The state space representation of active resident space objects can be posed in the form of a stochastic hybrid system. Satellite maneuvers may be accounted for according to control cost or heuristical considerations, yet it is possible to jointly consider a combination of both. In this work, Sequential Monte Carlo filtering techniques are applied to the maneuvering target tracking problem in an optical survey scenario, where the maneuver control inputs are characterized in a Bayesian inference process. Due to the scarcity of data inherent to space surveillance and tracking, model switching probabilities are not estimated but derived from the ability of the state representation to fit incoming measurements. A Markov Chain Monte Carlo sampling scheme is used to explore the region assumed accessible to the object in terms of the hypothesized post-maneuver observation and a novel and efficient control distance metric. Results are obtained for a simulated optical survey scenario, and comparisons are drawn with respect to a moving horizon least-squares estimator. The proposed framework is proved to allow for a capable implementation of an automated online maneuver detection algorithm, thus contributing to the reduction of uncertainty in the state of active space objects.
Mixed-membership (MM) models such as Latent Dirichlet Allocation (LDA) have been applied to microbiome compositional data to identify latent subcommunities of microbial species. These subcommunities are informative for understanding the biological interplay of microbes and for predicting health outcomes. However, microbiome compositions typically display substantial cross-sample heterogeneities in subcommunity compositions -- that is, the variability in the proportions of microbes in shared subcommunities across samples -- which is not accounted for in prior analyses. As a result, LDA can produce inference which is highly sensitive to the specification of the number of subcommunities and often divides a single subcommunity into multiple artificial ones. To address this limitation, we incorporate the logistic-tree normal (LTN) model into LDA to form a new MM model. This model allows cross-sample variation in the composition of each subcommunity around some "centroid" composition that defines the subcommunity. Incorporation of auxiliary P\'olya-Gamma variables enables a computationally efficient collapsed blocked Gibbs sampler to carry out Bayesian inference under this model. By accounting for such heterogeneity, our new model restores the robustness of the inference in the specification of the number of subcommunities and allows meaningful subcommunities to be identified.
Geographic Information Systems (GIS) and related technologies have generated substantial interest among statisticians with regard to scalable methodologies for analyzing large spatial datasets. A variety of scalable spatial process models have been proposed that can be easily embedded within a hierarchical modeling framework to carry out Bayesian inference. While the focus of statistical research has mostly been directed toward innovative and more complex model development, relatively limited attention has been accorded to approaches for easily implementable scalable hierarchical models for the practicing scientist or spatial analyst. This article discusses how point-referenced spatial process models can be cast as a conjugate Bayesian linear regression that can rapidly deliver inference on spatial processes. The approach allows exact sampling directly (avoids iterative algorithms such as Markov chain Monte Carlo) from the joint posterior distribution of regression parameters, the latent process and the predictive random variables, and can be easily implemented on statistical programming environments such as R.
The Free-Energy-Principle (FEP) is an influential and controversial theory which postulates a deep and powerful connection between the stochastic thermodynamics of self-organization and learning through variational inference. Specifically, it claims that any self-organizing system which can be statistically separated from its environment, and which maintains itself at a non-equilibrium steady state, can be construed as minimizing an information-theoretic functional -- the variational free energy -- and thus performing variational Bayesian inference to infer the hidden state of its environment. This principle has also been applied extensively in neuroscience, and is beginning to make inroads in machine learning by spurring the construction of novel and powerful algorithms by which action, perception, and learning can all be unified under a single objective. While its expansive and often grandiose claims have spurred significant debates in both philosophy and theoretical neuroscience, the mathematical depth and lack of accessible introductions and tutorials for the core claims of the theory have often precluded a deep understanding within the literature. Here, we aim to provide a mathematically detailed, yet intuitive walk-through of the formulation and central claims of the FEP while also providing a discussion of the assumptions necessary and potential limitations of the theory. Additionally, since the FEP is a still a living theory, subject to internal controversy, change, and revision, we also present a detailed appendix highlighting and condensing current perspectives as well as controversies about the nature, applicability, and the mathematical assumptions and formalisms underlying the FEP.
The successes of modern deep machine learning methods are founded on their ability to transform inputs across multiple layers to build good high-level representations. It is therefore critical to understand this process of representation learning. However, standard theoretical approaches (formally NNGPs) involving infinite width limits eliminate representation learning. We therefore develop a new infinite width limit, the Bayesian representation learning limit, that exhibits representation learning mirroring that in finite-width models, yet at the same time, retains some of the simplicity of standard infinite-width limits. In particular, we show that Deep Gaussian processes (DGPs) in the Bayesian representation learning limit have exactly multivariate Gaussian posteriors, and the posterior covariances can be obtained by optimizing an interpretable objective combining a log-likelihood to improve performance with a series of KL-divergences which keep the posteriors close to the prior. We confirm these results experimentally in wide but finite DGPs. Next, we introduce the possibility of using this limit and objective as a flexible, deep generalisation of kernel methods, that we call deep kernel machines (DKMs). Like most naive kernel methods, DKMs scale cubically in the number of datapoints. We therefore use methods from the Gaussian process inducing point literature to develop a sparse DKM that scales linearly in the number of datapoints. Finally, we extend these approaches to NNs (which have non-Gaussian posteriors) in the Appendices.
Fast inference of numerical model parameters from data is an important prerequisite to generate predictive models for a wide range of applications. Use of sampling-based approaches such as Markov chain Monte Carlo may become intractable when each likelihood evaluation is computationally expensive. New approaches combining variational inference with normalizing flow are characterized by a computational cost that grows only linearly with the dimensionality of the latent variable space, and rely on gradient-based optimization instead of sampling, providing a more efficient approach for Bayesian inference about the model parameters. Moreover, the cost of frequently evaluating an expensive likelihood can be mitigated by replacing the true model with an offline trained surrogate model, such as neural networks. However, this approach might generate significant bias when the surrogate is insufficiently accurate around the posterior modes. To reduce the computational cost without sacrificing inferential accuracy, we propose Normalizing Flow with Adaptive Surrogate (NoFAS), an optimization strategy that alternatively updates the normalizing flow parameters and surrogate model parameters. We also propose an efficient sample weighting scheme for surrogate model training that preserves global accuracy while effectively capturing high posterior density regions. We demonstrate the inferential and computational superiority of NoFAS against various benchmarks, including cases where the underlying model lacks identifiability. The source code and numerical experiments used for this study are available at https://github.com/cedricwangyu/NoFAS.
Clustering has become a core technology in machine learning, largely due to its application in the field of unsupervised learning, clustering, classification, and density estimation. A frequentist approach exists to hand clustering based on mixture model which is known as the EM algorithm where the parameters of the mixture model are usually estimated into a maximum likelihood estimation framework. Bayesian approach for finite and infinite Gaussian mixture model generates point estimates for all variables as well as associated uncertainty in the form of the whole estimates' posterior distribution. The sole aim of this survey is to give a self-contained introduction to concepts and mathematical tools in Bayesian inference for finite and infinite Gaussian mixture model in order to seamlessly introduce their applications in subsequent sections. However, we clearly realize our inability to cover all the useful and interesting results concerning this field and given the paucity of scope to present this discussion, e.g., the separated analysis of the generation of Dirichlet samples by stick-breaking and Polya's Urn approaches. We refer the reader to literature in the field of the Dirichlet process mixture model for a much detailed introduction to the related fields. Some excellent examples include (Frigyik et al., 2010; Murphy, 2012; Gelman et al., 2014; Hoff, 2009). This survey is primarily a summary of purpose, significance of important background and techniques for Gaussian mixture model, e.g., Dirichlet prior, Chinese restaurant process, and most importantly the origin and complexity of the methods which shed light on their modern applications. The mathematical prerequisite is a first course in probability. Other than this modest background, the development is self-contained, with rigorous proofs provided throughout.
Item Response Theory (IRT) is a ubiquitous model for understanding human behaviors and attitudes based on their responses to questions. Large modern datasets offer opportunities to capture more nuances in human behavior, potentially improving psychometric modeling leading to improved scientific understanding and public policy. However, while larger datasets allow for more flexible approaches, many contemporary algorithms for fitting IRT models may also have massive computational demands that forbid real-world application. To address this bottleneck, we introduce a variational Bayesian inference algorithm for IRT, and show that it is fast and scalable without sacrificing accuracy. Applying this method to five large-scale item response datasets from cognitive science and education yields higher log likelihoods and higher accuracy in imputing missing data than alternative inference algorithms. Using this new inference approach we then generalize IRT with expressive Bayesian models of responses, leveraging recent advances in deep learning to capture nonlinear item characteristic curves (ICC) with neural networks. Using an eigth-grade mathematics test from TIMSS, we show our nonlinear IRT models can capture interesting asymmetric ICCs. The algorithm implementation is open-source, and easily usable.
There are essentially three kinds of approaches to Uncertainty Quantification (UQ): (A) robust optimization, (B) Bayesian, (C) decision theory. Although (A) is robust, it is unfavorable with respect to accuracy and data assimilation. (B) requires a prior, it is generally brittle and posterior estimations can be slow. Although (C) leads to the identification of an optimal prior, its approximation suffers from the curse of dimensionality and the notion of risk is one that is averaged with respect to the distribution of the data. We introduce a 4th kind which is a hybrid between (A), (B), (C), and hypothesis testing. It can be summarized as, after observing a sample $x$, (1) defining a likelihood region through the relative likelihood and (2) playing a minmax game in that region to define optimal estimators and their risk. The resulting method has several desirable properties (a) an optimal prior is identified after measuring the data, and the notion of risk is a posterior one, (b) the determination of the optimal estimate and its risk can be reduced to computing the minimum enclosing ball of the image of the likelihood region under the quantity of interest map (which is fast and not subject to the curse of dimensionality). The method is characterized by a parameter in $ [0,1]$ acting as an assumed lower bound on the rarity of the observed data (the relative likelihood). When that parameter is near $1$, the method produces a posterior distribution concentrated around a maximum likelihood estimate with tight but low confidence UQ estimates. When that parameter is near $0$, the method produces a maximal risk posterior distribution with high confidence UQ estimates. In addition to navigating the accuracy-uncertainty tradeoff, the proposed method addresses the brittleness of Bayesian inference by navigating the robustness-accuracy tradeoff associated with data assimilation.
The COVID-19 pandemic has posed significant challenges in modeling its complex epidemic transmissions, infection and contagion, which are very different from known epidemics. The challenges in quantifying COVID-19 complexities include effectively modeling its process and data uncertainties. The uncertainties are embedded in implicit and high-proportional undocumented infections, asymptomatic contagion, social reinforcement of infections, and various quality issues in the reported data. These uncertainties become even more apparent in the first two months of the COVID-19 pandemic, when the relevant knowledge, case reporting and testing were all limited. Here we introduce a novel hybrid approach Susceptible-Undocumented infected-Documented infected-Recovered (SUDR) model. First, SUDR (1) characterizes and distinguishes Undocumented (U) and Documented (D) infections commonly seen during COVID-19 incubation periods and asymptomatic infections. Second, SUDR characterizes the probabilistic density of infections by capturing exogenous processes. Lastly, SUDR approximates the density likelihood of COVID-19 prevalence over time by incorporating Bayesian inference into SUDR. Different from existing COVID-19 models, SUDR characterizes the undocumented infections during unknown transmission processes. To capture the uncertainties of temporal transmission and social reinforcement during COVID-19 contagion, the transmission rate is modeled by a time-varying density function of undocumented infectious cases. By sampling from the mean-field posterior distribution with reasonable priors, SUDR handles the randomness, noise and sparsity of COVID-19 observations widely seen in the public COVID-19 case data. The results demonstrate a deeper quantitative understanding of the above uncertainties, in comparison with classic SIR, time-dependent SIR, and probabilistic SIR models.
The non-uniform surface temperature distribution of rotating active stars is routinely mapped with the Doppler Imaging technique. Inhomogeneities in the surface produce features in high-resolution spectroscopic observations that shift in wavelength depending on their position on the visible hemisphere. The inversion problem has been systematically solved using maximum a-posteriori regularized methods assuming smoothness or maximum entropy. Our aim in this work is to solve the full Bayesian inference problem, by providing access to the posterior distribution of the surface temperature in the star. We use amortized neural posterior estimation to produce a model that approximates the high-dimensional posterior distribution for spectroscopic observations of selected spectral ranges sampled at arbitrary rotation phases. The posterior distribution is approximated with conditional normalizing flows, which are flexible, tractable and easy to sample approximations to arbitrary distributions. When conditioned on the spectroscopic observations, they provide a very efficient way of obtaining samples from the posterior distribution. The conditioning on observations is obtained through the use of Transformer encoders, which can deal with arbitrary wavelength sampling and rotation phases. Our model can produce thousands of posterior samples per second. Our validation of the model for very high signal-to-noise observations shows that it correctly approximates the posterior, although with some overestimation of the broadening. We apply the model to the moderately fast rotator II Peg, producing the first Bayesian map of its temperature inhomogenities. We conclude that conditional normalizing flows are a very promising tool to carry out approximate Bayesian inference in more complex problems in stellar physics, like constraining the magnetic properties.
We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order $O(ns)$, where $n$ is the sample size, and $s$ the underlying sparsity of the model. This cost can be further reduced by data sub-sampling when stochastic gradient Langevin dynamics are employed. The algorithm is an extension of the asynchronous Gibbs sampler of Johnson et al. (2013), but can be viewed from a statistical perspective as a form of Bayesian iterated sure independent screening (Fan et al. (2009)). We show that in high-dimensional linear regression problems, the Markov chain generated by the proposed algorithm admits an invariant distribution that recovers correctly the main signal with high probability under some statistical assumptions. Furthermore we show that its mixing time is at most linear in the number of regressors. We illustrate the algorithm with several models.
In this paper, we examine dynamic properties of particle flows for a recently derived parameterized family of stochastic particle flow filters for nonlinear filtering and Bayesian inference. In particular, we establish that particles maintain desired posterior distribution without the Gaussian assumption on measurement likelihood. Adopting the concept of Lyapunov stability, we further show that particles stay close but do not converge to the maximum likelihood estimate of the posterior distribution. The results demonstrate that stability of particle flows is maintained for this family of stochastic particle flow filters.
It is well known that reinforcement learning can be cast as inference in an appropriate probabilistic model. However, this commonly involves introducing a distribution over agent trajectories with probabilities proportional to exponentiated rewards. In this work, we formulate reinforcement learning as Bayesian inference without resorting to rewards, and show that rewards are derived from agent's preferences, rather than the other way around. We argue that agent preferences should be specified stochastically rather than deterministically. Reinforcement learning via inference with stochastic preferences naturally describes agent behaviors, does not require introducing rewards and exponential weighing of trajectories, and allows to reason about agents using the solid foundation of Bayesian statistics. Stochastic conditioning, a probabilistic programming paradigm for conditioning models on distributions rather than values, is the formalism behind agents with probabilistic preferences. We demonstrate realization of our approach on case studies using both a two-agent coordinate game and a single agent acting in a noisy environment, showing that despite superficial differences, both cases can be modeled and reasoned about based on the same principles.
This paper reports on a dynamic semantic mapping framework that incorporates 3D scene flow measurements into a closed-form Bayesian inference model. Existence of dynamic objects in the environment can cause artifacts and traces in current mapping algorithms, leading to an inconsistent map posterior. We leverage state-of-the-art semantic segmentation and 3D flow estimation using deep learning to provide measurements for map inference. We develop a Bayesian model that propagates the scene with flow and infers a 3D continuous (i.e., can be queried at arbitrary resolution) semantic occupancy map outperforming its static counterpart. Extensive experiments using publicly available data sets show that the proposed framework improves over its predecessors and input measurements from deep neural networks consistently.
In modern deep learning, there is a recent and growing literature on the interplay between large-width asymptotic properties of deep Gaussian neural networks (NNs), i.e. deep NNs with Gaussian-distributed weights, and Gaussian stochastic processes (SPs). Such an interplay has proved to be critical in Bayesian inference under Gaussian SP priors, kernel regression for infinitely wide deep NNs trained via gradient descent, and information propagation within infinitely wide NNs. Motivated by empirical analyses that show the potential of replacing Gaussian distributions with Stable distributions for the NN's weights, in this paper we present a rigorous analysis of the large-width asymptotic behaviour of (fully connected) feed-forward deep Stable NNs, i.e. deep NNs with Stable-distributed weights. We show that as the width goes to infinity jointly over the NN's layers, i.e. the ``joint growth" setting, a rescaled deep Stable NN converges weakly to a Stable SP whose distribution is characterized recursively through the NN's layers. Because of the non-triangular structure of the NN, this is a non-standard asymptotic problem, to which we propose an inductive approach of independent interest. Then, we establish sup-norm convergence rates of the rescaled deep Stable NN to the Stable SP, under the ``joint growth" and a ``sequential growth" of the width over the NN's layers. Such a result provides the difference between the ``joint growth" and the ``sequential growth" settings, showing that the former leads to a slower rate than the latter, depending on the depth of the layer and the number of inputs of the NN. Our work extends some recent results on infinitely wide limits for deep Gaussian NNs to the more general deep Stable NNs, providing the first result on convergence rates in the ``joint growth" setting.
According to recent studies, commonly used computer vision datasets contain about 4% of label errors. For example, the COCO dataset is known for its high level of noise in data labels, which limits its use for training robust neural deep architectures in a real-world scenario. To model such a noise, in this paper we have proposed the homoscedastic aleatoric uncertainty estimation, and present a series of novel loss functions to address the problem of image object detection at scale. Specifically, the proposed functions are based on Bayesian inference and we have incorporated them into the common community-adopted object detection deep learning architecture RetinaNet. We have also shown that modeling of homoscedastic aleatoric uncertainty using our novel functions allows to increase the model interpretability and to improve the object detection performance being evaluated on the COCO dataset.
Reinforcement learning (RL) studies how an agent comes to achieve reward in an environment through interactions over time. Recent advances in machine RL have surpassed human expertise at the world's oldest board games and many classic video games, but they require vast quantities of experience to learn successfully -- none of today's algorithms account for the human ability to learn so many different tasks, so quickly. Here we propose a new approach to this challenge based on a particularly strong form of model-based RL which we call Theory-Based Reinforcement Learning, because it uses human-like intuitive theories -- rich, abstract, causal models of physical objects, intentional agents, and their interactions -- to explore and model an environment, and plan effectively to achieve task goals. We instantiate the approach in a video game playing agent called EMPA (the Exploring, Modeling, and Planning Agent), which performs Bayesian inference to learn probabilistic generative models expressed as programs for a game-engine simulator, and runs internal simulations over these models to support efficient object-based, relational exploration and heuristic planning. EMPA closely matches human learning efficiency on a suite of 90 challenging Atari-style video games, learning new games in just minutes of game play and generalizing robustly to new game situations and new levels. The model also captures fine-grained structure in people's exploration trajectories and learning dynamics. Its design and behavior suggest a way forward for building more general human-like AI systems.
Gaussian processes (GPs) are a well-known nonparametric Bayesian inference technique, but they suffer from scalability problems for large sample sizes, and their performance can degrade for non-stationary or spatially heterogeneous data. In this work, we seek to overcome these issues through (i) employing variational free energy approximations of GPs operating in tandem with online expectation propagation steps; and (ii) introducing a local splitting step which instantiates a new GP whenever the posterior distribution changes significantly as quantified by the Wasserstein metric over posterior distributions. Over time, then, this yields an ensemble of sparse GPs which may be updated incrementally, and adapts to locality, heterogeneity, and non-stationarity in training data.
The need to avoid confident predictions on unfamiliar data has sparked interest in out-of-distribution (OOD) detection. It is widely assumed that Bayesian neural networks (BNN) are well suited for this task, as the endowed epistemic uncertainty should lead to disagreement in predictions on outliers. In this paper, we question this assumption and provide empirical evidence that proper Bayesian inference with common neural network architectures does not necessarily lead to good OOD detection. To circumvent the use of approximate inference, we start by studying the infinite-width case, where Bayesian inference can be exact considering the corresponding Gaussian process. Strikingly, the kernels induced under common architectural choices lead to uncertainties that do not reflect the underlying data generating process and are therefore unsuited for OOD detection. Finally, we study finite-width networks using HMC, and observe OOD behavior that is consistent with the infinite-width case. Overall, our study discloses fundamental problems when naively using BNNs for OOD detection and opens interesting avenues for future research.