Proposes a probabilistic optimization method for large-scale problems.
problem Large-scale regularized optimization problems.
method Develops a probabilistic interpretation of the incremental proximal gradient algorithm and uses Bayesian filtering.
result Makes it possible to solve large-scale problems using well-known Bayesian filters.
Probabilistic proof of smooth boundaries in optimal stopping problems.
problem Continuous differentiability of time-dependent optimal boundaries in optimal stopping problems.
method Local probabilistic arguments for a wider range of conditions.
result First probabilistic proof of continuous differentiability under general conditions.
Introduces statistical optimal transport for probabilistic lectures.
problem No specific problem stated; focuses on introduction.
method Lecture-based introduction to statistical optimal transport.
result Provides an introduction to statistical optimal transport.
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evolutionary optimization environment are ideally suited for an integration of various types of probabilistic constraints. W…
Synthesizes static analysis for probabilistic programs.
problem Optimize learning process, verify models, improve programming interface.
method Organize and analyze static analysis techniques for probabilistic programming.
result Future directions for improvement in statistical machine learning.
Proposes VSGD optimizer combining probabilistic and gradient-based methods.
problem Uncertainty modeling in deep neural networks.
method Combines probabilistic and gradient-based approaches using SVI.
result VSGD outperforms Adam and SGD on image classification tasks.
Dynamic probabilistic forecasts guide optimal decisions in uncertain processes.
problem Optimal decision making in processes influenced by uncertain random factors.
method Stochastic models for probabilistic forecast evolution, calibrated from ensemble forecasts.
result Optimal decision strategies determined using dynamic probabilistic forecasts.
We present the first general purpose framework for marginal maximum a posteriori estimation of probabilistic program variables. By using a series of code transformations, the evidence of any probabilistic program, and therefore of any graphical model, can be optimized with respect to an arbitrary subset of its sampled …
ProBO optimizes complex systems with flexible probabilistic models.
problem Optimizing expensive functions with minimal queries.
method Uses any probabilistic programming language to define models and optimize them.
result Demonstrates efficient optimization of complex models in BO.
Unified approach for sequence design combining likelihood-free inference and black-box optimization.
problem Designing biological sequences efficiently and accurately.
method Unified probabilistic framework integrating likelihood-free inference and black-box optimization.
result Previous optimization methods can be adapted and new algorithms proposed within this framework.
We present a new algorithm for approximate inference in probabilistic programs, based on a stochastic gradient for variational programs. This method is efficient without restrictions on the probabilistic program; it is particularly practical for distributions which are not analytically tractable, including highly struc…
Unified approach to non-standard classification tasks.
problem Non-standard classification tasks like semi-supervised, positive-unlabelled, multi-positive-unlabelled and noisy-label learning.
method Probabilistic, unified approach training a classifier to predict label-distributions, then inferring class-distributions.
result Unified model for various non-standard classification tasks.
Bayesian optimization tackles expensive discrete and mixed parameter spaces.
problem Optimizing expensive functions with discrete and mixed parameters.
method Probabilistic reparameterization to maximize expectation of AF over continuous parameters.
result Our approach provably converges to a maximizer of the AF and enjoys the same regret bounds as standard BO.
We consider an original problem that arises from the issue of security analysis of a power system and that we name optimal discovery with probabilistic expert advice. We address it with an algorithm based on the optimistic paradigm and on the Good-Turing missing mass estimator. We prove two different regret bounds on t…
Probabilistic models predict neural network performance across varying hyperparameters.
problem Predicting neural network performance with different hyperparameters.
method Probabilistic models based on random forests and Bayesian recurrent neural networks.
result Models outperform state-of-the-art hyperparameter optimization methods.
A deep learning method speeds up probabilistic optimal power flow calculations.
problem Efficiently solving large-scale nonlinear and nonconvex optimization problems in power systems.
method Developed a SDAE-based OPF using stacked denoising auto encoders to extract system correlations and calculate OPF solutions.
result The trained SDAE network can quickly compute OPF solutions for random system states without optimization.
Forward inference techniques such as sequential Monte Carlo and particle Markov chain Monte Carlo for probabilistic programming can be implemented in any programming language by creative use of standardized operating system functionality including processes, forking, mutexes, and shared memory. Exploiting this we have …
Autoencoders improve communication system performance by optimizing constellation geometry and probability.
problem Optimizing constellation geometry and probability for better communication system performance.
method Leveraging autoencoders to learn capacity-achieving symbol distributions and constellations.
result Learned constellations achieve information rates very close to capacity on AWGN channels and outperform existing methods on fading channels.
In deterministic optimization, line searches are a standard tool ensuring stability and efficiency. Where only stochastic gradients are available, no direct equivalent has so far been formulated, because uncertain gradients do not allow for a strict sequence of decisions collapsing the search space. We construct a prob…
In deterministic optimization, line searches are a standard tool ensuring stability and efficiency. Where only stochastic gradients are available, no direct equivalent has so far been formulated, because uncertain gradients do not allow for a strict sequence of decisions collapsing the search space. We construct a prob…
Transforms input design for probabilistic models into optimal control of a Hamiltonian system.
problem Designing inputs for probabilistic models with intractable posterior distributions.
method Representing posterior as Hamiltonian system trajectories, solving optimal control problem.
result Parameter posterior concentrates around true parameter values.
Develops a new approach to optimal control of stochastic systems.
problem Optimal control of stochastic nonlinear dynamical systems is challenging.
method Formulates optimal control as input estimation, using probabilistic inference and Expectation Maximization.
result Extracts time-varying linear Gaussian feedback controllers from the joint state-action distribution.
Optimal interbank lending scheme with probabilistic bank failure constraints.
problem Optimizing interbank lending in a network of interconnected banks with probabilistic constraints on failure.
method Derive a closed-form solution for an optimal control problem, compute systemic relevance parameters.
result General solution for interbank lending with probabilistic constraints for all banks.
Study probabilistic safety of BNNs under adversarial attacks.
problem Evaluate vulnerability of BNNs to adversarial attacks.
method Relaxation techniques from non-convex optimization to compute probabilistic safety bounds.
result Certify probabilistic safety of BNNs with millions of parameters.
Adaptive volatility method improves probabilistic financial forecasting.
problem Probabilistic forecasting in financial markets.
method Adapts classical time-varying volatility models with online stochastic optimization.
result Ranked 5th in M6 financial forecasting competition.
Solves optimal control with state constraints using probabilistic methods.
problem Optimal control of diffusion processes within state constraints.
method Probabilistic representation and optimal control under mild conditions.
result Explicit formulae for optimally controlled dynamics in examples.
New method SP-PPCA reduces outlier impact in PCA.
problem Outliers make standard PCA and PPCA less robust.
method Integrates self-paced learning into PPCA, using iterative optimization.
result SP-PPCA effectively reduces or eliminates outlier impact.
New scheme optimizes BMI through probabilistic and geometric shaping.
problem Optimizing bit-wise mutual information (BMI) for coded modulation.
method Joint optimization of BMI through probabilistic and geometric shaping.
result Joint optimization enables a continuum of constellation geometries and probability distributions.
Simple probabilistic solution for optimal liquidation with linear price impact.
problem Maximizing expected terminal wealth in a setup with quadratic transaction costs.
method Provided a simple probabilistic solution to the problem.
result Simple and probabilistic form of the solution not previously published.
A new probabilistic framework for optimal transport using collective graphical models.
problem Measuring similarity between probability distributions and histograms.
method Probabilistic Optimal Transport based on Collective Graphical Models.
result OT with entropic regularization is equivalent to maximizing a posterior probability of a CGM.
DALTON improves ODE parameter estimation by learning from noisy data.
problem High sensitivity to parameters in ODEs produces unreliable parameter estimates.
method Data-adaptive probabilistic likelihood approximation for ODEs.
result DALTON produces more accurate parameter estimates than existing methods.
New theorem connects probabilistic permanental point processes to Monge-Ampère equation.
problem Probabilistic interpretation of Monge-Ampère equation boundary value problem.
method Large deviation principles and optimal transport theory.
result Explicit rate function for permanental point processes large deviation.
Paper optimizes material microstructures with limited data using probabilistic methods.
problem Optimizing material properties with uncertain process-structure-property links.
method Flexible probabilistic formulation, data-driven surrogate, active learning.
result Significant improvement in accuracy with small training data.
Solves probabilistic Lambert problem connecting astrodynamics with optimal mass transport.
problem Determining spacecraft velocity for given positions with probabilistic constraints.
method Generalized optimal mass transport (OMT) and Schrödinger bridge (SBP) connections.
result Existence and uniqueness of solution for probabilistic Lambert problem.
New method for efficient probabilistic inference using masked language modeling.
problem Efficient posterior inference in probabilistic programs with many hyper-parameters.
method Formulate inference as masked language modeling, train a neural network to unmask random values.
result Foundation posterior for zero-shot inference and fine-tuning across a range of programs.
In this work, we explore how probabilistic programs can be used to represent policies in sequential decision problems. In this formulation, a probabilistic program is a black-box stochastic simulator for both the problem domain and the agent. We relate classic policy gradient techniques to recently introduced black-box…
SOBER framework optimizes Bayesian optimization tasks efficiently.
problem Challenges in parallel Bayesian optimization.
method Probabilistic Lifting with Kernel Quadrature.
result Versatile and flexible batch Bayesian optimization.
Paper optimizes demand aggregation for low-level electricity markets.
problem Accurate short-term load forecasting at low aggregation levels for market participants.
method Probabilistic portfolio optimization of residential households' demand using ARMA-GARCH models or KDE forecasts.
result Seasonal Residual approach outperforms others in accuracy and efficiency.
This manuscript proposes a probabilistic framework for algorithms that iteratively solve unconstrained linear problems Bx=b with positive definite B for x. The goal is to replace the point estimates returned by existing methods with a Gaussian posterior belief over the elements of the inverse of B, which can …
Study optimal stopping times for multi-dimensional processes with non-exponential discounting.
problem Optimal stopping in multi-dimensional processes with non-exponential discounting.
method Probabilistic potential theory to establish existence of optimal equilibria.
result Existence of optimal equilibria for multi-dimensional stopping problems.
In a recent paper, the authors proposed a general methodology for probabilistic learning on manifolds. The method was used to generate numerical samples that are statistically consistent with an existing dataset construed as a realization from a non-Gaussian random vector. The manifold structure is learned using diffus…
Contemporary global optimization algorithms are based on local measures of utility, rather than a probability measure over location and value of the optimum. They thus attempt to collect low function values, not to learn about the optimum. The reason for the absence of probabilistic global optimizers is that the corres…
Paper develops a dual formulation for PCA in Hilbert spaces.
problem Characterizing probabilistic PCA in Hilbert spaces.
method Dual formulation for probabilistic PCA in Hilbert spaces.
result Generative framework for kernel methods developed.
This work proposes an unsupervised neural network framework for solving combinatorial optimization problems on graphs.
problem Challenges in neural networks solving combinatorial optimization problems without labeled instances.
method Inspired by Erdos' probabilistic method, a neural network parametrizes a probability distribution over sets, optimizing it to find low-cost integral solutions.
result The method provides valid solutions to the maximum clique problem and local graph clustering, achieving competitive results.
Algorithm improves convergence in stochastic optimization problems.
problem Efficiently constructing pre-conditioners for noisy stochastic optimization.
method Iterative probabilistic inference algorithm using a Gaussian noise model.
result Empirically demonstrates improved convergence in stochastic optimization problems.
SkewPNN uses probabilistic neural networks with skew-normal kernels to improve classification of imbalanced data.
problem Imbalanced data distribution leading to biased predictions for minority classes.
method Probabilistic neural networks with skew-normal kernel function and Bat optimization algorithm for hyperparameter tuning.
result SkewPNN and BA-SkewPNN outperform other methods in both balanced and imbalanced datasets.
A new method uses Gaussian Processes to solve power flow problems with uncertain renewable and load inputs.
problem Solving power flow problems with uncertain renewable and load inputs.
method Non-parametric Bayesian inference-based uncertainty propagation using Gaussian Processes.
result The method provides reasonably accurate solutions with fewer samples and time compared to Monte-Carlo simulations.
This paper optimizes kernel and acquisition functions for high-dimensional Bayesian Optimization.
problem Bayesian Optimization struggles with high-dimensional problems due to computational inefficiency.
method The paper leverages the additionality of the objective function to map kernel and acquisition functions in lower-dimensional subspaces, improving efficiency.
result Efficient optimization of acquisition function in high-dimensional problems.