相关论文: Fast derivatives of likelihood functionals for ODE…

Stochastic differential equations (SDEs) are established tools to model physical phenomena whose dynamics are affected by random noise. By estimating parameters of an SDE intrinsic randomness of a system around its drift can be identified…

Scalable machine learning over big data is an important problem that is receiving a lot of attention in recent years. On popular distributed environments such as Hadoop running on a cluster of commodity machines, communication costs are…

One of the pivotal tasks in scientific machine learning is to represent underlying dynamical systems from time series data. Many methods for such dynamics learning explicitly require the derivatives of state data, which are not directly…

Irregularly sampled time series with missing values are often observed in multiple real-world applications such as healthcare, climate and astronomy. They pose a significant challenge to standard deep learning models that operate only on…

Diffusion Probabilistic Models (DPMs) have achieved considerable success in generation tasks. As sampling from DPMs is equivalent to solving diffusion SDE or ODE which is time-consuming, numerous fast sampling methods built upon improved…

We develop the method of stochastic modified equations (SME), in which stochastic gradient algorithms are approximated in the weak sense by continuous-time stochastic differential equations. We exploit the continuous formulation together…

In this paper we demonstrate a new technique for deriving discrete adjoint and tangent linear models of finite element models. The technique is significantly more efficient and automatic than standard algorithmic differentiation techniques.…

Despite the rapid advancements in Artificial Intelligence (AI), Stochastic Differential Equations (SDEs) remain the gold-standard formalism for modeling systems under uncertainty. However, applying SDEs in practice is fraught with…

State and parameter estimation is essential for process monitoring and control. Observability plays an important role in both state and parameter estimation. In simultaneous state and parameter estimation, the parameters are often augmented…

A variety of complex biological, natural and man-made systems exhibit non-Markovian dynamics that can be modeled through fractional order differential equations, yet, we lack sample comlexity aware system identification strategies. Towards…

Structured Latent Attribute Models (SLAMs) are a family of discrete latent variable models widely used in education, psychology, and epidemiology to model multivariate categorical data. A SLAM assumes that multiple discrete latent…

This paper introduces an Ordinary Differential Equation (ODE) notion for survival analysis. The ODE notion not only provides a unified modeling framework, but more importantly, also enables the development of a widely applicable, scalable,…

Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…

In this paper we develop a new method for numerically approximating sensitivities in parameter-dependent ordinary differential equations (ODEs). Our approach, intended for situations where the standard forward and adjoint sensitivity…

Several classical adaptive optimization algorithms, such as line search and trust region methods, have been recently extended to stochastic settings where function values, gradients, and Hessians in some cases, are estimated via stochastic…

(Neal and Hinton, 1998) recast maximum likelihood estimation of any given latent variable model as the minimization of a free energy functional $F$, and the EM algorithm as coordinate descent applied to $F$. Here, we explore alternative…

Accurate estimates of long-term risk probabilities and their gradients are critical for many stochastic safe control methods. However, computing such risk probabilities in real-time and in unseen or changing environments is challenging.…

Stein operators allow to characterise probability distributions via differential operators. Based on these characterisations, we develop a new method of point estimation for marginal parameters of strictly stationary and ergodic processes,…

Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…

Nonlinear (systems of) ordinary differential equations (ODEs) are common tools in the analysis of complex one-dimensional dynamic systems. In this paper we propose a smoothing approach regularized by a quasilinearized ODE-based penalty in…