The interplay between stochastic processes and optimal control has been extensively explored in the literature. With the recent surge in the use of diffusion models, stochastic processes have increasingly been applied to sample generation. This paper builds on the log transform, known as the Cole-Hopf transform in Brownian motion contexts, and extends it within a more abstract framework that includes a linear operator. Within this framework, we found that the well-known relationship between the Cole-Hopf transform and optimal transport is a particular instance where the linear operator acts as the infinitesimal generator of a stochastic process. We also introduce a novel scenario where the linear operator is the adjoint of the generator, linking to Bayesian inference under specific initial and terminal conditions. Leveraging this theoretical foundation, we develop a new algorithm, named the HJ-sampler, for Bayesian inference for the inverse problem of a stochastic differential equation with given terminal observations. The HJ-sampler involves two stages: (1) solving the viscous Hamilton-Jacobi partial differential equations, and (2) sampling from the associated stochastic optimal control problem. Our proposed algorithm naturally allows for flexibility in selecting the numerical solver for viscous HJ PDEs. We introduce two variants of the solver: the Riccati-HJ-sampler, based on the Riccati method, and the SGM-HJ-sampler, which utilizes diffusion models. We demonstrate the effectiveness and flexibility of the proposed methods by applying them to solve Bayesian inverse problems involving various stochastic processes and prior distributions, including applications that address model misspecifications and quantifying model uncertainty.
Organisms have to keep track of the information in the environment that is relevant for adaptive behaviour. Transmitting information in an economical and efficient way becomes crucial for limited-resourced agents living in high-dimensional environments. The efficient coding hypothesis claims that organisms seek to maximize the information about the sensory input in an efficient manner. Under Bayesian inference, this means that the role of the brain is to efficiently allocate resources in order to make predictions about the hidden states that cause sensory data. However, neither of those frameworks accounts for how that information is exploited downstream, leaving aside the action-oriented role of the perceptual system. Rate-distortion theory, which defines optimal lossy compression under constraints, has gained attention as a formal framework to explore goal-oriented efficient coding. In this work, we explore action-centric representations in the context of rate-distortion theory. We also provide a mathematical definition of abstractions and we argue that, as a summary of the relevant details, they can be used to fix the content of action-centric representations. We model action-centric representations using VAEs and we find that such representations i) are efficient lossy compressions of the data; ii) capture the task-dependent invariances necessary to achieve successful behaviour; and iii) are not in service of reconstructing the data. Thus, we conclude that full reconstruction of the data is rarely needed to achieve optimal behaviour, consistent with a teleological approach to perception.
Characterising the intelligence of biological organisms is challenging. This work considers intelligent algorithms developed evolutionarily within neural systems. Mathematical analyses unveil a natural equivalence between canonical neural networks, variational Bayesian inference under a class of partially observable Markov decision processes, and differentiable Turing machines, by showing that they minimise the shared Helmholtz energy. Consequently, canonical neural networks can biologically plausibly equip Turing machines and conduct variational Bayesian inferences of external Turing machines in the environment. Applying Helmholtz energy minimisation at the species level facilitates deriving active Bayesian model selection inherent in natural selection, resulting in the emergence of adaptive algorithms. In particular, canonical neural networks with two mental actions can separately memorise transition mappings of multiple external Turing machines to form a universal machine. These propositions were corroborated by numerical simulations of algorithm implementation and neural network evolution. These notions offer a universal characterisation of biological intelligence emerging from evolution in terms of Bayesian model selection and belief updating.
We consider the problem of sampling from an unknown distribution for which only a sufficiently large number of training samples are available. In this paper, we build on previous work combining Schr\"odinger bridges and plug & play Langevin samplers. A key bottleneck of these approaches is the exponential dependence of the required training samples on the dimension, $d$, of the ambient state space. We propose a localization strategy which exploits conditional independence of conditional expectation values. Localization thus replaces a single high-dimensional Schr\"odinger bridge problem by $d$ low-dimensional Schr\"odinger bridge problems over the available training samples. In this context, a connection to multi-head self attention transformer architectures is established. As for the original Schr\"odinger bridge sampling approach, the localized sampler is stable and geometric ergodic. The sampler also naturally extends to conditional sampling and to Bayesian inference. We demonstrate the performance of our proposed scheme through experiments on a high-dimensional Gaussian problem, on a temporal stochastic process, and on a stochastic subgrid-scale parametrization conditional sampling problem. We also extend the idea of localization to plug & play Langevin samplers using kernel-based denoising in combination with Tweedie's formula.
Variational inference (VI) is a computationally efficient and scalable methodology for approximate Bayesian inference. It strikes a balance between accuracy of uncertainty quantification and practical tractability. It excels at generative modelling and inversion tasks due to its built-in Bayesian regularisation and flexibility, essential qualities for physics related problems. For such problems, the underlying physical model determines the dependence between variables of interest, which in turn will require a tailored derivation for the central VI learning objective. Furthermore, in many physical inference applications this structure has rich meaning and is essential for accurately capturing the dynamics of interest. In this paper, we provide an accessible and thorough technical introduction to VI for forward and inverse problems, guiding the reader through standard derivations of the VI framework and how it can best be realized through deep learning. We then review and unify recent literature exemplifying the flexibility allowed by VI. This paper is designed for a general scientific audience looking to solve physics-based problems with an emphasis on uncertainty quantification
Evaluating performance across optimization algorithms on many problems presents a complex challenge due to the diversity of numerical scales involved. Traditional data processing methods, such as hypothesis testing and Bayesian inference, often employ ranking-based methods to normalize performance values across these varying scales. However, a significant issue emerges with this ranking-based approach: the introduction of new algorithms can potentially disrupt the original rankings. This paper extensively explores the problem, making a compelling case to underscore the issue and conducting a thorough analysis of its root causes. These efforts pave the way for a comprehensive examination of potential solutions. Building on this research, this paper introduces a new mathematical model called "absolute ranking" and a sampling-based computational method. These contributions come with practical implementation recommendations, aimed at providing a more robust framework for addressing the challenge of numerical scale variation in the assessment of performance across multiple algorithms and problems.
Bayesian inference often faces a trade-off between computational speed and sampling accuracy. We propose an adaptive workflow that integrates rapid amortized inference with gold-standard MCMC techniques to achieve both speed and accuracy when performing inference on many observed datasets. Our approach uses principled diagnostics to guide the choice of inference method for each dataset, moving along the Pareto front from fast amortized sampling to slower but guaranteed-accurate MCMC when necessary. By reusing computations across steps, our workflow creates synergies between amortized and MCMC-based inference. We demonstrate the effectiveness of this integrated approach on a generalized extreme value task with 1000 observed data sets, showing 90x time efficiency gains while maintaining high posterior quality.
Inference and inverse problems are closely related concepts, both fundamentally involving the deduction of unknown causes or parameters from observed data. Bayesian inference, a powerful class of methods, is often employed to solve a variety of problems, including those related to causal inference. Variational inference, a subset of Bayesian inference, is primarily used to efficiently approximate complex posterior distributions. Variational Autoencoders (VAEs), which combine variational inference with deep learning, have become widely applied across various domains. This study explores the potential of VAEs for solving inverse problems, such as Independent Component Analysis (ICA), without relying on an explicit inverse mapping process. Unlike other VAE-based ICA methods, this approach discards the encoder in the VAE architecture, directly setting the latent variables as trainable parameters. In other words, the latent variables are no longer outputs of the encoder but are instead optimized directly through the objective function to converge to appropriate values. We find that, with a suitable prior setup, the latent variables, represented by trainable parameters, can exhibit mutually independent properties as the parameters converge, all without the need for an encoding process. This approach, referred to as the Half-VAE, bypasses the inverse mapping process by eliminating the encoder. This study demonstrates the feasibility of using the Half-VAE to solve ICA without the need for an explicit inverse mapping process.
Bayesian observer and actor models have provided normative explanations for many behavioral phenomena in perception, sensorimotor control, and other areas of cognitive science and neuroscience. They attribute behavioral variability and biases to interpretable entities such as perceptual and motor uncertainty, prior beliefs, and behavioral costs. However, when extending these models to more naturalistic tasks with continuous actions, solving the Bayesian decision-making problem is often analytically intractable. Inverse decision-making, i.e. performing inference over the parameters of such models given behavioral data, is computationally even more difficult. Therefore, researchers typically constrain their models to easily tractable components, such as Gaussian distributions or quadratic cost functions, or resort to numerical approximations. To overcome these limitations, we amortize the Bayesian actor using a neural network trained on a wide range of parameter settings in an unsupervised fashion. Using the pre-trained neural network enables performing efficient gradient-based Bayesian inference of the Bayesian actor model's parameters. We show on synthetic data that the inferred posterior distributions are in close alignment with those obtained using analytical solutions where they exist. Where no analytical solution is available, we recover posterior distributions close to the ground truth. We then show how our method allows for principled model comparison and how it can be used to disentangle factors that may lead to unidentifiabilities between priors and costs. Finally, we apply our method to empirical data from three sensorimotor tasks and compare model fits with different cost functions to show that it can explain individuals' behavioral patterns.
Decision making under uncertainty is challenging since the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs about the model's parameters. However, minimising the expected risk under these posterior beliefs can lead to sub-optimal decisions due to model uncertainty or limited, noisy observations. To address this, we introduce Distributionally Robust Optimisation with Bayesian Ambiguity Sets (DRO-BAS) which hedges against uncertainty in the model by optimising the worst-case risk over a posterior-informed ambiguity set. We show that our method admits a closed-form dual representation for many exponential family members and showcase its improved out-of-sample robustness against existing Bayesian DRO methodology in the Newsvendor problem.
We introduce $\textit{Stein transport}$, a novel methodology for Bayesian inference designed to efficiently push an ensemble of particles along a predefined curve of tempered probability distributions. The driving vector field is chosen from a reproducing kernel Hilbert space and can be derived either through a suitable kernel ridge regression formulation or as an infinitesimal optimal transport map in the Stein geometry. The update equations of Stein transport resemble those of Stein variational gradient descent (SVGD), but introduce a time-varying score function as well as specific weights attached to the particles. While SVGD relies on convergence in the long-time limit, Stein transport reaches its posterior approximation at finite time $t=1$. Studying the mean-field limit, we discuss the errors incurred by regularisation and finite-particle effects, and we connect Stein transport to birth-death dynamics and Fisher-Rao gradient flows. In a series of experiments, we show that in comparison to SVGD, Stein transport not only often reaches more accurate posterior approximations with a significantly reduced computational budget, but that it also effectively mitigates the variance collapse phenomenon commonly observed in SVGD.
We propose a unified framework for robustly and adaptively stabilizing large-scale networked uncertain Markovian jump linear systems (MJLS) under external disturbances and mode switches that can change the network's topology. Adaptation is achieved by using minimal information on the disturbance to identify modes that are consistent with observable data. Robust control is achieved by extending the system level synthesis (SLS) approach, which allows us to pose the problem of simultaneously stabilizing multiple plants as a two-step convex optimization procedure. Our control pipeline computes a likelihood distribution of the system's current mode, uses them as probabilistic weights during simultaneous stabilization, then updates the likelihood via Bayesian inference. Because of this "softer" probabilistic approach to robust stabilization, our control pipeline does not suffer from abrupt destabilization issues due to changes in the system's true mode, which were observed in a previous method. Separability of SLS also lets us compute localized robust controllers for each subsystem, allowing for network scalability; we use several information consensus methods so that mode estimation can also be done locally. We apply our algorithms to disturbance-rejection on two sample dynamic power grid networks, a small-scale system with 7 nodes and a large-scale grid of 25 nodes.
Bayesian learning provides a unified skeleton to solve the electrophysiological source imaging task. From this perspective, existing source imaging algorithms utilize the Gaussian assumption for the observation noise to build the likelihood function for Bayesian inference. However, the electromagnetic measurements of brain activity are usually affected by miscellaneous artifacts, leading to a potentially non-Gaussian distribution for the observation noise. Hence the conventional Gaussian likelihood model is a suboptimal choice for the real-world source imaging task. In this study, we aim to solve this problem by proposing a new likelihood model which is robust with respect to non-Gaussian noises. Motivated by the robust maximum correntropy criterion, we propose a new improper distribution model concerning the noise assumption. This new noise distribution is leveraged to structure a robust likelihood function and integrated with hierarchical prior distributions to estimate source activities by variational inference. In particular, the score matching is adopted to determine the hyperparameters for the improper likelihood model. A comprehensive performance evaluation is performed to compare the proposed noise assumption to the conventional Gaussian model. Simulation results show that, the proposed method can realize more precise source reconstruction by designing known ground-truth. The real-world dataset also demonstrates the superiority of our new method with the visual perception task. This study provides a new backbone for Bayesian source imaging, which would facilitate its application using real-world noisy brain signal.
A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently capturing long memory in realized measures, by integrating a Recurrent Neural Network (RNN) to handle non-linear dynamics. Loss-based generalized Bayesian inference with Sequential Monte Carlo is employed for model estimation and sequential prediction in RNN HAR. The empirical analysis is conducted using daily closing prices and realized measures from 2000 to 2022 across 31 market indices. The proposed models one step ahead VaR forecasting performance is compared against a basic HAR model and its extensions. The results demonstrate that the proposed RNN-HAR model consistently outperforms all other models considered in the study.
Real-time dynamic path planning in complex traffic environments presents challenges, such as varying traffic volumes and signal wait times. Traditional static routing algorithms like Dijkstra and A* compute shortest paths but often fail under dynamic conditions. Recent Reinforcement Learning (RL) approaches offer improvements but tend to focus on local optima, risking dead-ends or boundary issues. This paper proposes a novel approach based on causal inference for real-time dynamic path planning, balancing global and local optimality. We first use the static Dijkstra algorithm to compute a globally optimal baseline path. A distributed control strategy then guides vehicles along this path. At intersections, DynamicRouteGPT performs real-time decision-making for local path selection, considering real-time traffic, driving preferences, and unexpected events. DynamicRouteGPT integrates Markov chains, Bayesian inference, and large-scale pretrained language models like Llama3 8B to provide an efficient path planning solution. It dynamically adjusts to traffic scenarios and driver preferences and requires no pre-training, offering broad applicability across road networks. A key innovation is the construction of causal graphs for counterfactual reasoning, optimizing path decisions. Experimental results show that our method achieves state-of-the-art performance in real-time dynamic path planning for multiple vehicles while providing explainable path selections, offering a novel and efficient solution for complex traffic environments.
Computational imaging is crucial in many disciplines from autonomous driving to life sciences. However, traditional model-driven and iterative methods consume large computational power and lack scalability for imaging. Deep learning (DL) is effective in processing local-to-local patterns, but it struggles with handling universal global-to-local (nonlocal) patterns under current frameworks. To bridge this gap, we propose a novel DL framework that employs a progressive denoising strategy, named the deterministic diffusion model (DDM), to facilitate general computational imaging at a low cost. We experimentally demonstrate the efficient and faithful image reconstruction capabilities of DDM from nonlocal patterns, such as speckles from multimode fiber and intensity patterns of second harmonic generation, surpassing the capability of previous state-of-the-art DL algorithms. By embedding Bayesian inference into DDM, we establish a theoretical framework and provide experimental proof of its uncertainty quantification. This advancement ensures the predictive reliability of DDM, avoiding misjudgment in high-stakes scenarios. This versatile and integrable DDM framework can readily extend and improve the efficacy of existing DL-based imaging applications.
Multilevel models (MLMs) are a central building block of the Bayesian workflow. They enable joint, interpretable modeling of data across hierarchical levels and provide a fully probabilistic quantification of uncertainty. Despite their well-recognized advantages, MLMs pose significant computational challenges, often rendering their estimation and evaluation intractable within reasonable time constraints. Recent advances in simulation-based inference offer promising solutions for addressing complex probabilistic models using deep generative networks. However, the utility and reliability of deep learning methods for estimating Bayesian MLMs remains largely unexplored, especially when compared with gold-standard samplers. To this end, we explore a family of neural network architectures that leverage the probabilistic factorization of multilevel models to facilitate efficient neural network training and subsequent near-instant posterior inference on unseen datasets. We test our method on several real-world case studies and provide comprehensive comparisons to Stan's gold standard sampler, where possible. Finally, we provide an open-source implementation of our methods to stimulate further research in the nascent field of amortized Bayesian inference.
Accurate channel estimation in orthogonal time frequency space (OTFS) systems with massive multiple-input multiple-output (MIMO) configurations is challenging due to high-dimensional sparse representation (SR). Existing methods often face performance degradation and/or high computational complexity. To address these issues and exploit intricate channel sparsity structure, this letter first leverages a novel hybrid burst-sparsity prior to capture the burst/common sparse structure in the angle/delay domain, and then utilizes an independent variational Bayesian inference (VBI) factorization technique to efficiently solve the high-dimensional SR problem. Additionally, an angle/Doppler refinement approach is incorporated into the proposed method to automatically mitigate off-grid mismatches.
Retrieval Augmented Generation or RAG is the most popular pattern for modern Large Language Model or LLM applications. RAG involves taking a user query and finding relevant paragraphs of context in a large corpus typically captured in a vector database. Once the first level of search happens over a vector database, the top n chunks of relevant text are included directly in the context and sent as prompt to the LLM. Problem with this approach is that quality of text chunks depends on effectiveness of search. There is no strong post processing after search to determine if the chunk does hold enough information to include in prompt. Also many times there may be chunks that have conflicting information on the same subject and the model has no prior experience which chunk to prioritize to make a decision. Often times, this leads to the model providing a statement that there are conflicting statements, and it cannot produce an answer. In this research we propose a Bayesian approach to verify the quality of text chunks from the search results. Bayes theorem tries to relate conditional probabilities of the hypothesis with evidence and prior probabilities. We propose that, finding likelihood of text chunks to give a quality answer and using prior probability of quality of text chunks can help us improve overall quality of the responses from RAG systems. We can use the LLM itself to get a likelihood of relevance of a context paragraph. For prior probability of the text chunk, we use the page number in the documents parsed. Assumption is that that paragraphs in earlier pages have a better probability of being findings and more relevant to generalizing an answer.
Bayesian Physics Informed Neural Networks (BPINN) have attracted considerable attention for inferring the system states and physical parameters of differential equations according to noisy observations. However, in practice, Hamiltonian Monte Carlo (HMC) used to estimate the internal parameters of the solver for BPINN often encounters these troubles including poor performance and awful convergence for a given step size used to adjust the momentum of those parameters. To address the convergence of HMC for the BPINN method and extend its application scope to multi-scale partial differential equations (PDE), we develop a robust multi-scale BPINN (dubbed MBPINN) method by integrating multi-scale deep neural networks (MscaleDNN) and the BPINN framework. In this newly proposed MBPINN method, we reframe HMC with Stochastic Gradient Descent (SGD) to ensure the most ``likely'' estimation is always provided, and we configure its solver as a Fourier feature mapping-induced MscaleDNN. This novel method offers several key advantages: (1) it is more robust than HMC, (2) it incurs less computational cost than HMC, and (3) it is more flexible for complex problems. We demonstrate the applicability and performance of the proposed method through some general Poisson and multi-scale elliptic problems in one and two-dimensional Euclidean spaces. Our findings indicate that the proposed method can avoid HMC failures and provide valid results. Additionally, our method is capable of handling complex elliptic PDE and producing comparable results for general elliptic PDE under the case of lower signal-to-noise rate. These findings suggest that our proposed approach has great potential for physics-informed machine learning for parameter estimation and solution recovery in the case of ill-posed problems.