相关论文: A Simultaneous Perturbation Weak Derivative Estima…

Latent variable models are powerful tools for modeling complex phenomena involving in particular partially observed data, unobserved variables or underlying complex unknown structures. Inference is often difficult due to the latent…

In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from…

I propose a novel framework that integrates stochastic differential equations (SDEs) with deep generative models to improve uncertainty quantification in machine learning applications involving structured and temporal data. This approach,…

We propose and investigate new complementary methodologies for estimating predictive variance networks in regression neural networks. We derive a locally aware mini-batching scheme that result in sparse robust gradients, and show how to…

Low-variance gradient estimation is crucial for learning directed graphical models parameterized by neural networks, where the reparameterization trick is widely used for those with continuous variables. While this technique gives…

Finding a reduction of complex, high-dimensional dynamics to its essential, low-dimensional "heart" remains a challenging yet necessary prerequisite for designing efficient numerical approaches. Machine learning methods have the potential…

Understanding the behavior of stochastic gradient methods is a central problem in modern machine learning. Recent work has highlighted diagonal linear networks as a simplified yet expressive setting for analyzing the optimization and…

Learning models with discrete latent variables using stochastic gradient descent remains a challenge due to the high variance of gradient estimates. Modern variance reduction techniques mostly consider categorical distributions and have…

We study the Stochastic Gradient Descent (SGD) method in nonconvex optimization problems from the point of view of approximating diffusion processes. We prove rigorously that the diffusion process can approximate the SGD algorithm weakly…

This paper develops asymptotic theory for quantile estimation via stochastic gradient descent (SGD) with a constant learning rate. The quantile loss function is neither smooth nor strongly convex. Beyond conventional perspectives and…

We propose a probabilistic framework for developing computational models of biological neural systems. In this framework, physiological recordings are viewed as discrete-time partial observations of an underlying continuous-time stochastic…

Stochastic gradient algorithms are the main focus of large-scale optimization problems and led to important successes in the recent advancement of the deep learning algorithms. The convergence of SGD depends on the careful choice of…

This paper develops a novel passive stochastic gradient algorithm. In passive stochastic approximation, the stochastic gradient algorithm does not have control over the location where noisy gradients of the cost function are evaluated.…

Differential graphical models are designed to represent the difference between the conditional dependence structures of two groups, thus are of particular interest for scientific investigation. Motivated by modern applications, this…

This paper proposes SplitSGD, a new dynamic learning rate schedule for stochastic optimization. This method decreases the learning rate for better adaptation to the local geometry of the objective function whenever a stationary phase is…

Stochastic-gradient sampling methods are often used to perform Bayesian inference on neural networks. It has been observed that the methods in which notions of differential geometry are included tend to have better performances, with the…

We propose to optimize neural networks with a uniformly-distributed random learning rate. The associated stochastic gradient descent algorithm can be approximated by continuous stochastic equations and analyzed within the Fokker-Planck…

We propose a deep neural network (DNN) based least distance (LD) estimator (DNN-LD) for a multivariate regression problem, addressing the limitations of the conventional methods. Due to the flexibility of a DNN structure, both linear and…

We introduce a nonlinear stochastic model reduction technique for high-dimensional stochastic dynamical systems that have a low-dimensional invariant effective manifold with slow dynamics, and high-dimensional, large fast modes. Given only…

Gradient estimation -- approximating the gradient of an expectation with respect to the parameters of a distribution -- is central to the solution of many machine learning problems. However, when the distribution is discrete, most common…