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Mixed precision training (MPT) is becoming a practical technique to improve the speed and energy efficiency of training deep neural networks by leveraging the fast hardware support for IEEE half-precision floating point that is available in…
We consider the problem of estimating a nested structure of two expectations taking the form $U_0 = E[\max\{U_1(Y), \pi(Y)\}]$, where $U_1(Y) = E[X\ |\ Y]$. Terms of this form arise in financial risk estimation and option pricing. When…
We consider the computation of the permanent of a binary n by n matrix. It is well- known that the exact computation is a #P complete problem. A variety of Markov chain Monte Carlo (MCMC) computational algorithms have been introduced in the…
The presented work addresses two-stage stochastic programs (2SPs), a broadly applicable model to capture optimization problems subject to uncertain parameters with adjustable decision variables. In case the adjustable or second-stage…
Simulated Tempering (ST) is an MCMC algorithm for complex target distributions that operates on a path between the target and a more amenable reference distribution. Crucially, if the reference enables i.i.d. sampling, ST is regenerative…
In many computational problems, using the Markov Chain Monte Carlo (MCMC) can be prohibitively time-consuming. We propose MCMC-Net, a simple yet efficient way to accelerate MCMC via neural networks. The key idea of our approach is to…
Simulation-based inference (SBI) with neural posterior estimation (NPE) provides rapid X-ray spectral fitting in both Gaussian and Poisson regimes by learning approximate parameter posteriors from simulations. We investigate auto-encoders…
In this paper, we mainly focus on the penalized maximum likelihood estimation (MLE) of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance…
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditional expectation is intractable in most cases, one may…
Spiking neural networks (SNNs) have gained attention as models of sparse and event-driven communication of biological neurons, and as such have shown increasing promise for energy-efficient applications in neuromorphic hardware. As with…
Simulation-based inference (SBI) solves statistical inverse problems by repeatedly running a stochastic simulator and inferring posterior distributions from model-simulations. To improve simulation efficiency, several inference methods take…
This work proposes an adaptive sequential Monte Carlo sampling algorithm to solve Bayesian inverse problems in scenarios where likelihood evaluations are costly but can be approximated using a surrogate model built from previous evaluations…
Neural Processes (NPs) are popular methods in meta-learning that can estimate predictive uncertainty on target datapoints by conditioning on a context dataset. Previous state-of-the-art method Transformer Neural Processes (TNPs) achieve…
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with respect to a target probability distribution over an…
The expected information gain is an important quality criterion of Bayesian experimental designs, which measures how much the information entropy about uncertain quantity of interest $\theta$ is reduced on average by collecting relevant…
Replica exchange Monte Carlo (reMC), also known as parallel tempering, is an important technique for accelerating the convergence of the conventional Markov Chain Monte Carlo (MCMC) algorithms. However, such a method requires the evaluation…
Approximate Bayesian Computation (ABC) methods are increasingly used for inference in situations in which the likelihood function is either computationally costly or intractable to evaluate. Extensions of the basic ABC rejection algorithm…
Transfer learning has recently shown significant performance across various tasks involving deep neural networks. In these transfer learning scenarios, the prior distribution for downstream data becomes crucial in Bayesian model averaging…
The estimation of Average Treatment Effect (ATE) as a causal parameter is carried out in two steps, where in the first step, the treatment and outcome are modeled to incorporate the potential confounders, and in the second step, the…
A Neural Process (NP) estimates a stochastic process implicitly defined with neural networks given a stream of data, rather than pre-specifying priors already known, such as Gaussian processes. An ideal NP would learn everything from data…