Related papers: On the Impact of Sampling on Deep Sequential State…

Sampling from distributions play a crucial role in aiding practitioners with statistical inference. However, in numerous situations, obtaining exact samples from complex distributions is infeasible. Consequently, researchers often turn to…

State-space models can be used to incorporate subject knowledge on the underlying dynamics of a time series by the introduction of a latent Markov state-process. A user can specify the dynamics of this process together with how the state…

Multi-sample, importance-weighted variational autoencoders (IWAE) give tighter bounds and more accurate uncertainty estimates than variational autoencoders (VAE) trained with a standard single-sample objective. However, IWAEs scale poorly:…

The marginal likelihood is a central tool for drawing Bayesian inference about the number of components in mixture models. It is often approximated since the exact form is unavailable. A bias in the approximation may be due to an incomplete…

The curse of dimensionality is a widely known issue in reinforcement learning (RL). In the tabular setting where the state space $\mathcal{S}$ and the action space $\mathcal{A}$ are both finite, to obtain a nearly optimal policy with…

Markov Chain Monte Carlo (MCMC) algorithms are often used for approximate inference inside learning, but their slow mixing can be difficult to diagnose and the approximations can seriously degrade learning. To alleviate these issues, we…

Generative state estimators based on probabilistic filters and smoothers are one of the most popular classes of state estimators for robots and autonomous vehicles. However, generative models have limited capacity to handle rich sensory…

State-space models are commonly used to describe different forms of ecological data. We consider the case of count data with observation errors. For such data the system process is typically multi-dimensional consisting of coupled Markov…

Markov chain Monte Carlo (MCMC), such as Langevin dynamics, is valid for approximating intractable distributions. However, its usage is limited in the context of deep latent variable models owing to costly datapoint-wise sampling iterations…

Learning-based methods commonly treat state estimation in robotics as a sequence modeling problem. While this paradigm can be effective at maximizing end-to-end performance, models are often difficult to interpret and expensive to train,…

Importance sampling is a rare event simulation technique used in Monte Carlo simulations to bias the sampling distribution towards the rare event of interest. By assigning appropriate weights to sampled points, importance sampling allows…

This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman filter (MLEnKF) which has provably superior asymptotic cost to…

We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensional spatio-temporal process. We consider underlying models…

Being the most classical generative model for serial data, state-space models (SSM) are fundamental in AI and statistical machine learning. In SSM, any form of parameter learning or latent state inference typically involves the computation…

Variational inference approximates the posterior distribution of a probabilistic model with a parameterized density by maximizing a lower bound for the model evidence. Modern solutions fit a flexible approximation with stochastic gradient…

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

Gradient-based methods are well-suited for derivative-free optimization (DFO), where finite-difference (FD) estimates are commonly used as gradient surrogates. Traditional stochastic approximation methods, such as Kiefer-Wolfowitz (KW) and…

We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach…

Scalable Bayesian sampling is playing an important role in modern machine learning, especially in the fast-developed unsupervised-(deep)-learning models. While tremendous progresses have been achieved via scalable Bayesian sampling such as…