to…

The embedded hidden Markov model (EHMM) sampling method is a Markov chain Monte Carlo (MCMC) technique for state inference in non-linear non-Gaussian state-space models which was proposed in Neal (2003); Neal et al. (2004) and extended in…