Related papers: Approximate Likelihood-Based Inference for Spatial…

Stochastic second-order methods achieve fast local convergence in strongly convex optimization by using noisy Hessian estimates to precondition the gradient. However, these methods typically reach superlinear convergence only when the…

By formulating the inverse problem of partial differential equations (PDEs) as a statistical inference problem, the Bayesian approach provides a general framework for quantifying uncertainties. In the inverse problem of PDEs, parameters are…

Deep Gaussian processes (DGPs) provide a rich class of models that can better represent functions with varying regimes or sharp changes, compared to conventional GPs. In this work, we propose a novel inference method for DGPs for computer…

Gaussian process (GP) regression is a non-parametric, Bayesian framework to approximate complex models. Standard GP regression can lead to an unbounded model in which some points can take infeasible values. We introduce a new GP method that…

Heteroscedastic regression considering the varying noises among observations has many applications in the fields like machine learning and statistics. Here we focus on the heteroscedastic Gaussian process (HGP) regression which integrates…

When an agent, person, vehicle or robot is moving through an unknown environment without GNSS signals, online mapping of nonlinear terrains can be used to improve position estimates when the agent returns to a previously mapped area.…

In this paper, we introduce a new stochastic approximation (SA) type algorithm, namely the randomized stochastic gradient (RSG) method, for solving an important class of nonlinear (possibly nonconvex) stochastic programming (SP) problems.…

This paper proposes a new approach for Bayesian and maximum likelihood parameter estimation for stationary Gaussian processes observed on a large lattice with missing values. We propose an MCMC approach for Bayesian inference, and a Monte…

Gaussian processes (GPs) have gained popularity as flexible machine learning models for regression and function approximation with an in-built method for uncertainty quantification. However, GPs suffer when the amount of training data is…

The simulation of complex stochastic network dynamics arising, for instance, from models of coupled biomolecular processes remains computationally challenging. Often, the necessity to scan a models' dynamics over a large parameter space…

In this paper, we propose a distributed stochastic second-order proximal method that enables agents in a network to cooperatively minimize the sum of their local loss functions without any centralized coordination. The proposed algorithm,…

Mixtures-of-Experts models and their maximum likelihood estimation (MLE) via the EM algorithm have been thoroughly studied in the statistics and machine learning literature. They are subject of a growing investigation in the context of…

We present an optimizer which uses Bayesian optimization to tune the system parameters of distributed stochastic gradient descent (SGD). Given a specific context, our goal is to quickly find efficient configurations which appropriately…

Spatial process models for analyzing geostatistical data entail computations that become prohibitive as the number of spatial locations become large. This manuscript develops a class of highly scalable Nearest Neighbor Gaussian Process…

We propose a general algorithm for approximating nonstandard Bayesian posterior distributions. The algorithm minimizes the Kullback-Leibler divergence of an approximating distribution to the intractable posterior distribution. Our method…

This paper deals with the identification of linear stochastic dynamical systems, where the unknowns include system coefficients and noise variances. Conventional approaches that rely on the maximum likelihood estimation (MLE) require…

Neural-net-induced Gaussian process (NNGP) regression inherits both the high expressivity of deep neural networks (deep NNs) as well as the uncertainty quantification property of Gaussian processes (GPs). We generalize the current NNGP to…

Models defined by stochastic differential equations (SDEs) allow for the representation of random variability in dynamical systems. The relevance of this class of models is growing in many applied research areas and is already a standard…

Bayesian inference tasks continue to pose a computational challenge. This especially holds for spatial-temporal modeling where high-dimensional latent parameter spaces are ubiquitous. The methodology of integrated nested Laplace…

Gaussian processes (GPs) are flexible distributions over functions that enable high-level assumptions about unknown functions to be encoded in a parsimonious, flexible and general way. Although elegant, the application of GPs is limited by…