相关论文: Practical Collapsed Stochastic Variational Inferen…

This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference methods for the RDD models with covariate selection which perform…

Crucial for building trust in deep learning models for critical real-world applications is efficient and theoretically sound uncertainty quantification, a task that continues to be challenging. Useful uncertainty information is expected to…

Fast convergence speed is a desired property for training latent Dirichlet allocation (LDA), especially in online and parallel topic modeling for massive data sets. This paper presents a novel residual belief propagation (RBP) algorithm to…

Stochastic gradient descent (SGD) is commonly used for optimization in large-scale machine learning problems. Langford et al. (2009) introduce a sparse online learning method to induce sparsity via truncated gradient. With high-dimensional…

We study online inference and asymptotic covariance estimation for the stochastic gradient descent (SGD) algorithm. While classical methods (such as plug-in and batch-means estimators) are available, they either require inaccessible…

This paper presents a data-driven interpretable machine learning algorithm for semi-static hedging of Exchange Traded options, considering transaction costs with efficient run-time. Further, we provide empirical evidence on the performance…

Deep discrete structured models have seen considerable progress recently, but traditional inference using dynamic programming (DP) typically works with a small number of states (less than hundreds), which severely limits model capacity. At…

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the traditional HMM. However, in many settings the HDP-HMM's strict Markovian constraints are…

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the ubiquitous Hidden Markov Model for learning from sequential and time-series data. However, in…

Sparse deep learning aims to address the challenge of huge storage consumption by deep neural networks, and to recover the sparse structure of target functions. Although tremendous empirical successes have been achieved, most sparse deep…

Deep Gaussian Processes (DGPs) are hierarchical generalizations of Gaussian Processes that combine well calibrated uncertainty estimates with the high flexibility of multilayer models. One of the biggest challenges with these models is that…

We present a Bayesian non-parametric way of inferring stochastic differential equations for both regression tasks and continuous-time dynamical modelling. The work has high emphasis on the stochastic part of the differential equation, also…

In this paper, we present hierarchical relationbased latent Dirichlet allocation (hrLDA), a data-driven hierarchical topic model for extracting terminological ontologies from a large number of heterogeneous documents. In contrast to…

We study a new parametric approach for particular hidden stochastic models such as the Stochastic Volatility model. This method is based on contrast minimization and deconvolution. After proving consistency and asymptotic normality of the…

We develop a new method of online inference for a vector of parameters estimated by the Polyak-Ruppert averaging procedure of stochastic gradient descent (SGD) algorithms. We leverage insights from time series regression in econometrics and…

Modelers use automatic differentiation (AD) of computation graphs to implement complex Deep Learning models without defining gradient computations. Stochastic AD extends AD to stochastic computation graphs with sampling steps, which arise…

The beta distribution serves as a canonical tool for modeling probabilities in statistics and machine learning. However, there is limited work on flexible and computationally convenient stochastic process extensions for modeling dependent…

Latent traversal is a popular approach to visualize the disentangled latent representations. Given a bunch of variations in a single unit of the latent representation, it is expected that there is a change in a single factor of variation of…

This work aims at making a comprehensive contribution in the general area of parametric inference for discretely observed diffusion processes. Established approaches for likelihood-based estimation invoke a time-discretisation scheme for…

The Linearized Laplace Approximation (LLA) has been recently used to perform uncertainty estimation on the predictions of pre-trained deep neural networks (DNNs). However, its widespread application is hindered by significant computational…