Related papers: Scalable Variational Inference for Multinomial Pro…
This paper presents a concise review of Contextual Multi-Armed Bandit (CMAB) methods and introduces an experimental framework for scalable, interpretable offer selection, addressing the challenge of fast-changing offers. The approach models…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. However, until recently there has been little work on accurate uncertainty quantification for predictions from such…
Variational inference methods have been shown to lead to significant improvements in the computational efficiency of approximate Bayesian inference in mixed multinomial logit models when compared to standard Markov-chain Monte Carlo (MCMC)…
We propose a new sufficient dimension reduction approach designed deliberately for high-dimensional classification. This novel method is named maximal mean variance (MMV), inspired by the mean variance index first proposed by Cui, Li and…
We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order…
Markov Chain Monte Carlo (MCMC) algorithms are standard approaches to solve imaging inverse problems and quantify estimation uncertainties, a key requirement in absence of ground-truth data. To improve estimation quality, Plug-and-Play MCMC…
The Support Vector Machine (SVM) is a popular classification paradigm in machine learning and has achieved great success in real applications. However, the standard SVM can not select variables automatically and therefore its solution…
We propose an optimization algorithm for Variational Inference (VI) in complex models. Our approach relies on natural gradient updates where the variational space is a Riemann manifold. We develop an efficient algorithm for Gaussian…
Estimating the strength of dependency between two variables is fundamental for exploratory analysis and many other applications in data mining. For example: non-linear dependencies between two continuous variables can be explored with the…
We introduce causal Markov Decision Processes (C-MDPs), a new formalism for sequential decision making which combines the standard MDP formulation with causal structures over state transition and reward functions. Many contemporary and…
We present a novel Bayesian inference tool that uses a neural network to parameterise efficient Markov Chain Monte-Carlo (MCMC) proposals. The target distribution is first transformed into a diagonal, unit variance Gaussian by a series of…
Time in-homogeneous cyclic Markov chain Monte Carlo (MCMC) samplers, including deterministic scan Gibbs samplers and Metropolis within Gibbs samplers, are extensively used for sampling from multi-dimensional distributions. We establish a…
Variational Bayes (VB) is a popular tool for Bayesian inference in statistical modeling. Recently, some VB algorithms are proposed to handle intractable likelihoods with applications such as approximate Bayesian computation. In this paper,…
Conditional Mutual Information (CMI) is a measure of conditional dependence between random variables X and Y, given another random variable Z. It can be used to quantify conditional dependence among variables in many data-driven inference…
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult to fit. Many approaches, both classical and Bayesian, have…
Variable selection is fundamental to high-dimensional statistical modeling. Many variable selection techniques may be implemented by maximum penalized likelihood using various penalty functions. Optimizing the penalized likelihood function…
Effective implementations of sampling-based probabilistic inference often require manually constructed, model-specific proposals. Inspired by recent progresses in meta-learning for training learning agents that can generalize to unseen…
Large pre-trained vision-language models (VLMs) offer a promising approach to leveraging human language for enhancing downstream tasks. However, VLMs such as CLIP face significant limitation: its performance is highly sensitive to prompt…
Markov chain Monte Carlo (MCMC) algorithms are simple and extremely powerful techniques to sample from almost arbitrary distributions. The flaw in practice is that it can take a large and/or unknown amount of time to converge to the…