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.
MFVI can overestimate predictive variance compared to the exact posterior
The posterior variance of Gaussian processes is a valuable measure of the learning error which is exploited in various applications such as safe reinforcement learning and control design. However, suitable analysis of the posterior variance which captures its behavior for finite and infinite number of training data is …
We quantify predictive uncertainty using the posterior predictive variance.
Sparse matrices simplify computation of GP variances and likelihoods.
This paper addresses error bounds and posterior variance for Gaussian process regression.
The paper analyzes sparse high-dimensional linear regression with random design and unknown error variance, providing adaptiveness and concentration rates.
Improved GP bandit algorithms for noiseless, varying noise, and RKHS norms.
Efficiently designs experiments without integrating posterior distributions.
We propose a simple and general variant of the standard reparameterized gradient estimator for the variational evidence lower bound. Specifically, we remove a part of the total derivative with respect to the variational parameters that corresponds to the score function. Removing this term produces an unbiased gradient …
New method reduces variance in Bayesian inverse problems.
Variational methods that rely on a recognition network to approximate the posterior of directed graphical models offer better inference and learning than previous methods. Recent advances that exploit the capacity and flexibility in this approach have expanded what kinds of models can be trained. However, as a proposal…
We investigate a local reparameterizaton technique for greatly reducing the variance of stochastic gradients for variational Bayesian inference (SGVB) of a posterior over model parameters, while retaining parallelizability. This local reparameterization translates uncertainty about global parameters into local noise th…
New method for Bayesian inference on large datasets.
New method for Bayesian neural networks with unbounded weights.
Unified framework combines views and optimization for better portfolio management.
It is well known that Markov chain Monte Carlo (MCMC) methods scale poorly with dataset size. A popular class of methods for solving this issue is stochastic gradient MCMC. These methods use a noisy estimate of the gradient of the log posterior, which reduces the per iteration computational cost of the algorithm. Despi…
Bayesian imputation optimizes bias-variance trade-off in time-series data.
One way to avoid overfitting in machine learning is to use model parameters distributed according to a Bayesian posterior given the data, rather than the maximum likelihood estimator. Stochastic gradient Langevin dynamics (SGLD) is one algorithm to approximate such Bayesian posteriors for large models and datasets. SGL…
A new method improves SNPE for intractable likelihood models.
Meta-learning variance reduced via Laplace approximation for regression tasks.
Improved HGF networks avoid negative precision errors in volatility updates.
Proposes a new method to estimate Bayesian neural network depth.
Variational Bayes (VB) is a recent approximate method for Bayesian inference. It has the merit of being a fast and scalable alternative to Markov Chain Monte Carlo (MCMC) but its approximation error is often unknown. In this paper, we derive the approximation error of VB in terms of mean, mode, variance, predictive den…
Proposes HDBEN for heteroscedastic regression with improved sparsity and variance modeling.
Boundary effects inflate variance in Gaussian processes, leading to acquisition bias.
Paper proposes nested MLMC for SNPE with intractable likelihoods.
Variational inference (VI) is widely used as an efficient alternative to Markov chain Monte Carlo. It posits a family of approximating distributions and finds the closest member to the exact posterior . Closeness is usually measured via a divergence from to . While successful, this approach al…
Differential privacy of Gaussian process posterior sampling
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A Lévy process with infinite jump activity and microstructure noise is considered one of the simplest, yet accurate enough, models for financial data at high-frequency. Utilizing this model, we prop…
We prove that the evidence lower bound (ELBO) employed by variational auto-encoders (VAEs) admits non-trivial solutions having constant posterior variances under certain mild conditions, removing the need to learn variances in the encoder. The proof follows from an unexpected journey through an array of topics: the clo…
New method quantifies uncertainty in reinforcement learning models.
The paper proves how Transformers learn from context and generalize well.
We propose a Bayesian expectation-maximization (EM) algorithm for reconstructing Markov-tree sparse signals via belief propagation. The measurements follow an underdetermined linear model where the regression-coefficient vector is the sum of an unknown approximately sparse signal and a zero-mean white Gaussian noise wi…
The trade-off between the cost of acquiring and processing data, and uncertainty due to a lack of data is fundamental in machine learning. A basic instance of this trade-off is the problem of deciding when to make noisy and costly observations of a discrete-time Gaussian random walk, so as to minimise the posterior var…
A method predicts posterior PCs for faster uncertainty quantification in imaging.
Learning latent variable models with stochastic variational inference is challenging when the approximate posterior is far from the true posterior, due to high variance in the gradient estimates. We propose a novel rejection sampling step that discards samples from the variational posterior which are assigned low likel…
Variational dropout (VD) is a generalization of Gaussian dropout, which aims at inferring the posterior of network weights based on a log-uniform prior on them to learn these weights as well as dropout rate simultaneously. The log-uniform prior not only interprets the regularization capacity of Gaussian dropout in netw…
Posterior regularization enhances Bayesian hierarchical mixture clustering by improving node separation.
Gaussian processes (GPs) offer a flexible class of priors for nonparametric Bayesian regression, but popular GP posterior inference methods are typically prohibitively slow or lack desirable finite-data guarantees on quality. We develop an approach to scalable approximate GP regression with finite-data guarantees on th…
Monte Carlo sampling for Bayesian posterior inference is a common approach used in machine learning. The Markov Chain Monte Carlo procedures that are used are often discrete-time analogues of associated stochastic differential equations (SDEs). These SDEs are guaranteed to leave invariant the required posterior distrib…
Variational Bayesian neural networks combine the flexibility of deep learning with Bayesian uncertainty estimation. However, inference procedures for flexible variational posteriors are computationally expensive. A recently proposed method, noisy natural gradient, is a surprisingly simple method to fit expressive poste…
A simple method treats heteroscedastic variance variatively, improving model calibration and sample quality.
Existing methods for structure discovery in time series data construct interpretable, compositional kernels for Gaussian process regression models. While the learned Gaussian process model provides posterior mean and variance estimates, typically the structure is learned via a greedy optimization procedure. This restri…
Black box variational inference (BBVI) with reparameterization gradients triggered the exploration of divergence measures other than the Kullback-Leibler (KL) divergence, such as alpha divergences. In this paper, we view BBVI with generalized divergences as a form of estimating the marginal likelihood via biased import…
BYOV combines SSL and Bayesian methods for uncertainty estimation.
We present a novel approach for fully non-stationary Gaussian process regression (GPR), where all three key parameters -- noise variance, signal variance and lengthscale -- can be simultaneously input-dependent. We develop gradient-based inference methods to learn the unknown function and the non-stationary model param…
Bayesian framework improves variance component estimation in MET data.
Bayesian model infers factor dimensionality and sparse loading matrix adaptively.