Future wireless networks are envisioned to provide ubiquitous sensing services, which also gives rise to a substantial demand for high-dimensional non-convex parameter estimation, i.e., the associated likelihood function is non-convex and contains numerous local optima. Variational Bayesian inference (VBI) provides a powerful tool for modeling complex estimation problems and reasoning with prior information, but poses a long-standing challenge on computing intractable posteriori distributions. Most existing variational methods generally rely on assumptions about specific distribution families to derive closed-form solutions, and are difficult to apply in high-dimensional, non-convex scenarios. Given these challenges, firstly, we propose a parallel stochastic particle variational Bayesian inference (PSPVBI) algorithm. Thanks to innovations such as particle approximation, additional updates of particle positions, and parallel stochastic successive convex approximation (PSSCA), PSPVBI can flexibly drive particles to fit the posteriori distribution with acceptable complexity, yielding high-precision estimates of the target parameters. Furthermore, additional speedup can be obtained by deep-unfolding (DU) the PSPVBI algorithm. Specifically, superior hyperparameters are learned to dramatically reduce the number of algorithmic iterations. In this PSPVBI-induced Deep-Unfolding Networks, some techniques related to gradient computation, data sub-sampling, differentiable sampling, and generalization ability are also employed to facilitate the practical deployment. Finally, we apply the LPSPVBI to solve several important parameter estimation problems in wireless sensing scenarios. Simulations indicate that the LPSPVBI algorithm outperforms existing solutions.
This paper empirically assesses predictions of Goodwin's model of cyclical growth regarding demand and distributive regimes when integrating the real and financial sectors. In addition, it evaluates how financial and employment shocks affect the labor market and monetary policy variables over six different U.S. business-cycle peaks. It identifies a parsimonious Time-Varying Vector Autoregressive model with Stochastic Volatility (TVP-VAR-SV) with the labor share of income, the employment rate, residential investment, and the interest rate spread as endogenous variables. Using Bayesian inference methods, key results suggest (i) a combination of profit-led demand and profit-squeeze distribution; (ii) weakening of these regimes during the Great Moderation; and (iii) significant connections between the standard Goodwinian variables and residential investment as well as term spreads. Findings presented here broadly conform to the transition to increasingly deregulated financial and labor markets initiated in the 1980s.
Set-based learning is an essential component of modern deep learning and network science. Graph Neural Networks (GNNs) and their edge-free counterparts Deepsets have proven remarkably useful on ragged and topologically challenging datasets. The key to learning informative embeddings for set members is a specified aggregation function, usually a sum, max, or mean. We propose Fishnets, an aggregation strategy for learning information-optimal embeddings for sets of data for both Bayesian inference and graph aggregation. We demonstrate that i) Fishnets neural summaries can be scaled optimally to an arbitrary number of data objects, ii) Fishnets aggregations are robust to changes in data distribution, unlike standard deepsets, iii) Fishnets saturate Bayesian information content and extend to regimes where MCMC techniques fail and iv) Fishnets can be used as a drop-in aggregation scheme within GNNs. We show that by adopting a Fishnets aggregation scheme for message passing, GNNs can achieve state-of-the-art performance versus architecture size on ogbn-protein data over existing benchmarks with a fraction of learnable parameters and faster training time.
We propose a method to improve the efficiency and accuracy of amortized Bayesian inference by leveraging universal symmetries in the joint probabilistic model of parameters and data. In a nutshell, we invert Bayes' theorem and estimate the marginal likelihood based on approximate representations of the joint model. Upon perfect approximation, the marginal likelihood is constant across all parameter values by definition. However, errors in approximate inference lead to undesirable variance in the marginal likelihood estimates across different parameter values. We penalize violations of this symmetry with a \textit{self-consistency loss} which significantly improves the quality of approximate inference in low data regimes and can be used to augment the training of popular neural density estimators. We apply our method to a number of synthetic problems and realistic scientific models, discovering notable advantages in the context of both neural posterior and likelihood approximation.
Autoregressive large language models (LLMs) compress knowledge from their training data through next-token conditional distributions. This limits tractable querying of this knowledge to start-to-end autoregressive sampling. However, many tasks of interest -- including sequence continuation, infilling, and other forms of constrained generation -- involve sampling from intractable posterior distributions. We address this limitation by using amortized Bayesian inference to sample from these intractable posteriors. Such amortization is algorithmically achieved by fine-tuning LLMs via diversity-seeking reinforcement learning algorithms: generative flow networks (GFlowNets). We empirically demonstrate that this distribution-matching paradigm of LLM fine-tuning can serve as an effective alternative to maximum-likelihood training and reward-maximizing policy optimization. As an important application, we interpret chain-of-thought reasoning as a latent variable modeling problem and demonstrate that our approach enables data-efficient adaptation of LLMs to tasks that require multi-step rationalization and tool use.
Bayesian HMM clustering of x-vector sequences (VBx) has become a widely adopted diarization baseline model in publications and challenges. It uses an HMM to model speaker turns, a generatively trained probabilistic linear discriminant analysis (PLDA) for speaker distribution modeling, and Bayesian inference to estimate the assignment of x-vectors to speakers. This paper presents a new framework for updating the VBx parameters using discriminative training, which directly optimizes a predefined loss. We also propose a new loss that better correlates with the diarization error rate compared to binary cross-entropy $\unicode{x2013}$ the default choice for diarization end-to-end systems. Proof-of-concept results across three datasets (AMI, CALLHOME, and DIHARD II) demonstrate the method's capability of automatically finding hyperparameters, achieving comparable performance to those found by extensive grid search, which typically requires additional hyperparameter behavior knowledge. Moreover, we show that discriminative fine-tuning of PLDA can further improve the model's performance. We release the source code with this publication.
The Bayesian estimation of GARCH-family models has been typically addressed through Monte Carlo sampling. Variational Inference is gaining popularity and attention as a robust approach for Bayesian inference in complex machine learning models; however, its adoption in econometrics and finance is limited. This paper discusses the extent to which Variational Inference constitutes a reliable and feasible alternative to Monte Carlo sampling for Bayesian inference in GARCH-like models. Through a large-scale experiment involving the constituents of the S&P 500 index, several Variational Inference optimizers, a variety of volatility models, and a case study, we show that Variational Inference is an attractive, remarkably well-calibrated, and competitive method for Bayesian learning.
Tensors are ubiquitous in science and engineering and tensor factorization approaches have become important tools for the characterization of higher order structure. Factorizations includes the outer-product rank Canonical Polyadic Decomposition (CPD) as well as the multi-linear rank Tucker decomposition in which the Block-Term Decomposition (BTD) is a structured intermediate interpolating between these two representations. Whereas CPD, Tucker, and BTD have traditionally relied on maximum-likelihood estimation, Bayesian inference has been use to form probabilistic CPD and Tucker. We propose, an efficient variational Bayesian probabilistic BTD, which uses the von-Mises Fisher matrix distribution to impose orthogonality in the multi-linear Tucker parts forming the BTD. On synthetic and two real datasets, we highlight the Bayesian inference procedure and demonstrate using the proposed pBTD on noisy data and for model order quantification. We find that the probabilistic BTD can quantify suitable multi-linear structures providing a means for robust inference of patterns in multi-linear data.
In recent years, the integration of Automated Planning (AP) and Reinforcement Learning (RL) has seen a surge of interest. To perform this integration, a general framework for Sequential Decision Making (SDM) would prove immensely useful, as it would help us understand how AP and RL fit together. In this preliminary work, we attempt to provide such a framework, suitable for any method ranging from Classical Planning to Deep RL, by drawing on concepts from Probability Theory and Bayesian inference. We formulate an SDM task as a set of training and test Markov Decision Processes (MDPs), to account for generalization. We provide a general algorithm for SDM which we hypothesize every SDM method is based on. According to it, every SDM algorithm can be seen as a procedure that iteratively improves its solution estimate by leveraging the task knowledge available. Finally, we derive a set of formulas and algorithms for calculating interesting properties of SDM tasks and methods, which make possible their empirical evaluation and comparison.
Planning for sequential robotics tasks often requires integrated symbolic and geometric reasoning. TAMP algorithms typically solve these problems by performing a tree search over high-level task sequences while checking for kinematic and dynamic feasibility. This can be inefficient because, typically, candidate task plans resulting from the tree search ignore geometric information. This often leads to motion planning failures that require expensive backtracking steps to find alternative task plans. We propose a novel approach to TAMP called Stein Task and Motion Planning (STAMP) that relaxes the hybrid optimization problem into a continuous domain. This allows us to leverage gradients from differentiable physics simulation to fully optimize discrete and continuous plan parameters for TAMP. In particular, we solve the optimization problem using a gradient-based variational inference algorithm called Stein Variational Gradient Descent. This allows us to find a distribution of solutions within a single optimization run. Furthermore, we use an off-the-shelf differentiable physics simulator that is parallelized on the GPU to run parallelized inference over diverse plan parameters. We demonstrate our method on a variety of problems and show that it can find multiple diverse plans in a single optimization run while also being significantly faster than existing approaches.
Lecture notes from the course given by Professor Sara A. Solla at the Les Houches summer school on "Statistical physics of Machine Learning". The notes discuss neural information processing through the lens of Statistical Physics. Contents include Bayesian inference and its connection to a Gibbs description of learning and generalization, Generalized Linear Models as a controlled alternative to backpropagation through time, and linear and non-linear techniques for dimensionality reduction.
We study empirical Bayes estimation in high-dimensional linear regression. To facilitate computationally efficient estimation of the underlying prior, we adopt a variational empirical Bayes approach, introduced originally in Carbonetto and Stephens (2012) and Kim et al. (2022). We establish asymptotic consistency of the nonparametric maximum likelihood estimator (NPMLE) and its (computable) naive mean field variational surrogate under mild assumptions on the design and the prior. Assuming, in addition, that the naive mean field approximation has a dominant optimizer, we develop a computationally efficient approximation to the oracle posterior distribution, and establish its accuracy under the 1-Wasserstein metric. This enables computationally feasible Bayesian inference; e.g., construction of posterior credible intervals with an average coverage guarantee, Bayes optimal estimation for the regression coefficients, estimation of the proportion of non-nulls, etc. Our analysis covers both deterministic and random designs, and accommodates correlations among the features. To the best of our knowledge, this provides the first rigorous nonparametric empirical Bayes method in a high-dimensional regression setting without sparsity.
Parameter inference for dynamical models of (bio)physical systems remains a challenging problem. Intractable gradients, high-dimensional spaces, and non-linear model functions are typically problematic without large computational budgets. A recent body of work in that area has focused on Bayesian inference methods, which consider parameters under their statistical distributions and therefore, do not derive point estimates of optimal parameter values. Here we propose a new metaheuristic that drives dimensionality reductions from feature-informed transformations (DR-FFIT) to address these bottlenecks. DR-FFIT implements an efficient sampling strategy that facilitates a gradient-free parameter search in high-dimensional spaces. We use artificial neural networks to obtain differentiable proxies for the model's features of interest. The resulting gradients enable the estimation of a local active subspace of the model within a defined sampling region. This approach enables efficient dimensionality reductions of highly non-linear search spaces at a low computational cost. Our test data show that DR-FFIT boosts the performances of random-search and simulated-annealing against well-established metaheuristics, and improves the goodness-of-fit of the model, all within contained run-time costs.
Neural networks have achieved remarkable performance across various problem domains, but their widespread applicability is hindered by inherent limitations such as overconfidence in predictions, lack of interpretability, and vulnerability to adversarial attacks. To address these challenges, Bayesian neural networks (BNNs) have emerged as a compelling extension of conventional neural networks, integrating uncertainty estimation into their predictive capabilities. This comprehensive primer presents a systematic introduction to the fundamental concepts of neural networks and Bayesian inference, elucidating their synergistic integration for the development of BNNs. The target audience comprises statisticians with a potential background in Bayesian methods but lacking deep learning expertise, as well as machine learners proficient in deep neural networks but with limited exposure to Bayesian statistics. We provide an overview of commonly employed priors, examining their impact on model behavior and performance. Additionally, we delve into the practical considerations associated with training and inference in BNNs. Furthermore, we explore advanced topics within the realm of BNN research, acknowledging the existence of ongoing debates and controversies. By offering insights into cutting-edge developments, this primer not only equips researchers and practitioners with a solid foundation in BNNs, but also illuminates the potential applications of this dynamic field. As a valuable resource, it fosters an understanding of BNNs and their promising prospects, facilitating further advancements in the pursuit of knowledge and innovation.
We propose a novel, tractable latent state inference scheme for Markov jump processes, for which exact inference is often intractable. Our approach is based on an entropic matching framework that can be embedded into the well-known expectation propagation algorithm. We demonstrate the effectiveness of our method by providing closed-form results for a simple family of approximate distributions and apply it to the general class of chemical reaction networks, which are a crucial tool for modeling in systems biology. Moreover, we derive closed-form expressions for point estimation of the underlying parameters using an approximate expectation maximization procedure. We evaluate our method across various chemical reaction networks and compare it to multiple baseline approaches, demonstrating superior performance in approximating the mean of the posterior process. Finally, we discuss the limitations of our method and potential avenues for future improvement, highlighting its promising direction for addressing complex continuous-time Bayesian inference problems.
Mathematical models (MMs) are a powerful tool to help us understand and predict the dynamics of tumour growth under various conditions. In this work, we use 5 MMs with an increasing number of parameters to explore how certain (often overlooked) decisions in estimating parameters from data of experimental tumour growth affect the outcome of the analysis. In particular, we propose a framework for including tumour volume measurements that fall outside the upper and lower limits of detection, which are normally discarded. We demonstrate how excluding censored data results in an overestimation of the initial tumour volume and the MM-predicted tumour volumes prior to the first measurements, and an underestimation of the carrying capacity and the MM-predicted tumour volumes beyond the latest measurable time points. We show in which way the choice of prior for the MM parameters can impact the posterior distributions, and illustrate that reporting the highest-likelihood parameters and their 95% credible interval can lead to confusing or misleading interpretations. We hope this work will encourage others to carefully consider choices made in parameter estimation and to adopt the approaches we put forward herein.
We release a new Bayesian neural network library for PyTorch for large-scale deep networks. Our library implements mainstream approximate Bayesian inference algorithms: variational inference, MC-dropout, stochastic-gradient MCMC, and Laplace approximation. The main differences from other existing Bayesian neural network libraries are as follows: 1) Our library can deal with very large-scale deep networks including Vision Transformers (ViTs). 2) We need virtually zero code modifications for users (e.g., the backbone network definition codes do not neet to be modified at all). 3) Our library also allows the pre-trained model weights to serve as a prior mean, which is very useful for performing Bayesian inference with the large-scale foundation models like ViTs that are hard to optimise from scratch with the downstream data alone. Our code is publicly available at: \url{https://github.com/SamsungLabs/BayesDLL}\footnote{A mirror repository is also available at: \url{https://github.com/minyoungkim21/BayesDLL}.}.
Deep Gaussian Process (DGP) models offer a powerful nonparametric approach for Bayesian inference, but exact inference is typically intractable, motivating the use of various approximations. However, existing approaches, such as mean-field Gaussian assumptions, limit the expressiveness and efficacy of DGP models, while stochastic approximation can be computationally expensive. To tackle these challenges, we introduce Neural Operator Variational Inference (NOVI) for Deep Gaussian Processes. NOVI uses a neural generator to obtain a sampler and minimizes the Regularized Stein Discrepancy in L2 space between the generated distribution and true posterior. We solve the minimax problem using Monte Carlo estimation and subsampling stochastic optimization techniques. We demonstrate that the bias introduced by our method can be controlled by multiplying the Fisher divergence with a constant, which leads to robust error control and ensures the stability and precision of the algorithm. Our experiments on datasets ranging from hundreds to tens of thousands demonstrate the effectiveness and the faster convergence rate of the proposed method. We achieve a classification accuracy of 93.56 on the CIFAR10 dataset, outperforming SOTA Gaussian process methods. Furthermore, our method guarantees theoretically controlled prediction error for DGP models and demonstrates remarkable performance on various datasets. We are optimistic that NOVI has the potential to enhance the performance of deep Bayesian nonparametric models and could have significant implications for various practical applications
Recently, Gaussian processes have been used to model the vector field of continuous dynamical systems, referred to as GPODEs, which are characterized by a probabilistic ODE equation. Bayesian inference for these models has been extensively studied and applied in tasks such as time series prediction. However, the use of standard GPs with basic kernels like squared exponential kernels has been common in GPODE research, limiting the model's ability to represent complex scenarios. To address this limitation, we introduce normalizing flows to reparameterize the ODE vector field, resulting in a data-driven prior distribution, thereby increasing flexibility and expressive power. We develop a data-driven variational learning algorithm that utilizes analytically tractable probability density functions of normalizing flows, enabling simultaneous learning and inference of unknown continuous dynamics. Additionally, we also apply normalizing flows to the posterior inference of GP ODEs to resolve the issue of strong mean-field assumptions in posterior inference. By applying normalizing flows in both these ways, our model improves accuracy and uncertainty estimates for Bayesian Gaussian Process ODEs. We validate the effectiveness of our approach on simulated dynamical systems and real-world human motion data, including time series prediction and missing data recovery tasks. Experimental results show that our proposed method effectively captures model uncertainty while improving accuracy.
Design of process control scheme is critical for quality assurance to reduce variations in manufacturing systems. Taking semiconductor manufacturing as an example, extensive literature focuses on control optimization based on certain process models (usually linear models), which are obtained by experiments before a manufacturing process starts. However, in real applications, pre-defined models may not be accurate, especially for a complex manufacturing system. To tackle model inaccuracy, we propose a model-free reinforcement learning (MFRL) approach to conduct experiments and optimize control simultaneously according to real-time data. Specifically, we design a novel MFRL control scheme by updating the distribution of disturbances using Bayesian inference to reduce their large variations during manufacturing processes. As a result, the proposed MFRL controller is demonstrated to perform well in a nonlinear chemical mechanical planarization (CMP) process when the process model is unknown. Theoretical properties are also guaranteed when disturbances are additive. The numerical studies also demonstrate the effectiveness and efficiency of our methodology.