相关论文: Scalable Stochastic Kriging with Markovian Covaria…

Bayesian methods hold significant promise for improving the uncertainty quantification ability and robustness of deep neural network models. Recent research has seen the investigation of a number of approximate Bayesian inference methods…

We consider stochastic optimization when one only has access to biased stochastic oracles of the objective and the gradient, and obtaining stochastic gradients with low biases comes at high costs. This setting captures various optimization…

Markov matrices have an important role in the filed of stochastic processes. In this paper, we will show and prove a series of conclusions on Markov matrices and transformations rather than pay attention to stochastic processes although…

Indirect imaging problems in biomedical optics generally require repeated evaluation of forward models of radiative transport, for which Monte Carlo is accurate yet computationally costly. We develop a novel approach to reduce this…

Stochastic gradient methods are the workhorse (algorithms) of large-scale optimization problems in machine learning, signal processing, and other computational sciences and engineering. This paper studies Markov chain gradient descent, a…

Classical parameter-space Bayesian inference for Bayesian neural networks (BNNs) suffers from several unresolved prior issues, such as knowledge encoding intractability and pathological behaviours in deep networks, which can lead to…

This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…

An extremely common bottleneck encountered in statistical learning algorithms is inversion of huge covariance matrices, examples being in evaluating Gaussian likelihoods for a large number of data points. We propose general parallel…

Imprecise continuous-time Markov chains are a robust type of continuous-time Markov chains that allow for partially specified time-dependent parameters. Computing inferences for them requires the solution of a non-linear differential…

Machine learning problems with multiple objective functions appear either in learning with multiple criteria where learning has to make a trade-off between multiple performance metrics such as fairness, safety and accuracy; or, in…

We present a computational strategy for the evaluation of multidimensional integrals on hyper-rectangles based on Markovian stochastic exploration of the integration domain while the integrand is being morphed by starting from an initial…

In the infectious disease literature, significant effort has been devoted to studying dynamics at a single scale. For example, compartmental models describing population-level dynamics are often formulated using differential equations. In…

Hybrid multiscale modelling has emerged as a useful framework for modelling complex biological phenomena. However, when accounting for stochasticity in the internal dynamics of agents, these models frequently become computationally…

Markov Chain Monte Carlo (MCMC) algorithms are often used for approximate inference inside learning, but their slow mixing can be difficult to diagnose and the approximations can seriously degrade learning. To alleviate these issues, we…

Time-series models typically assume untainted and legitimate streams of data. However, a self-interested adversary may have incentive to corrupt this data, thereby altering a decision maker's inference. Within the broader field of…

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…

This book aims to provide a graduate-level introduction to advanced topics in Markov chain Monte Carlo (MCMC) algorithms, as applied broadly in the Bayesian computational context. Most, if not all of these topics (stochastic gradient MCMC,…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

We consider the problem of evaluating risk for a system that is modeled by a complex stochastic simulation with many possible input parameter values. Two sources of computational burden can be identified: the effort associated with…

We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many…