We study the performance of the adaptive construction scheme for a Bayesian inference on the Quadratic GARCH model which introduces the asymmetry in time series dynamics. In the adaptive construction scheme a proposal density in the Metropolis-Hastings algorithm is constructed adaptively by changing the parameters of t…
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48 results for “Bayesian scheme”
A Bayesian estimation of a GARCH model is performed for US Dollar/Japanese Yen exchange rate by the Metropolis-Hastings algorithm with a proposal density given by the adaptive construction scheme. In the adaptive construction scheme the proposal density is assumed to take a form of a multivariate Student's t-distributi…
Study on Metropolis-within-Gibbs schemes for high-dimensional Bayesian models.
problem Improving the scalability of MCMC methods for complex Bayesian models.
method Relating convergence properties to conditional conductance for non-conjugate hierarchical models.
result Established dimension-free convergence results for Metropolis-within-Gibbs schemes.
We propose a Monte Carlo algorithm to sample from high dimensional probability distributions that combines Markov chain Monte Carlo and importance sampling. We provide a careful theoretical analysis, including guarantees on robustness to high dimensionality, explicit comparison with standard Markov chain Monte Carlo me…
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the construction of the proposal density in the Metropolis-Hastings algorithm and the parameters of the proposal density are determined ad…
Paper derives CLT for Bayesian neural networks trained with variational inference.
problem Analyzing the fluctuation behavior of Bayesian neural networks trained with different variational inference schemes.
method Rigorous derivation of CLT for three variational inference schemes: idealized, Bayes-by-Backprop, and Minimal VI.
result Minimal VI scheme has larger variances but is more computationally efficient.
Automatic Chemical Design is a framework for generating novel molecules with optimized properties. The original scheme, featuring Bayesian optimization over the latent space of a variational autoencoder, suffers from the pathology that it tends to produce invalid molecular structures. First, we demonstrate empirically …
Bayesian model improves data-efficiency in reinforcement learning.
problem Data inefficiency in reinforcement learning.
method Bayesian approach with variational inference.
result Human-interpretable insight into reinforcement learning dynamics.
Bayesian optimization uses triangulation candidates for better performance.
problem Non-convex and multi-modal optimization challenges in Bayesian optimization.
method Proposes using Delaunay triangulation candidates for discrete search over continuous optimization.
result Triangulation candidates outperform numerically optimized and random alternatives.
Compressed Monte Carlo improves efficiency in Bayesian inference.
problem Efficiently approximating posterior distributions in Bayesian models.
method Introduces Compressed Monte Carlo (C-MC) to compress statistical information.
result C-MC schemes outperform traditional methods in particle filtering and adaptive IS algorithms.
Bayesian nonparametric Hawkes process model with EM-variational inference.
problem Limited model flexibility in classical Hawkes processes.
method Gaussian process modulated Hawkes process with EM-variational inference.
result Recover underlying baseline intensity and triggering kernel without parametric restriction.
Modified ensembling scheme provides Bayesian posterior estimation in neural networks.
problem Lack of principled uncertainty estimation in neural networks.
method Derive and implement a modified ensembling scheme that estimates Bayesian posterior.
result Consistent estimator of Bayesian posterior in wide neural networks.
SKT improves EKI for Bayesian inverse problems with non-Gaussian targets.
problem Efficiently solving Bayesian inverse problems with expensive forward models and non-Gaussian posterior distributions.
method Embedding EKI and FAKI within a Bayesian annealing scheme to adapt tpCN sampler.
result Significant improvements in convergence rate compared to standard SMC and pCN.
A new sampler speeds up Bayesian mixture models.
problem Sampling from Bayesian finite mixture models is slow and hard.
method Introduces a non-reversible sampling scheme for Bayesian finite mixture models.
result The new sampler outperforms classical samplers in many scenarios, especially during convergence.
Bayesian networks are probabilistic graphical models widely employed to understand dependencies in high dimensional data, and even to facilitate causal discovery. Learning the underlying network structure, which is encoded as a directed acyclic graph (DAG) is highly challenging mainly due to the vast number of possible…
A new numerical scheme approximates nonlinear filtering densities for noisy and partial measurements.
problem Approximating nonlinear filtering densities for noisy and partial measurements.
method Deep splitting scheme applied to the Fokker--Planck equation followed by Bayes' formula.
result Convergence rate established for the numerical scheme under parabolic Hörmander condition.
We investigate the class of -stable Poisson-Kingman random probability measures (RPMs) in the context of Bayesian nonparametric mixture modeling. This is a large class of discrete RPMs which encompasses most of the the popular discrete RPMs used in Bayesian nonparametrics, such as the Dirichlet process, Pitman-Yor p…
Adaptive quadrature improves Bayesian inference through active learning.
problem Efficiently estimating posterior densities in Bayesian inference.
method Sequential node selection using acquisition functions, combining interpolative surrogate models and quadrature rules.
result Positive estimation of marginal likelihood with improved accuracy.
BiDAG R package learns and samples Bayesian network structures efficiently.
problem Efficiently learning and sampling Bayesian network structures.
method Hybrid approach combining PC algorithm, iterative order MCMC, and partition MCMC.
result BiDAG can handle both discrete and continuous data.
Bayesian learning in undirected graphical models|computing posterior distributions over parameters and predictive quantities is exceptionally difficult. We conjecture that for general undirected models, there are no tractable MCMC (Markov Chain Monte Carlo) schemes giving the correct equilibrium distribution over param…
Develops algorithms for Bayesian inference with Plug & Play priors, ensuring convergence and well-posedness.
problem Bayesian imaging inverse problems with implicit priors defined by denoising algorithms.
method Introduces PnP-ULA and PnP-SGD algorithms for Monte Carlo sampling and MAP inference, proving convergence under realistic assumptions.
result Proves convergence of PnP-ULA and PnP-SGD algorithms for Bayesian inference with PnP priors, targeting a well-posed decision-theoretic model.
MFRL-BI controls manufacturing processes without needing accurate models.
problem Model inaccuracies in complex manufacturing systems.
method Model-free reinforcement learning with Bayesian inference.
result Demonstrated to perform well in a nonlinear CMP process.
Law of Large Numbers for Bayesian two-layer Neural Network trained with Variational Inferencestat.ML
The paper analyzes Bayesian neural networks trained with VI, proving a law of large numbers for different schemes.
problem Training Bayesian neural networks with variational inference.
method Analyzes three training schemes: exact estimation, Bayes by Backprop, and Minimal VI.
result All training schemes converge to the same mean-field limit.
New LSTM scheme incorporates prior knowledge and measurement uncertainties.
problem Overfitting and insufficient data for accurate time-dependent solutions.
method Sparse Bayesian training algorithm for automatic connection determination.
result Less prone to overfitting, smaller data set required for satisfying accuracy.
Bayesian network learns data invariances without augmentation.
problem Learning invariances in neural networks without manual design.
method Bayesian approach infers weight-sharing schemes from data.
result Model outperforms non-invariant networks on specific tasks.
Bayesian method tackles variable selection in high-dimensional data.
problem Challenges in Bayesian variable selection with large P.
method Efficient MCMC scheme with sublinear cost per iteration, extended to generalized linear models.
result Demonstrated effectiveness on cancer and maize genomic data.
Estimates expected information gain using density approximations and dimension reduction.
problem Estimating expected information gain in nonlinear and non-Gaussian settings.
method Flexible transport-based schemes for EIG estimation, optimal sample allocation, and gradient-based upper bounds on mutual information.
result Optimal sample allocation and dimension reduction schemes improve EIG estimation accuracy and convergence rate.
Recent advances in Bayesian optimization with applications to parameter reconstruction in optical nano-metrologyphysics.comp-ph
Bayesian optimization speeds up parameter reconstruction in optical nano-metrology.
problem Efficiently reconstructing parameters from time-consuming measurements in optical nano-metrology.
method Combines Bayesian optimization and curve fitting for faster, more efficient model fitting.
result The presented Bayesian Target Vector Optimization scheme achieves similar reconstruction performance with fewer model function calls.
Accurate Bayesian analysis for mixed-effects studies.
problem Statistical significance and inter-individual differences in group studies.
method Variational Bayesian approach for hierarchical mixed-effects models.
result Accurate assessment of group-level effects and inter-individual differences.
The paper proposes AIS for Bayesian inversion of multioutput signals with covariance estimation.
problem Performing uncertainty analysis of covariance matrices in Bayesian inversion problems for multioutput signals.
method Adaptive Importance Sampling (AIS) scheme, split variables, frequentist approach for noise covariance, prior density over covariance matrix.
result Estimation of model parameters and covariance matrix of noise.
Neural networks learn task-specific features, influenced by nonlinearity.
problem Understanding the nature of task-dependent feature learning in neural networks.
method Investigation of fully-connected, wide neural networks using Bayesian framework.
result The nature of internal representations depends on neuronal nonlinearity, leading to analog, redundant, or sparse coding schemes.
CO-BED optimizes experiments using Bayesian methods and information theory.
problem Optimizing experiments in a context-dependent manner.
method Formalizes contextual optimization with Bayesian experimental design, employing information-theoretic principles and black-box variational methods.
result CO-BED provides a general solution for contextual optimization problems.
Learning in deep models using Bayesian methods has generated significant attention recently. This is largely because of the feasibility of modern Bayesian methods to yield scalable learning and inference, while maintaining a measure of uncertainty in the model parameters. Stochastic gradient MCMC algorithms (SG-MCMC) a…
Bayesian topological learning improves EEG signal analysis for brain state classification.
problem Challenges in classifying and analyzing noisy, nonlinear, nonstationary EEG signals.
method Persistent homology with Bayesian framework to track topological features and incorporate prior knowledge.
result Bayesian topological learning outperforms existing methods for noisy EEG classification.
D-VAE generates valid DAGs for neural architecture search and Bayesian network learning.
problem Generating valid DAGs for machine learning models.
method Proposes a novel DAG variational autoencoder (D-VAE) using graph neural networks and asynchronous message passing.
result Demonstrates the effectiveness of D-VAE through neural architecture search and Bayesian network structure learning.
Efficiently calibrates epidemiological models using Bayesian optimization.
problem Calibration of complex epidemiological models is computationally expensive and challenging.
method Graybox Bayesian optimization scheme leveraging Gaussian processes and functional structure of compartmental models.
result Proposed methods achieve efficient calibration and improved performance compared to existing schemes.
This paper considers a Bayesian view for estimating a sub-network in a Markov random field. The sub-network corresponds to the Markov blanket of a set of query variables, where the set of potential neighbours here is big. We factorize the posterior such that the Markov blanket is conditionally independent of the networ…
Bayesian approach for policy search in stochastic domains.
problem Policy search in stochastic domains.
method Nested probabilistic programs, Lightweight Metropolis-Hastings (LMH) adaptation.
result Similar quality policies learned with simpler algorithm.
Paper proposes a new Bayesian optimisation method to handle aleatoric uncertainty.
problem Representing and minimizing aleatoric noise in Bayesian optimisation.
method Heteroscedastic Gaussian process (GP) surrogate model with AEI and ANPEI acquisition functions.
result Improved performance on toy problems and real-world datasets compared to homoscedastic methods.
This thesis develops efficient computational schemes for Bayesian inference in digital receivers.
problem Efficient inference in digital receivers to minimize expected loss.
method Two schemes: exact (GDL) and approximate (VB and TVB).
result GDL guarantees reduction in operators and TVB improves performance for correlated models.
Enhances multi-modular models by directing information flow between components.
problem Improving predictive performance in multi-modular models with misspecification.
method Introduces Semi-Modular Inference (SMI) with an influence parameter to control information flow between modules.
result SMI allows for tunable and directed information flow, improving prediction in some settings.
JaxSGMC simplifies SG-MCMC for Bayesian deep learning.
problem Uncertainty quantification in deep learning models.
method Modular stochastic gradient MCMC in JAX.
result Facilitates trustworthy neural network predictions.
Bayesian models that mix multiple Dirichlet prior parameters, called Multi-Dirichlet priors (MD) in this paper, are gaining popularity. Inferring mixing weights and parameters of mixed prior distributions seems tricky, as sums over Dirichlet parameters complicate the joint distribution of model parameters. This paper s…
New method for sampling orthogonal matrices using Hamiltonian Monte-Carlo.
problem Sampling from posterior distributions of orthogonal matrices in Bayesian models.
method Proposes a new sampling scheme based on Hamiltonian Monte-Carlo and Riemannian optimization.
result New method is comparable or faster in time per iteration and more sample-efficient than conventional methods.
In this work we explore a straightforward variational Bayes scheme for Recurrent Neural Networks. Firstly, we show that a simple adaptation of truncated backpropagation through time can yield good quality uncertainty estimates and superior regularisation at only a small extra computational cost during training, also re…
New algorithms improve sampling from constrained distributions.
problem Generating samples from distributions under constraints.
method Kinetic Langevin dynamics and splitting schemes.
result Improved complexity bounds over existing methods.
A new Bayesian modeling method is proposed by combining the maximization of the marginal likelihood with a momentum-space renormalization group transformation for Gaussian graphical models. Moreover, we present a scheme for computint the statistical averages of hyperparameters and mean square errors in our proposed met…
Linear-cost unbiased estimates for complex models via couplings.
problem High-dimensional Bayesian models with crossed effects and matrix factorization.
method Coupled Gibbs samplers for linear computational cost.
result Unbiased posterior estimates at linear cost.