Given a Gaussian Markov random field, we consider the problem of selecting a subset of variables to observe which minimizes the total expected squared prediction error of the unobserved variables. We first show that finding an exact solution is NP-hard even for a restricted class of Gaussian Markov random fields, calle…
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A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
169,291 papers · 148 categories
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48 results for “Gaussian-Markov random field”
Paper calculates KL divergence for isotropic Gaussian-Markov fields.
problem Measuring divergence between isotropic Gaussian-Markov fields.
method Derives closed-form KL divergence expressions.
result Develops new similarity measures in image processing.
New methods reduce computational cost for Gaussian Markov Random Fields with sparse constraints.
problem Inference and simulation of GMRFs are computationally prohibitive with many constraints.
method Proposes a basis transformation into blocks of constrained and non-constrained subspaces.
result Significantly outperforms existing alternatives in computational cost.
New algorithm speeds up image denoising to linear time.
problem Bayesian image denoising with Gaussian Markov Random Field.
method Proposes a new algorithm solving in O(n) time.
result Effective in practice with hyperparameter estimation.
Deep GMRFs improve spatial data modeling and prediction.
problem Modeling spatial dependencies in data.
method Established connection between GMRFs and CNNs, allowing for multi-layer architectures.
result Deep GMRFs outperform state-of-the-art models in satellite temperature prediction.
New method speeds up sampling of Markov random fields.
problem Efficient sampling of Markov random fields is computationally expensive.
method Introduced a new class of Markov random fields linked to Gaussian Markov Random fields for faster sampling.
result At least 35x faster and 37x less energy consumption compared to Gibbs sampling.
A scalable deep GMRF model for general graphs improves predictions and uncertainty estimates.
problem Handling generally structured data on graphs efficiently.
method A new multi-layer structure of Deep GMRFs designed for general graphs, enabling efficient training and close-to-exact Bayesian inference.
result Close-to-exact Bayesian inference for latent field predictions with uncertainty estimates.
New method controls false discovery rate in learning Gaussian MRF structures.
problem Learning the structure of Gaussian MRFs from data, especially when p >> n, leads to false edges.
method Proposes nsSLOPE using sorted l1-norm regularization to control false discovery rate.
result Controls false discovery rate in learning the structure of Gaussian MRFs.
Novel framework for graph learning from data under structural and Laplacian constraints.
problem Graph learning from data under structural and Laplacian constraints.
method Formulation of graph learning problems, probabilistic interpretations, and specialized algorithms incorporating graph Laplacian and structural constraints.
result Experimental results show the proposed algorithms outperform state-of-the-art methods.
Region detection in Gaussian Markov fields with limited samples.
problem Consistent graph recovery in sample deficient scenarios.
method Partitioning the graph into spatial regions with similar edge parameters and regular boundaries, developing new sample complexity bounds, and introducing an efficient region growing algorithm.
result A bounded number of samples can be sufficient for consistent region recovery.
The paper makes inference methods available for Gaussian models with banded precision.
problem Efficient inference for Gaussian models with banded precision.
method Develops linear algebra operators for banded matrices within automatic differentiation frameworks.
result The operators enable efficient variational inference and gradient-based sampling for Gaussian models with banded precision.
Structure learning in random fields has attracted considerable attention due to its difficulty and importance in areas such as remote sensing, computational biology, natural language processing, protein networks, and social network analysis. We consider the problem of estimating the probabilistic graph structure associ…
Efficiently infers gene regulatory networks from spatial data.
problem Inferring spatially-varying gene regulatory networks.
method Proposed an efficient optimization problem for SV-GMRFs.
result Solves large-scale SV-GMRF problems in minutes.
CMRFs extend PGMs for topological data, capturing both conditional and marginal dependencies.
problem Limited expressiveness of PGMs for topological data.
method Introducing Colored Markov Random Fields (CMRFs) that model Gaussian edge variables on topological spaces.
result CMRFs improve distributed estimation over physical networks compared to baselines.
Consider a random vector with finite second moments. If its precision matrix is an M-matrix, then all partial correlations are non-negative. If that random vector is additionally Gaussian, the corresponding Markov random field (GMRF) is called attractive. We study estimation of M-matrices taking the role of inverse sec…
The paper uses MRFs to improve recommendation accuracy in collaborative filtering.
problem Improving recommendation accuracy in collaborative filtering.
method Modeling dependencies via Gaussian Markov Random Fields (MRFs) with auto-normal parameterization and pseudo-likelihood.
result The proposed approach achieved competitive ranking-accuracy and a 20% gain in accuracy on the largest data-set.
A large number of statistical models are "doubly-intractable": the likelihood normalising term, which is a function of the model parameters, is intractable, as well as the marginal likelihood (model evidence). This means that standard inference techniques to sample from the posterior, such as Markov chain Monte Carlo (…
New research shows how preconditioning can solve sparse linear regression problems efficiently.
problem Efficiently solving sparse linear regression problems without restrictive conditions.
method Preconditioned Lasso approach to solve sparse linear regression problems.
result Preconditioning can solve a large class of sparse linear regression problems nearly optimally.
Proposes a new method for estimating sparse precision matrices in GMRF-MM models.
problem Difficulty in learning GMMs with large parameters and limited data.
method Restricts GMM to GMRF-MM, proposes efficient optimization for sparse precision matrices, and debiases the estimates.
result Debiasing approach outperforms GLASSO in single-GMRF and GMRF-MM cases.
New method reduces model selection sample complexity for geometric graphs.
problem Model selection in Gaussian Markov fields with sample deficiency.
method Introducing spatial stationarity to geometric graphs, developing information-theoretic bounds and efficient reconstruction techniques.
result Spatial stationarity leads to significant reduction in sample complexity for consistent recovery.
Gaussian Markov random fields (GMRFs) are useful in a broad range of applications. In this paper we tackle the problem of learning a sparse GMRF in a high-dimensional space. Our approach uses the l1-norm as a regularization on the inverse covariance matrix. We utilize a novel projected gradient method, which is faster …
A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivativesq-fin.MF
Alternative model for financial derivatives pricing using Gaussian Markov process.
problem Inaccurate pricing of financial derivatives due to past dependency of stock prices.
method Developed a simplified Gaussian Markov process alternative to fractional Brownian motion.
result Improved accuracy in pricing derivatives by allowing past dependency.
The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov Random Field, from very limited samples. We propose a novel algorithm for solving the…
Latent Gaussian models (LGMs) are widely used in statistics and machine learning. Bayesian inference in non-conjugate LGMs is difficult due to intractable integrals involving the Gaussian prior and non-conjugate likelihoods. Algorithms based on variational Gaussian (VG) approximations are widely employed since they str…
Paper introduces graph-based transforms for video compression.
problem Efficiently represent video signals for compression.
method Develops two techniques for designing graph-based transforms (GL-GBTs and EA-GBTs).
result Graph-based transforms outperform traditional KLT in video compression.
We study linear models under heavy-tailed priors from a probabilistic viewpoint. Instead of computing a single sparse most probable (MAP) solution as in standard deterministic approaches, the focus in the Bayesian compressed sensing framework shifts towards capturing the full posterior distribution on the latent variab…
Study reveals supply chain correlations in firm growth rates.
problem Understanding correlations in firm growth rates and their supply chain relationships.
method Investigated correlation structure of firm growth rates and used Gaussian Markov Models to reconstruct supply chain networks.
result Supply chain-linked firms exhibit stronger correlation in growth rates than non-linked firms.
Proposes an INLA-based method for state and parameter estimation in nonlinear systems.
problem Difficulty in learning parameters accurately in nonlinear dynamical systems.
method Iterated INLA for state and parameter estimation in nonlinear dynamical systems.
result Outperforms existing methods on data assimilation tasks.
Bayesian imaging methods deliver trustworthy probabilities in some cases but struggle with uncertainty quantification.
problem Uncertainty quantification in Bayesian imaging methods.
method Monte Carlo method to explore reliability of probabilities.
result Modern Bayesian imaging techniques deliver reliable probabilities in some cases but not for uncertainty quantification.
Local mappings relate dual and primal factor graphs for efficient marginal probability estimation.
problem Efficient estimation of marginal probabilities in statistical physics models.
method Local mappings based on Fourier transform of local factors, applied to Ising, Potts, and clock models.
result Local extrema of fixed points are at phase transition points, and the mapping facilitates efficient estimation.
Paper analyzes convergence of distributed inference using BP in linear Gaussian models.
problem Distributed inference convergence in linear Gaussian models.
method Factor graphs, Gaussian belief propagation, local computation, message passing.
result Message information matrix converges to a unique positive definite limit matrix at a doubly exponential rate.
In this paper we consider the task of estimating the non-zero pattern of the sparse inverse covariance matrix of a zero-mean Gaussian random vector from a set of iid samples. Note that this is also equivalent to recovering the underlying graph structure of a sparse Gaussian Markov Random Field (GMRF). We present two no…
Efficient likelihood computation improves kernel learning accuracy for complex models.
problem Improving accuracy of kernel learning for complex models and sparse signals.
method Exact likelihood computation using Kalman filter and diagonalized state transition equation.
result Posterior mean with reference prior is more accurate for complex models and sparse sampling.
Given i.i.d. observations of a random vector , we study the problem of estimating both its covariance matrix , and its inverse covariance or concentration matrix {.} We estimate by minimizing an -penalized log-determinant Bregman divergence; in the multivariate G…
The paper derives Cramer-Rao bounds for Laplacian matrix estimation under various constraints.
problem Estimating Laplacian matrices with structural constraints and sparsity.
method Linear reparametrization and closed-form expressions for Cramer-Rao bounds tailored to Laplacian matrix estimation.
result The derived CRBs provide performance limits for Laplacian matrix estimation and are validated in various applications.
A spiking neural network model for probabilistic inference of binary Markov random fields.
problem Implementing probabilistic inference in spiking neural networks.
method Designing a spiking recurrent neural network and proving its equivalence to mean-field inference of binary Markov random fields.
result The spiking neural network model can implement inference of arbitrary binary Markov random fields.
New tree-structured Markov fields with Poisson marginals for counting variables.
problem Counting variables with complex dependencies.
method Tree-structured Markov random fields with Poisson marginals.
result Straightforward sampling and joint probability calculations.
Study on spin random fields using chaos decomposition for cosmic microwave background modeling.
problem Modeling polarization of Cosmic Microwave Background using spin random fields.
method Explicit Wiener-Itô chaos decomposition of area measures of level sets.
result Reveals a clear difference between high frequency regime and zero spin case.
Study on Gaussian random fields' singularities on manifolds.
problem Understanding singularities of Gaussian random fields on manifolds.
method Computed expected values of singularities under various conditions.
result Explicit formulae for singularities under different constraints.
The report explores parameter estimation methods in HMRF and related models.
problem Estimating hyper-parameters in HMRF and related models.
method Metropolis-Hastings algorithm, MCMC, pseudo-likelihood approximation, MAP estimation, EM algorithm.
result Effective parameter estimation methods for HMRF and related models.
Pricing Exchange Rate Options and Quanto Caps in the Cross-Currency Random Field LIBOR Market Modelq-fin.PR
Develops a new model for cross-currency derivatives pricing.
problem Pricing cross-currency derivatives in a complex market model.
method Introduces a random field LIBOR market model to handle uncertainty in forward LIBOR rates.
result Derives exact and approximate pricing formulas for various derivatives.
Study on points where random spherical harmonic nodal set meets tangent vector field.
problem Distribution of points on nodal sets of random spherical harmonics.
method Analysis of expected counting function and eigenvalue asymptotics.
result Asymptotic behavior of counting function is independent of the vector field.
Study of cosmic microwave background polarization using spin random fields.
problem Detecting deviations from Gaussianity and anisotropies in cosmic fields.
method Explicit formula for Lipschitz-Killing curvatures of spin spherical random fields.
result Coherent with asymptotic results, providing new metric expressions.
Existence of Strong Randomized Equilibria in Mean-Field Games of Optimal Stopping with Common Noisemath.OC
Existence of strong randomized equilibria in mean-field games with common noise.
problem Existence of strong solutions in mean-field games of optimal stopping.
method Connection with Bank-El Karoui's representation problem and continuity assumptions.
result Existence of strong randomized mean-field equilibrium under certain conditions.
New framework models neural systems with random architecture on manifolds.
problem Complex, uncertain systems with non-Gaussian outputs.
method Latent random field on compact manifold generates neural architecture and weights.
result Synthetic neural systems can produce stochastic outputs for deterministic inputs.
The aim of this short note is to draw attention to a method by which the partition function and marginal probabilities for a certain class of random fields on complete graphs can be computed in polynomial time. This class includes Ising models with homogeneous pairwise potentials but arbitrary (inhomogeneous) unary pot…
New method calculates geodesic distances in Gaussian random field manifolds.
problem Quantifying similarity between random fields in different regimes.
method Numerical method using geodesic distances in Gaussian random field manifolds.
result Estimation of geodesic distances for various initial conditions.
Random Gaussian fields on 4D Riemannian manifolds with conformal invariance.
problem Characterizing and analyzing Gaussian fields on 4D Riemannian manifolds.
method Constructing and analyzing co-biharmonic Gaussian fields with covariance kernels defined by the Paneitz operator.
result Rigorous derivation of quantum Liouville measure for .