Related papers: Forecasting VIX using Bayesian Deep Learning
Deep-learning-based data-driven forecasting methods have produced impressive results for traffic forecasting. A major limitation of these methods, however, is that they provide forecasts without estimates of uncertainty, which are critical…
This study evaluated the probability and uncertainty forecasts of five recently proposed Bayesian deep learning methods relative to a deterministic residual neural network (ResNet) baseline for 0-1 h convective initiation (CI) nowcasting…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
Precise estimation of uncertainty in predictions for AI systems is a critical factor in ensuring trust and safety. Deep neural networks trained with a conventional method are prone to over-confident predictions. In contrast to Bayesian…
The forecast of tropical cyclone trajectories is crucial for the protection of people and property. Although forecast dynamical models can provide high-precision short-term forecasts, they are computationally demanding, and current…
Deep learning models, such as convolutional neural networks, have long been applied to image and multi-media tasks, particularly those with structured data. More recently, there has been more attention to unstructured data that can be…
Bayesian neural networks (BNNs) have recently regained a significant amount of attention in the deep learning community due to the development of scalable approximate Bayesian inference techniques. There are several advantages of using a…
Recent work in financial machine learning has shown the virtue of complexity: the phenomenon by which deep learning methods capable of learning highly nonlinear relationships outperform simpler approaches in financial forecasting. While…
In a recent paper "Deep Learning Volatility" a fast 2-step deep calibration algorithm for rough volatility models was proposed: in the first step the time consuming mapping from the model parameter to the implied volatilities is learned by…
Uncertainty quantification is essential when dealing with ill-conditioned inverse problems due to the inherent nonuniqueness of the solution. Bayesian approaches allow us to determine how likely an estimation of the unknown parameters is…
Bayesian neural network models (BNN) have re-surged in recent years due to the advancement of scalable computations and its utility in solving complex prediction problems in a wide variety of applications. Despite the popularity and…
This study introduces PV-RNN, a novel variational RNN inspired by the predictive-coding ideas. The model learns to extract the probabilistic structures hidden in fluctuating temporal patterns by dynamically changing the stochasticity of its…
Deep neural networks (DNN) are versatile parametric models utilised successfully in a diverse number of tasks and domains. However, they have limitations---particularly from their lack of robustness and over-sensitivity to out of…
Deep neural networks (NNs) encounter scalability limitations when confronted with a vast array of neurons, thereby constraining their achievable network depth. To address this challenge, we propose an integration of tensor networks (TN)…
Estimated uncertainty by approximate posteriors in Bayesian neural networks are prone to miscalibration, which leads to overconfident predictions in critical tasks that have a clear asymmetric cost or significant losses. Here, we extend the…
Background: In medical imaging, images are usually treated as deterministic, while their uncertainties are largely underexplored. Purpose: This work aims at using deep learning to efficiently estimate posterior distributions of imaging…
Deep neural networks are prone to overconfident predictions on outliers. Bayesian neural networks and deep ensembles have both been shown to mitigate this problem to some extent. In this work, we aim to combine the benefits of the two…
The radio astronomy community is adopting deep learning techniques to deal with the huge data volumes expected from the next-generation of radio observatories. Bayesian neural networks (BNNs) provide a principled way to model uncertainty in…
The goal of Bayesian deep learning is to provide uncertainty quantification via the posterior distribution. However, exact inference over the weight space is computationally intractable due to the ultra-high dimensions of the neural…
In this paper, we propose a novel Explanation Neural Network (XNN) to explain the predictions made by a deep network. The XNN works by learning a nonlinear embedding of a high-dimensional activation vector of a deep network layer into a…