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Identifying control-friendly models of nonlinear systems remains one of the major challenges at the intersection of system identification and control. The Linear Parameter-Varying (LPV) framework offers a promising solution, but existing…
The recently developed Particle-based Variational Inference (ParVI) methods drive the empirical distribution of a set of \emph{fixed-weight} particles towards a given target distribution $\pi$ by iteratively updating particles' positions.…
The multivariate adaptive regression spline (MARS) is one of the popular estimation methods for nonparametric multivariate regressions. However, as MARS is based on marginal splines, to incorporate interactions of covariates, products of…
Computer simulations have long presented the exciting possibility of scientific insight into complex real-world processes. Despite the power of modern computing, however, it remains challenging to systematically perform inference under…
Variational inference (VI) is a method to approximate the computationally intractable posterior distributions that arise in Bayesian statistics. Typically, VI fits a simple parametric distribution to the target posterior by minimizing an…
Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the…
Solving high-dimensional Bayesian inverse problems (BIPs) with the variational inference (VI) method is promising but still challenging. The main difficulties arise from two aspects. First, VI methods approximate the posterior distribution…
This paper develops an adaptive proximal alternating direction method of multipliers (ADMM) for solving linearly constrained, composite optimization problems under the assumption that the smooth component of the objective is weakly convex,…
In a probabilistic latent variable model, factorized (or mean-field) variational inference (F-VI) fits a separate parametric distribution for each latent variable. Amortized variational inference (A-VI) instead learns a common inference…
Recent years have witnessed growing interest in semi-implicit variational inference (SIVI) methods due to their ability to rapidly generate samples from complex distributions. However, since the likelihood of these samples is non-trivial to…
Variational inference is computationally challenging in models that contain both conjugate and non-conjugate terms. Methods specifically designed for conjugate models, even though computationally efficient, find it difficult to deal with…
We propose a nonparametric additive model for estimating interpretable value functions in reinforcement learning, with an application in optimizing postoperative recovery through personalized, adaptive recommendations. While reinforcement…
We present an iterative framework to improve the amortized approximations of posterior distributions in the context of Bayesian inverse problems, which is inspired by loop-unrolled gradient descent methods and is theoretically grounded in…
Agent-based models (ABMs) simulate complex systems by capturing the bottom-up interactions of individual agents comprising the system. Many complex systems of interest, such as epidemics or financial markets, involve thousands or even…
We consider a flexible semiparametric quantile regression model for analyzing high dimensional heterogeneous data. This model has several appealing features: (1) By considering different conditional quantiles, we may obtain a more complete…
Semi-implicit variational inference (SIVI) enhances the expressiveness of variational families through hierarchical semi-implicit distributions, but the intractability of their densities makes standard ELBO-based optimization biased. Recent…
Simulation-based inference (SBI) offers a flexible and general approach to performing Bayesian inference: In SBI, a neural network is trained on synthetic data simulated from a model and used to rapidly infer posterior distributions for…
This paper is concerned with the approximation of probability distributions known up to normalization constants, with a focus on Bayesian inference for large-scale inverse problems in scientific computing. In this context, key challenges…
We introduce a novel and efficient algorithm called the stochastic approximate gradient descent (SAGD), as an alternative to the stochastic gradient descent for cases where unbiased stochastic gradients cannot be trivially obtained.…
Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…