Daily Papers

Classical state estimation algorithms rely on predefined target's state-space model, which complicates model derivation and limits adaptability when system dynamics change. Neural network based estimators offer a data-driven alternative, but rarely fuse classical estimation theory into their structure and demand large, pre-computed training sets. To overcome these limitations, we propose a unified state-space structure without target's state-space model and treats both the input-layer activations and all network weights as latent states to be estimated online. We instantiate this nonlinear model with three canonical estimators-the extended Kalman estimator, the unscented Kalman estimator, and the particle estimator to simulate different neural network and demonstrate its generality. We then benchmark our approach against seven leading neural network estimators across three representative scenarios. Results show that our neural network state-space estimators not only retain the robust learning capability, but also match or exceed the accuracy of both classical and pre-trained neural network methods. Code, data, and more result: github.com/ShineMinxing/PaperNNSSE.git

We consider the question of learning Q-function in a sample efficient manner for reinforcement learning with continuous state and action spaces under a generative model. If Q-function is Lipschitz continuous, then the minimal sample complexity for estimating ε-optimal Q-function is known to scale as Ω(1{ε^{d_1+d_2 +2}}) per classical non-parametric learning theory, where d_1 and d_2 denote the dimensions of the state and action spaces respectively. The Q-function, when viewed as a kernel, induces a Hilbert-Schmidt operator and hence possesses square-summable spectrum. This motivates us to consider a parametric class of Q-functions parameterized by its "rank" r, which contains all Lipschitz Q-functions as r to infty. As our key contribution, we develop a simple, iterative learning algorithm that finds ε-optimal Q-function with sample complexity of O(1{ε^{max(d_1, d_2)+2}}) when the optimal Q-function has low rank r and the discounting factor γ is below a certain threshold. Thus, this provides an exponential improvement in sample complexity. To enable our result, we develop a novel Matrix Estimation algorithm that faithfully estimates an unknown low-rank matrix in the ell_infty sense even in the presence of arbitrary bounded noise, which might be of interest in its own right. Empirical results on several stochastic control tasks confirm the efficacy of our "low-rank" algorithms.

Designing an optimum portfolio that allocates weights to its constituent stocks in a way that achieves the best trade-off between the return and the risk is a challenging research problem. The classical mean-variance theory of portfolio proposed by Markowitz is found to perform sub-optimally on the real-world stock market data since the error in estimation for the expected returns adversely affects the performance of the portfolio. This paper presents three approaches to portfolio design, viz, the minimum risk portfolio, the optimum risk portfolio, and the Eigen portfolio, for seven important sectors of the Indian stock market. The daily historical prices of the stocks are scraped from Yahoo Finance website from January 1, 2016, to December 31, 2020. Three portfolios are built for each of the seven sectors chosen for this study, and the portfolios are analyzed on the training data based on several metrics such as annualized return and risk, weights assigned to the constituent stocks, the correlation heatmaps, and the principal components of the Eigen portfolios. Finally, the optimum risk portfolios and the Eigen portfolios for all sectors are tested on their return over a period of a six-month period. The performances of the portfolios are compared and the portfolio yielding the higher return for each sector is identified.

Variational inference is becoming more and more popular for approximating intractable posterior distributions in Bayesian statistics and machine learning. Meanwhile, a few recent works have provided theoretical justification and new insights on deep neural networks for estimating smooth functions in usual settings such as nonparametric regression. In this paper, we show that variational inference for sparse deep learning retains the same generalization properties than exact Bayesian inference. In particular, we highlight the connection between estimation and approximation theories via the classical bias-variance trade-off and show that it leads to near-minimax rates of convergence for H\"older smooth functions. Additionally, we show that the model selection framework over the neural network architecture via ELBO maximization does not overfit and adaptively achieves the optimal rate of convergence.

Statistical inference for non-stationary data is hindered by the failure of classical central limit theorems (CLTs), not least because there is no fixed Gaussian limit to converge to. To resolve this, we introduce relative weak convergence, an extension of weak convergence that compares a statistic or process to a sequence of evolving processes. Relative weak convergence retains the essential consequences of classical weak convergence and coincides with it under stationarity. Crucially, it applies in general non-stationary settings where classical weak convergence fails. We establish concrete relative CLTs for random vectors and empirical processes, along with sequential, weighted, and bootstrap variants, that parallel the state-of-the-art in stationary settings. Our framework and results offer simple, plug-in replacements for classical CLTs whenever stationarity is untenable, as illustrated by applications in nonparametric trend estimation and hypothesis testing.

The analysis of scientific data and complex multivariate systems requires information quantities that capture relationships among multiple random variables. Recently, new information-theoretic measures have been developed to overcome the shortcomings of classical ones, such as mutual information, that are restricted to considering pairwise interactions. Among them, the concept of information synergy and redundancy is crucial for understanding the high-order dependencies between variables. One of the most prominent and versatile measures based on this concept is O-information, which provides a clear and scalable way to quantify the synergy-redundancy balance in multivariate systems. However, its practical application is limited to simplified cases. In this work, we introduce SOmegaI, which allows for the first time to compute O-information without restrictive assumptions about the system. Our experiments validate our approach on synthetic data, and demonstrate the effectiveness of SOmegaI in the context of a real-world use case.

There is a growing gap between the impressive results of deep image generative models and classical algorithms that offer theoretical guarantees. The former suffer from mode collapse or memorization issues, limiting their application to scientific data. The latter require restrictive assumptions such as log-concavity to escape the curse of dimensionality. We partially bridge this gap by introducing conditionally strongly log-concave (CSLC) models, which factorize the data distribution into a product of conditional probability distributions that are strongly log-concave. This factorization is obtained with orthogonal projectors adapted to the data distribution. It leads to efficient parameter estimation and sampling algorithms, with theoretical guarantees, although the data distribution is not globally log-concave. We show that several challenging multiscale processes are conditionally log-concave using wavelet packet orthogonal projectors. Numerical results are shown for physical fields such as the varphi^4 model and weak lensing convergence maps with higher resolution than in previous works.

In location estimation, we are given n samples from a known distribution f shifted by an unknown translation lambda, and want to estimate lambda as precisely as possible. Asymptotically, the maximum likelihood estimate achieves the Cram\'er-Rao bound of error mathcal N(0, 1{nmathcal I}), where mathcal I is the Fisher information of f. However, the n required for convergence depends on f, and may be arbitrarily large. We build on the theory using smoothed estimators to bound the error for finite n in terms of mathcal I_r, the Fisher information of the r-smoothed distribution. As n to infty, r to 0 at an explicit rate and this converges to the Cram\'er-Rao bound. We (1) improve the prior work for 1-dimensional f to converge for constant failure probability in addition to high probability, and (2) extend the theory to high-dimensional distributions. In the process, we prove a new bound on the norm of a high-dimensional random variable whose 1-dimensional projections are subgamma, which may be of independent interest.

Motivated by a wide variety of applications, ranging from stochastic optimization to dimension reduction through variable selection, the problem of estimating gradients accurately is of crucial importance in statistics and learning theory. We consider here the classic regression setup, where a real valued square integrable r.v. Y is to be predicted upon observing a (possibly high dimensional) random vector X by means of a predictive function f(X) as accurately as possible in the mean-squared sense and study a nearest-neighbour-based pointwise estimate of the gradient of the optimal predictive function, the regression function m(x)=E[Ymid X=x]. Under classic smoothness conditions combined with the assumption that the tails of Y-m(X) are sub-Gaussian, we prove nonasymptotic bounds improving upon those obtained for alternative estimation methods. Beyond the novel theoretical results established, several illustrative numerical experiments have been carried out. The latter provide strong empirical evidence that the estimation method proposed works very well for various statistical problems involving gradient estimation, namely dimensionality reduction, stochastic gradient descent optimization and quantifying disentanglement.

A great deal of effort has been devoted to reducing the risk of spurious scientific discoveries, from the use of sophisticated validation techniques, to deep statistical methods for controlling the false discovery rate in multiple hypothesis testing. However, there is a fundamental disconnect between the theoretical results and the practice of data analysis: the theory of statistical inference assumes a fixed collection of hypotheses to be tested, or learning algorithms to be applied, selected non-adaptively before the data are gathered, whereas in practice data is shared and reused with hypotheses and new analyses being generated on the basis of data exploration and the outcomes of previous analyses. In this work we initiate a principled study of how to guarantee the validity of statistical inference in adaptive data analysis. As an instance of this problem, we propose and investigate the question of estimating the expectations of m adaptively chosen functions on an unknown distribution given n random samples. We show that, surprisingly, there is a way to estimate an exponential in n number of expectations accurately even if the functions are chosen adaptively. This gives an exponential improvement over standard empirical estimators that are limited to a linear number of estimates. Our result follows from a general technique that counter-intuitively involves actively perturbing and coordinating the estimates, using techniques developed for privacy preservation. We give additional applications of this technique to our question.

When fitting the learning data of an individual to algorithm-like learning models, the observations are so dependent and non-stationary that one may wonder what the classical Maximum Likelihood Estimator (MLE) could do, even if it is the usual tool applied to experimental cognition. Our objective in this work is to show that the estimation of the learning rate cannot be efficient if the learning rate is constant in the classical Exp3 (Exponential weights for Exploration and Exploitation) algorithm. Secondly, we show that if the learning rate decreases polynomially with the sample size, then the prediction error and in some cases the estimation error of the MLE satisfy bounds in probability that decrease at a polynomial rate.

This paper studies a machine learning regression problem as a multivariate approximation problem using the framework of the theory of random functions. An ab initio derivation of a regression method is proposed, starting from postulates of indifference. It is shown that if a probability measure on an infinite-dimensional function space possesses natural symmetries (invariance under translation, rotation, scaling, and Gaussianity), then the entire solution scheme, including the kernel form, the type of regularization, and the noise parameterization, follows analytically from these postulates. The resulting kernel coincides with a generalized polyharmonic spline; however, unlike existing approaches, it is not chosen empirically but arises as a consequence of the indifference principle. This result provides a theoretical foundation for a broad class of smoothing and interpolation methods, demonstrating their optimality in the absence of a priori information.

This paper studies Kernel density estimation for a high-dimensional distribution rho(x). Traditional approaches have focused on the limit of large number of data points n and fixed dimension d. We analyze instead the regime where both the number n of data points y_i and their dimensionality d grow with a fixed ratio alpha=(log n)/d. Our study reveals three distinct statistical regimes for the kernel-based estimate of the density hat rho_h^{D}(x)=1{n h^d}sum_{i=1}^n Kleft(x-y_i{h}right), depending on the bandwidth h: a classical regime for large bandwidth where the Central Limit Theorem (CLT) holds, which is akin to the one found in traditional approaches. Below a certain value of the bandwidth, h_{CLT}(alpha), we find that the CLT breaks down. The statistics of hat rho_h^{D}(x) for a fixed x drawn from rho(x) is given by a heavy-tailed distribution (an alpha-stable distribution). In particular below a value h_G(alpha), we find that hat rho_h^{D}(x) is governed by extreme value statistics: only a few points in the database matter and give the dominant contribution to the density estimator. We provide a detailed analysis for high-dimensional multivariate Gaussian data. We show that the optimal bandwidth threshold based on Kullback-Leibler divergence lies in the new statistical regime identified in this paper. Our findings reveal limitations of classical approaches, show the relevance of these new statistical regimes, and offer new insights for Kernel density estimation in high-dimensional settings.

A key challenge of modern machine learning systems is to achieve Out-of-Distribution (OOD) generalization -- generalizing to target data whose distribution differs from that of source data. Despite its significant importance, the fundamental question of ``what are the most effective algorithms for OOD generalization'' remains open even under the standard setting of covariate shift. This paper addresses this fundamental question by proving that, surprisingly, classical Maximum Likelihood Estimation (MLE) purely using source data (without any modification) achieves the minimax optimality for covariate shift under the well-specified setting. That is, no algorithm performs better than MLE in this setting (up to a constant factor), justifying MLE is all you need. Our result holds for a very rich class of parametric models, and does not require any boundedness condition on the density ratio. We illustrate the wide applicability of our framework by instantiating it to three concrete examples -- linear regression, logistic regression, and phase retrieval. This paper further complement the study by proving that, under the misspecified setting, MLE is no longer the optimal choice, whereas Maximum Weighted Likelihood Estimator (MWLE) emerges as minimax optimal in certain scenarios.

We consider the problem of linear estimation, and establish an extension of the Gauss-Markov theorem, in which the bias operator is allowed to be non-zero but bounded with respect to a matrix norm of Schatten type. We derive simple and explicit formulas for the optimal estimator in the cases of Nuclear and Spectral norms (with the Frobenius case recovering ridge regression). Additionally, we analytically derive the generalization error in multiple random matrix ensembles, and compare with Ridge regression. Finally, we conduct an extensive simulation study, in which we show that the cross-validated Nuclear and Spectral regressors can outperform Ridge in several circumstances.

This paper provides a non-asymptotic analysis of linear stochastic approximation (LSA) algorithms with fixed stepsize. This family of methods arises in many machine learning tasks and is used to obtain approximate solutions of a linear system Atheta = b for which A and b can only be accessed through random estimates {({bf A}_n, {bf b}_n): n in N^*}. Our analysis is based on new results regarding moments and high probability bounds for products of matrices which are shown to be tight. We derive high probability bounds on the performance of LSA under weaker conditions on the sequence {({bf A}_n, {bf b}_n): n in N^*} than previous works. However, in contrast, we establish polynomial concentration bounds with order depending on the stepsize. We show that our conclusions cannot be improved without additional assumptions on the sequence of random matrices {{bf A}_n: n in N^*}, and in particular that no Gaussian or exponential high probability bounds can hold. Finally, we pay a particular attention to establishing bounds with sharp order with respect to the number of iterations and the stepsize and whose leading terms contain the covariance matrices appearing in the central limit theorems.

Learning in Gaussian Process models occurs through the adaptation of hyperparameters of the mean and the covariance function. The classical approach entails maximizing the marginal likelihood yielding fixed point estimates (an approach called Type II maximum likelihood or ML-II). An alternative learning procedure is to infer the posterior over hyperparameters in a hierarchical specification of GPs we call Fully Bayesian Gaussian Process Regression (GPR). This work considers two approximation schemes for the intractable hyperparameter posterior: 1) Hamiltonian Monte Carlo (HMC) yielding a sampling-based approximation and 2) Variational Inference (VI) where the posterior over hyperparameters is approximated by a factorized Gaussian (mean-field) or a full-rank Gaussian accounting for correlations between hyperparameters. We analyze the predictive performance for fully Bayesian GPR on a range of benchmark data sets.

We develop an econometric framework integrating heavy-tailed Student's t distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}752 observations across 86 assets (2004--2024), we demonstrate Student's t specifications outperform Gaussian models in 88.4\% of cases. Bounded probability-weighting transformations preserve mathematical properties required for dynamic pricing. Gaussian models underestimate 99\% Value-at-Risk by 19.7\% versus 3.2\% for our specification. Joint estimation procedures identify tail and behavioral parameters with established asymptotic properties. Results provide robust inference for asset-pricing applications where heavy tails and behavioral distortions coexist.

Some classical uncertainty quantification problems require the estimation of multiple expectations. Estimating all of them accurately is crucial and can have a major impact on the analysis to perform, and standard existing Monte Carlo methods can be costly to do so. We propose here a new procedure based on importance sampling and control variates for estimating more efficiently multiple expectations with the same sample. We first show that there exists a family of optimal estimators combining both importance sampling and control variates, which however cannot be used in practice because they require the knowledge of the values of the expectations to estimate. Motivated by the form of these optimal estimators and some interesting properties, we therefore propose an adaptive algorithm. The general idea is to adaptively update the parameters of the estimators for approaching the optimal ones. We suggest then a quantitative stopping criterion that exploits the trade-off between approaching these optimal parameters and having a sufficient budget left. This left budget is then used to draw a new independent sample from the final sampling distribution, allowing to get unbiased estimators of the expectations. We show how to apply our procedure to sensitivity analysis, by estimating Sobol' indices and quantifying the impact of the input distributions. Finally, realistic test cases show the practical interest of the proposed algorithm, and its significant improvement over estimating the expectations separately.

The SIML (abbreviation of Separating Information Maximal Likelihood) method, has been introduced by N. Kunitomo and S. Sato and their collaborators to estimate the integrated volatility of high-frequency data that is assumed to be an It\^o process but with so-called microstructure noise. The SIML estimator turned out to share many properties with the estimator introduced by P. Malliavin and M.E. Mancino. The present paper establishes the consistency and the asymptotic normality under a general sampling scheme but without microstructure noise. Specifically, a fast convergence shown for Malliavin--Mancino estimator by E. Clement and A. Gloter is also established for the SIML estimator.

Classical estimators for ARIMA parameters (MLE, CSS, OLS) assume Gaussian innovations, an assumption frequently violated in financial and economic data exhibiting asymmetric distributions with heavy tails. We develop and validate the second-order polynomial maximization method (PMM2) for estimating ARIMA(p,d,q) models with non-Gaussian innovations. PMM2 is a semiparametric technique that exploits higher-order moments and cumulants without requiring full distributional specification. Monte Carlo experiments (128,000 simulations) across sample sizes N in {100, 200, 500, 1000} and four innovation distributions demonstrate that PMM2 substantially outperforms classical methods for asymmetric innovations. For ARIMA(1,1,0) with N=500, relative efficiency reaches 1.58--1.90 for Gamma, lognormal, and χ^2(3) innovations (37--47\% variance reduction). Under Gaussian innovations PMM2 matches OLS efficiency, avoiding the precision loss typical of robust estimators. The method delivers major gains for moderate asymmetry (|γ_3| geq 0.5) and N geq 200, with computational costs comparable to MLE. PMM2 provides an effective alternative for time series with asymmetric innovations typical of financial markets, macroeconomic indicators, and industrial measurements. Future extensions include seasonal SARIMA models, GARCH integration, and automatic order selection.

We study the problem of online generalized linear regression in the stochastic setting, where the label is generated from a generalized linear model with possibly unbounded additive noise. We provide a sharp analysis of the classical follow-the-regularized-leader (FTRL) algorithm to cope with the label noise. More specifically, for sigma-sub-Gaussian label noise, our analysis provides a regret upper bound of O(sigma^2 d log T) + o(log T), where d is the dimension of the input vector, T is the total number of rounds. We also prove a Omega(sigma^2dlog(T/d)) lower bound for stochastic online linear regression, which indicates that our upper bound is nearly optimal. In addition, we extend our analysis to a more refined Bernstein noise condition. As an application, we study generalized linear bandits with heteroscedastic noise and propose an algorithm based on FTRL to achieve the first variance-aware regret bound.

We introduce a multi-fidelity estimator of covariance matrices that employs the log-Euclidean geometry of the symmetric positive-definite manifold. The estimator fuses samples from a hierarchy of data sources of differing fidelities and costs for variance reduction while guaranteeing definiteness, in contrast with previous approaches. The new estimator makes covariance estimation tractable in applications where simulation or data collection is expensive; to that end, we develop an optimal sample allocation scheme that minimizes the mean-squared error of the estimator given a fixed budget. Guaranteed definiteness is crucial to metric learning, data assimilation, and other downstream tasks. Evaluations of our approach using data from physical applications (heat conduction, fluid dynamics) demonstrate more accurate metric learning and speedups of more than one order of magnitude compared to benchmarks.

This article investigates signal estimation in wireless transmission (i.e., receive beamforming) from the perspective of statistical machine learning, where the transmit signals may be from an integrated sensing and communication system; that is, 1) signals may be not only discrete constellation points but also arbitrary complex values; 2) signals may be spatially correlated. Particular attention is paid to handling various uncertainties such as the uncertainty of the transmit signal covariance, the uncertainty of the channel matrix, the uncertainty of the channel noise covariance, the existence of channel impulse noises, and the limited sample size of pilots. To proceed, a distributionally robust machine learning framework that is insensitive to the above uncertainties is proposed, which reveals that channel estimation is not a necessary operation. For optimal linear estimation, the proposed framework includes several existing beamformers as special cases such as diagonal loading and eigenvalue thresholding. For optimal nonlinear estimation, estimators are limited in reproducing kernel Hilbert spaces and neural network function spaces, and corresponding uncertainty-aware solutions (e.g., kernelized diagonal loading) are derived. In addition, we prove that the ridge and kernel ridge regression methods in machine learning are distributionally robust against diagonal perturbation in feature covariance.

Solving linear systems of equations is a common problem that arises both on its own and as a subroutine in more complex problems: given a matrix A and a vector b, find a vector x such that Ax=b. We consider the case where one doesn't need to know the solution x itself, but rather an approximation of the expectation value of some operator associated with x, e.g., x'Mx for some matrix M. In this case, when A is sparse, N by N and has condition number kappa, classical algorithms can find x and estimate x'Mx in O(N sqrt(kappa)) time. Here, we exhibit a quantum algorithm for this task that runs in poly(log N, kappa) time, an exponential improvement over the best classical algorithm.

The quality of many modern machine learning models improves as model complexity increases, an effect that has been quantified, for predictive performance, with the non-monotonic double descent learning curve. Here, we address the overarching question: is there an analogous theory of double descent for models which estimate uncertainty? We provide a partially affirmative and partially negative answer in the setting of Gaussian processes (GP). Under standard assumptions, we prove that higher model quality for optimally-tuned GPs (including uncertainty prediction) under marginal likelihood is realized for larger input dimensions, and therefore exhibits a monotone error curve. After showing that marginal likelihood does not naturally exhibit double descent in the input dimension, we highlight related forms of posterior predictive loss that do exhibit non-monotonicity. Finally, we verify empirically that our results hold for real data, beyond our considered assumptions, and we explore consequences involving synthetic covariates.

In this work, we derive sharp non-asymptotic deviation bounds for weighted sums of Dirichlet random variables. These bounds are based on a novel integral representation of the density of a weighted Dirichlet sum. This representation allows us to obtain a Gaussian-like approximation for the sum distribution using geometry and complex analysis methods. Our results generalize similar bounds for the Beta distribution obtained in the seminal paper Alfers and Dinges [1984]. Additionally, our results can be considered a sharp non-asymptotic version of the inverse of Sanov's theorem studied by Ganesh and O'Connell [1999] in the Bayesian setting. Based on these results, we derive new deviation bounds for the Dirichlet process posterior means with application to Bayesian bootstrap. Finally, we apply our estimates to the analysis of the Multinomial Thompson Sampling (TS) algorithm in multi-armed bandits and significantly sharpen the existing regret bounds by making them independent of the size of the arms distribution support.

We seek to understand fundamental tradeoffs between the accuracy of prior information that a learner has on a given problem and its learning performance. We introduce the notion of prioritized risk, which differs from traditional notions of minimax and Bayes risk by allowing us to study such fundamental tradeoffs in settings where reality does not necessarily conform to the learner's prior. We present a general reduction-based approach for extending classical minimax lower-bound techniques in order to lower bound the prioritized risk for statistical estimation problems. We also introduce a novel generalization of Fano's inequality (which may be of independent interest) for lower bounding the prioritized risk in more general settings involving unbounded losses. We illustrate the ability of our framework to provide insights into tradeoffs between prior information and learning performance for problems in estimation, regression, and reinforcement learning.

We consider the problem of estimating (diagonally dominant) M-matrices as precision matrices in Gaussian graphical models. These models exhibit intriguing properties, such as the existence of the maximum likelihood estimator with merely two observations for M-matrices lauritzen2019maximum,slawski2015estimation and even one observation for diagonally dominant M-matrices truell2021maximum. We propose an adaptive multiple-stage estimation method that refines the estimate by solving a weighted ell_1-regularized problem at each stage. Furthermore, we develop a unified framework based on the gradient projection method to solve the regularized problem, incorporating distinct projections to handle the constraints of M-matrices and diagonally dominant M-matrices. A theoretical analysis of the estimation error is provided. Our method outperforms state-of-the-art methods in precision matrix estimation and graph edge identification, as evidenced by synthetic and financial time-series data sets.

In this paper, we find a sample complexity bound for learning a simplex from noisy samples. Assume a dataset of size n is given which includes i.i.d. samples drawn from a uniform distribution over an unknown simplex in R^K, where samples are assumed to be corrupted by a multi-variate additive Gaussian noise of an arbitrary magnitude. We prove the existence of an algorithm that with high probability outputs a simplex having a ell_2 distance of at most varepsilon from the true simplex (for any varepsilon>0). Also, we theoretically show that in order to achieve this bound, it is sufficient to have ngeleft(K^2/varepsilon^2right)e^{Omegaleft(K/SNR^2right)} samples, where SNR stands for the signal-to-noise ratio. This result solves an important open problem and shows as long as SNRgeOmegaleft(K^{1/2}right), the sample complexity of the noisy regime has the same order to that of the noiseless case. Our proofs are a combination of the so-called sample compression technique in ashtiani2018nearly, mathematical tools from high-dimensional geometry, and Fourier analysis. In particular, we have proposed a general Fourier-based technique for recovery of a more general class of distribution families from additive Gaussian noise, which can be further used in a variety of other related problems.

To minimize the average of a set of log-convex functions, the stochastic Newton method iteratively updates its estimate using subsampled versions of the full objective's gradient and Hessian. We contextualize this optimization problem as sequential Bayesian inference on a latent state-space model with a discriminatively-specified observation process. Applying Bayesian filtering then yields a novel optimization algorithm that considers the entire history of gradients and Hessians when forming an update. We establish matrix-based conditions under which the effect of older observations diminishes over time, in a manner analogous to Polyak's heavy ball momentum. We illustrate various aspects of our approach with an example and review other relevant innovations for the stochastic Newton method.

We study the problem of designing minimax procedures in linear regression under the quantile risk. We start by considering the realizable setting with independent Gaussian noise, where for any given noise level and distribution of inputs, we obtain the exact minimax quantile risk for a rich family of error functions and establish the minimaxity of OLS. This improves on the known lower bounds for the special case of square error, and provides us with a lower bound on the minimax quantile risk over larger sets of distributions. Under the square error and a fourth moment assumption on the distribution of inputs, we show that this lower bound is tight over a larger class of problems. Specifically, we prove a matching upper bound on the worst-case quantile risk of a variant of the recently proposed min-max regression procedure, thereby establishing its minimaxity, up to absolute constants. We illustrate the usefulness of our approach by extending this result to all p-th power error functions for p in (2, infty). Along the way, we develop a generic analogue to the classical Bayesian method for lower bounding the minimax risk when working with the quantile risk, as well as a tight characterization of the quantiles of the smallest eigenvalue of the sample covariance matrix.

We initiate the study of proper losses for evaluating generative models in the discrete setting. Unlike traditional proper losses, we treat both the generative model and the target distribution as black-boxes, only assuming ability to draw i.i.d. samples. We define a loss to be black-box proper if the generative distribution that minimizes expected loss is equal to the target distribution. Using techniques from statistical estimation theory, we give a general construction and characterization of black-box proper losses: they must take a polynomial form, and the number of draws from the model and target distribution must exceed the degree of the polynomial. The characterization rules out a loss whose expectation is the cross-entropy between the target distribution and the model. By extending the construction to arbitrary sampling schemes such as Poisson sampling, however, we show that one can construct such a loss.

We give a classical analogue to Kerenidis and Prakash's quantum recommendation system, previously believed to be one of the strongest candidates for provably exponential speedups in quantum machine learning. Our main result is an algorithm that, given an m times n matrix in a data structure supporting certain ell^2-norm sampling operations, outputs an ell^2-norm sample from a rank-k approximation of that matrix in time O(poly(k)log(mn)), only polynomially slower than the quantum algorithm. As a consequence, Kerenidis and Prakash's algorithm does not in fact give an exponential speedup over classical algorithms. Further, under strong input assumptions, the classical recommendation system resulting from our algorithm produces recommendations exponentially faster than previous classical systems, which run in time linear in m and n. The main insight of this work is the use of simple routines to manipulate ell^2-norm sampling distributions, which play the role of quantum superpositions in the classical setting. This correspondence indicates a potentially fruitful framework for formally comparing quantum machine learning algorithms to classical machine learning algorithms.

Given a stationary state-space model that relates a sequence of hidden states and corresponding measurements or observations, Bayesian filtering provides a principled statistical framework for inferring the posterior distribution of the current state given all measurements up to the present time. For example, the Apollo lunar module implemented a Kalman filter to infer its location from a sequence of earth-based radar measurements and land safely on the moon. To perform Bayesian filtering, we require a measurement model that describes the conditional distribution of each observation given state. The Kalman filter takes this measurement model to be linear, Gaussian. Here we show how a nonlinear, Gaussian approximation to the distribution of state given observation can be used in conjunction with Bayes' rule to build a nonlinear, non-Gaussian measurement model. The resulting approach, called the Discriminative Kalman Filter (DKF), retains fast closed-form updates for the posterior. We argue there are many cases where the distribution of state given measurement is better-approximated as Gaussian, especially when the dimensionality of measurements far exceeds that of states and the Bernstein-von Mises theorem applies. Online neural decoding for brain-computer interfaces provides a motivating example, where filtering incorporates increasingly detailed measurements of neural activity to provide users control over external devices. Within the BrainGate2 clinical trial, the DKF successfully enabled three volunteers with quadriplegia to control an on-screen cursor in real-time using mental imagery alone. Participant "T9" used the DKF to type out messages on a tablet PC.

Moment restrictions and their conditional counterparts emerge in many areas of machine learning and statistics ranging from causal inference to reinforcement learning. Estimators for these tasks, generally called methods of moments, include the prominent generalized method of moments (GMM) which has recently gained attention in causal inference. GMM is a special case of the broader family of empirical likelihood estimators which are based on approximating a population distribution by means of minimizing a varphi-divergence to an empirical distribution. However, the use of varphi-divergences effectively limits the candidate distributions to reweightings of the data samples. We lift this long-standing limitation and provide a method of moments that goes beyond data reweighting. This is achieved by defining an empirical likelihood estimator based on maximum mean discrepancy which we term the kernel method of moments (KMM). We provide a variant of our estimator for conditional moment restrictions and show that it is asymptotically first-order optimal for such problems. Finally, we show that our method achieves competitive performance on several conditional moment restriction tasks.

We introduce a theoretical framework for sampling from unnormalized densities based on a smoothing scheme that uses an isotropic Gaussian kernel with a single fixed noise scale. We prove one can decompose sampling from a density (minimal assumptions made on the density) into a sequence of sampling from log-concave conditional densities via accumulation of noisy measurements with equal noise levels. Our construction is unique in that it keeps track of a history of samples, making it non-Markovian as a whole, but it is lightweight algorithmically as the history only shows up in the form of a running empirical mean of samples. Our sampling algorithm generalizes walk-jump sampling (Saremi & Hyv\"arinen, 2019). The "walk" phase becomes a (non-Markovian) chain of (log-concave) Markov chains. The "jump" from the accumulated measurements is obtained by empirical Bayes. We study our sampling algorithm quantitatively using the 2-Wasserstein metric and compare it with various Langevin MCMC algorithms. We also report a remarkable capacity of our algorithm to "tunnel" between modes of a distribution.

We consider the problem of approximating a function from L^2 by an element of a given m-dimensional space V_m, associated with some feature map varphi, using evaluations of the function at random points x_1,dots,x_n. After recalling some results on optimal weighted least-squares using independent and identically distributed points, we consider weighted least-squares using projection determinantal point processes (DPP) or volume sampling. These distributions introduce dependence between the points that promotes diversity in the selected features varphi(x_i). We first provide a generalized version of volume-rescaled sampling yielding quasi-optimality results in expectation with a number of samples n = O(mlog(m)), that means that the expected L^2 error is bounded by a constant times the best approximation error in L^2. Also, further assuming that the function is in some normed vector space H continuously embedded in L^2, we further prove that the approximation is almost surely bounded by the best approximation error measured in the H-norm. This includes the cases of functions from L^infty or reproducing kernel Hilbert spaces. Finally, we present an alternative strategy consisting in using independent repetitions of projection DPP (or volume sampling), yielding similar error bounds as with i.i.d. or volume sampling, but in practice with a much lower number of samples. Numerical experiments illustrate the performance of the different strategies.

Variational inference (VI) seeks to approximate a target distribution pi by an element of a tractable family of distributions. Of key interest in statistics and machine learning is Gaussian VI, which approximates pi by minimizing the Kullback-Leibler (KL) divergence to pi over the space of Gaussians. In this work, we develop the (Stochastic) Forward-Backward Gaussian Variational Inference (FB-GVI) algorithm to solve Gaussian VI. Our approach exploits the composite structure of the KL divergence, which can be written as the sum of a smooth term (the potential) and a non-smooth term (the entropy) over the Bures-Wasserstein (BW) space of Gaussians endowed with the Wasserstein distance. For our proposed algorithm, we obtain state-of-the-art convergence guarantees when pi is log-smooth and log-concave, as well as the first convergence guarantees to first-order stationary solutions when pi is only log-smooth.

In this work, we present a variety of novel information-theoretic generalization bounds for learning algorithms, from the supersample setting of Steinke & Zakynthinou (2020)-the setting of the "conditional mutual information" framework. Our development exploits projecting the loss pair (obtained from a training instance and a testing instance) down to a single number and correlating loss values with a Rademacher sequence (and its shifted variants). The presented bounds include square-root bounds, fast-rate bounds, including those based on variance and sharpness, and bounds for interpolating algorithms etc. We show theoretically or empirically that these bounds are tighter than all information-theoretic bounds known to date on the same supersample setting.

The aim of this paper is to present an elementary computable theory of probability, random variables and stochastic processes. The probability theory is baed on existing approaches using valuations and lower integrals. Various approaches to random variables are discussed, including the approach based on completions in a Polish space. We apply the theory to the study of stochastic dynamical systems in discrete-time, and give a brief exposition of the Wiener process as a foundation for stochastic differential equations. The theory is based within the framework of type-two effectivity, so has an explicit direct link with Turing computation, and is expressed in a system of computable types and operations, so has a clean mathematical description.

We investigate statistical properties of a likelihood approach to nonparametric estimation of a singular distribution using deep generative models. More specifically, a deep generative model is used to model high-dimensional data that are assumed to concentrate around some low-dimensional structure. Estimating the distribution supported on this low-dimensional structure, such as a low-dimensional manifold, is challenging due to its singularity with respect to the Lebesgue measure in the ambient space. In the considered model, a usual likelihood approach can fail to estimate the target distribution consistently due to the singularity. We prove that a novel and effective solution exists by perturbing the data with an instance noise, which leads to consistent estimation of the underlying distribution with desirable convergence rates. We also characterize the class of distributions that can be efficiently estimated via deep generative models. This class is sufficiently general to contain various structured distributions such as product distributions, classically smooth distributions and distributions supported on a low-dimensional manifold. Our analysis provides some insights on how deep generative models can avoid the curse of dimensionality for nonparametric distribution estimation. We conduct a thorough simulation study and real data analysis to empirically demonstrate that the proposed data perturbation technique improves the estimation performance significantly.

In this work we take a Category Theoretic perspective on the relationship between probabilistic modeling and function approximation. We begin by defining two extensions of function composition to stochastic process subordination: one based on the co-Kleisli category under the comonad (Omega x -) and one based on the parameterization of a category with a Lawvere theory. We show how these extensions relate to the category Stoch and other Markov Categories. Next, we apply the Para construction to extend stochastic processes to parameterized statistical models and we define a way to compose the likelihood functions of these models. We conclude with a demonstration of how the Maximum Likelihood Estimation procedure defines an identity-on-objects functor from the category of statistical models to the category of Learners. Code to accompany this paper can be found at https://github.com/dshieble/Categorical_Stochastic_Processes_and_Likelihood

The estimation of repeatedly nested expectations is a challenging task that arises in many real-world systems. However, existing methods generally suffer from high computational costs when the number of nestings becomes large. Fix any non-negative integer D for the total number of nestings. Standard Monte Carlo methods typically cost at least O(varepsilon^{-(2+D)}) and sometimes O(varepsilon^{-2(1+D)}) to obtain an estimator up to varepsilon-error. More advanced methods, such as multilevel Monte Carlo, currently only exist for D = 1. In this paper, we propose a novel Monte Carlo estimator called READ, which stands for "Recursive Estimator for Arbitrary Depth.'' Our estimator has an optimal computational cost of O(varepsilon^{-2}) for every fixed D under suitable assumptions, and a nearly optimal computational cost of O(varepsilon^{-2(1 + delta)}) for any 0 < delta < frac12 under much more general assumptions. Our estimator is also unbiased, which makes it easy to parallelize. The key ingredients in our construction are an observation of the problem's recursive structure and the recursive use of the randomized multilevel Monte Carlo method.

We study the class of location-scale or heteroscedastic noise models (LSNMs), in which the effect Y can be written as a function of the cause X and a noise source N independent of X, which may be scaled by a positive function g over the cause, i.e., Y = f(X) + g(X)N. Despite the generality of the model class, we show the causal direction is identifiable up to some pathological cases. To empirically validate these theoretical findings, we propose two estimators for LSNMs: an estimator based on (non-linear) feature maps, and one based on neural networks. Both model the conditional distribution of Y given X as a Gaussian parameterized by its natural parameters. When the feature maps are correctly specified, we prove that our estimator is jointly concave, and a consistent estimator for the cause-effect identification task. Although the the neural network does not inherit those guarantees, it can fit functions of arbitrary complexity, and reaches state-of-the-art performance across benchmarks.

We study nonparametric density estimation in non-stationary drift settings. Given a sequence of independent samples taken from a distribution that gradually changes in time, the goal is to compute the best estimate for the current distribution. We prove tight minimax risk bounds for both discrete and continuous smooth densities, where the minimum is over all possible estimates and the maximum is over all possible distributions that satisfy the drift constraints. Our technique handles a broad class of drift models, and generalizes previous results on agnostic learning under drift.

Computational sensing strategies often suffer from calibration errors in the physical implementation of their ideal sensing models. Such uncertainties are typically addressed by using multiple, accurately chosen training signals to recover the missing information on the sensing model, an approach that can be resource-consuming and cumbersome. Conversely, blind calibration does not employ any training signal, but corresponds to a bilinear inverse problem whose algorithmic solution is an open issue. We here address blind calibration as a non-convex problem for linear random sensing models, in which we aim to recover an unknown signal from its projections on sub-Gaussian random vectors, each subject to an unknown positive multiplicative factor (or gain). To solve this optimisation problem we resort to projected gradient descent starting from a suitable, carefully chosen initialisation point. An analysis of this algorithm allows us to show that it converges to the exact solution provided a sample complexity requirement is met, i.e., relating convergence to the amount of information collected during the sensing process. Interestingly, we show that this requirement grows linearly (up to log factors) in the number of unknowns of the problem. This sample complexity is found both in absence of prior information, as well as when subspace priors are available for both the signal and gains, allowing a further reduction of the number of observations required for our recovery guarantees to hold. Moreover, in the presence of noise we show how our descent algorithm yields a solution whose accuracy degrades gracefully with the amount of noise affecting the measurements. Finally, we present some numerical experiments in an imaging context, where our algorithm allows for a simple solution to blind calibration of the gains in a sensor array.

The observations in many applications consist of counts of discrete events, such as photons hitting a detector, which cannot be effectively modeled using an additive bounded or Gaussian noise model, and instead require a Poisson noise model. As a result, accurate reconstruction of a spatially or temporally distributed phenomenon (f*) from Poisson data (y) cannot be effectively accomplished by minimizing a conventional penalized least-squares objective function. The problem addressed in this paper is the estimation of f* from y in an inverse problem setting, where (a) the number of unknowns may potentially be larger than the number of observations and (b) f* admits a sparse approximation. The optimization formulation considered in this paper uses a penalized negative Poisson log-likelihood objective function with nonnegativity constraints (since Poisson intensities are naturally nonnegative). In particular, the proposed approach incorporates key ideas of using separable quadratic approximations to the objective function at each iteration and penalization terms related to l1 norms of coefficient vectors, total variation seminorms, and partition-based multiscale estimation methods.

Bayesian filtering approximates the true underlying behavior of a time-varying system by inverting an explicit generative model to convert noisy measurements into state estimates. This process typically requires either storage, inversion, and multiplication of large matrices or Monte Carlo estimation, neither of which are practical in high-dimensional state spaces such as the weight spaces of artificial neural networks. Here, we frame the standard Bayesian filtering problem as optimization over a time-varying objective. Instead of maintaining matrices for the filtering equations or simulating particles, we specify an optimizer that defines the Bayesian filter implicitly. In the linear-Gaussian setting, we show that every Kalman filter has an equivalent formulation using K steps of gradient descent. In the nonlinear setting, our experiments demonstrate that our framework results in filters that are effective, robust, and scalable to high-dimensional systems, comparing well against the standard toolbox of Bayesian filtering solutions. We suggest that it is easier to fine-tune an optimizer than it is to specify the correct filtering equations, making our framework an attractive option for high-dimensional filtering problems.

We develop a framework for non-asymptotic analysis of deterministic samplers used for diffusion generative modeling. Several recent works have analyzed stochastic samplers using tools like Girsanov's theorem and a chain rule variant of the interpolation argument. Unfortunately, these techniques give vacuous bounds when applied to deterministic samplers. We give a new operational interpretation for deterministic sampling by showing that one step along the probability flow ODE can be expressed as two steps: 1) a restoration step that runs gradient ascent on the conditional log-likelihood at some infinitesimally previous time, and 2) a degradation step that runs the forward process using noise pointing back towards the current iterate. This perspective allows us to extend denoising diffusion implicit models to general, non-linear forward processes. We then develop the first polynomial convergence bounds for these samplers under mild conditions on the data distribution.

Most bandit algorithms assume that the reward variances or their upper bounds are known, and that they are the same for all arms. This naturally leads to suboptimal performance and higher regret due to variance overestimation. On the other hand, underestimated reward variances may lead to linear regret due to committing early to a suboptimal arm. This motivated prior works on variance-adaptive frequentist algorithms, which have strong instance-dependent regret bounds but cannot incorporate prior knowledge on reward variances. We lay foundations for the Bayesian setting, which incorporates prior knowledge. This results in lower regret in practice, due to using the prior in the algorithm design, and also improved regret guarantees. Specifically, we study Gaussian bandits with {unknown heterogeneous reward variances}, and develop a Thompson sampling algorithm with prior-dependent Bayes regret bounds. We achieve lower regret with lower reward variances and more informative priors on them, which is precisely why we pay only for what is uncertain. This is the first result of its kind. Finally, we corroborate our theory with extensive experiments, which show the superiority of our variance-adaptive Bayesian algorithm over prior frequentist approaches. We also show that our approach is robust to model misspecification and can be applied with estimated priors.

We prove new convergence rates for a generalized version of stochastic Nesterov acceleration under interpolation conditions. Unlike previous analyses, our approach accelerates any stochastic gradient method which makes sufficient progress in expectation. The proof, which proceeds using the estimating sequences framework, applies to both convex and strongly convex functions and is easily specialized to accelerated SGD under the strong growth condition. In this special case, our analysis reduces the dependence on the strong growth constant from rho to rho as compared to prior work. This improvement is comparable to a square-root of the condition number in the worst case and address criticism that guarantees for stochastic acceleration could be worse than those for SGD.

We study the problem of learning mixtures of Gaussians with censored data. Statistical learning with censored data is a classical problem, with numerous practical applications, however, finite-sample guarantees for even simple latent variable models such as Gaussian mixtures are missing. Formally, we are given censored data from a mixture of univariate Gaussians $sum_{i=1}^k w_i N(mu_i,sigma^2), i.e. the sample is observed only if it lies inside a set S. The goal is to learn the weights w_i and the means \mu_i. We propose an algorithm that takes only 1{\varepsilon^{O(k)}} samples to estimate the weights w_i and the means \mu_i within \varepsilon$ error.

We propose a direct estimation method for R\'{e}nyi and f-divergence measures based on a new graph theoretical interpretation. Suppose that we are given two sample sets X and Y, respectively with N and M samples, where eta:=M/N is a constant value. Considering the k-nearest neighbor (k-NN) graph of Y in the joint data set (X,Y), we show that the average powered ratio of the number of X points to the number of Y points among all k-NN points is proportional to R\'{e}nyi divergence of X and Y densities. A similar method can also be used to estimate f-divergence measures. We derive bias and variance rates, and show that for the class of gamma-H\"{o}lder smooth functions, the estimator achieves the MSE rate of O(N^{-2gamma/(gamma+d)}). Furthermore, by using a weighted ensemble estimation technique, for density functions with continuous and bounded derivatives of up to the order d, and some extra conditions at the support set boundary, we derive an ensemble estimator that achieves the parametric MSE rate of O(1/N). Our estimators are more computationally tractable than other competing estimators, which makes them appealing in many practical applications.

In recent years, multiple notions of algorithmic fairness have arisen. One such notion is individual fairness (IF), which requires that individuals who are similar receive similar treatment. In parallel, matrix estimation (ME) has emerged as a natural paradigm for handling noisy data with missing values. In this work, we connect the two concepts. We show that pre-processing data using ME can improve an algorithm's IF without sacrificing performance. Specifically, we show that using a popular ME method known as singular value thresholding (SVT) to pre-process the data provides a strong IF guarantee under appropriate conditions. We then show that, under analogous conditions, SVT pre-processing also yields estimates that are consistent and approximately minimax optimal. As such, the ME pre-processing step does not, under the stated conditions, increase the prediction error of the base algorithm, i.e., does not impose a fairness-performance trade-off. We verify these results on synthetic and real data.

In this manuscript we consider the problem of generalized linear estimation on Gaussian mixture data with labels given by a single-index model. Our first result is a sharp asymptotic expression for the test and training errors in the high-dimensional regime. Motivated by the recent stream of results on the Gaussian universality of the test and training errors in generalized linear estimation, we ask ourselves the question: "when is a single Gaussian enough to characterize the error?". Our formula allow us to give sharp answers to this question, both in the positive and negative directions. More precisely, we show that the sufficient conditions for Gaussian universality (or lack of thereof) crucially depend on the alignment between the target weights and the means and covariances of the mixture clusters, which we precisely quantify. In the particular case of least-squares interpolation, we prove a strong universality property of the training error, and show it follows a simple, closed-form expression. Finally, we apply our results to real datasets, clarifying some recent discussion in the literature about Gaussian universality of the errors in this context.

Sparse linear regression is one of the most basic questions in machine learning and statistics. Here, we are given as input a design matrix X in R^{N times d} and measurements or labels {y} in R^N where {y} = {X} {w}^* + {xi}, and {xi} is the noise in the measurements. Importantly, we have the additional constraint that the unknown signal vector {w}^* is sparse: it has k non-zero entries where k is much smaller than the ambient dimension. Our goal is to output a prediction vector {w} that has small prediction error: 1{N}cdot |{X} {w}^* - {X} {w}|^2_2. Information-theoretically, we know what is best possible in terms of measurements: under most natural noise distributions, we can get prediction error at most epsilon with roughly N = O(k log d/epsilon) samples. Computationally, this currently needs d^{Omega(k)} run-time. Alternately, with N = O(d), we can get polynomial-time. Thus, there is an exponential gap (in the dependence on d) between the two and we do not know if it is possible to get d^{o(k)} run-time and o(d) samples. We give the first generic positive result for worst-case design matrices {X}: For any {X}, we show that if the support of {w}^* is chosen at random, we can get prediction error epsilon with N = poly(k, log d, 1/epsilon) samples and run-time poly(d,N). This run-time holds for any design matrix {X} with condition number up to 2^{poly(d)}. Previously, such results were known for worst-case {w}^*, but only for random design matrices from well-behaved families, matrices that have a very low condition number (poly(log d); e.g., as studied in compressed sensing), or those with special structural properties.

We study the bi-parameter local linearization of the one-dimensional nonlinear stochastic wave equation driven by a Gaussian noise, which is white in time and has a spatially homogeneous covariance structure of Riesz-kernel type. We establish that the second-order increments of the solution can be approximated by those of the corresponding linearized wave equation, modulated by the diffusion coefficient. These findings extend the previous results of Huang et al. HOO2024, which addressed the case of space-time white noise. As applications, we analyze the quadratic variation of the solution and construct a consistent estimator for the diffusion parameter.

The choice of approximate posterior distribution is one of the core problems in variational inference. Most applications of variational inference employ simple families of posterior approximations in order to allow for efficient inference, focusing on mean-field or other simple structured approximations. This restriction has a significant impact on the quality of inferences made using variational methods. We introduce a new approach for specifying flexible, arbitrarily complex and scalable approximate posterior distributions. Our approximations are distributions constructed through a normalizing flow, whereby a simple initial density is transformed into a more complex one by applying a sequence of invertible transformations until a desired level of complexity is attained. We use this view of normalizing flows to develop categories of finite and infinitesimal flows and provide a unified view of approaches for constructing rich posterior approximations. We demonstrate that the theoretical advantages of having posteriors that better match the true posterior, combined with the scalability of amortized variational approaches, provides a clear improvement in performance and applicability of variational inference.

We study the problem of approximating stationary points of Lipschitz and smooth functions under (varepsilon,delta)-differential privacy (DP) in both the finite-sum and stochastic settings. A point w is called an alpha-stationary point of a function F:R^drightarrowR if |nabla F(w)|leq alpha. We provide a new efficient algorithm that finds an Obig(big[sqrt{d}{nvarepsilon}big]^{2/3}big)-stationary point in the finite-sum setting, where n is the number of samples. This improves on the previous best rate of Obig(big[sqrt{d}{nvarepsilon}big]^{1/2}big). We also give a new construction that improves over the existing rates in the stochastic optimization setting, where the goal is to find approximate stationary points of the population risk. Our construction finds a Obig(1{n^{1/3}} + big[sqrt{d}{nvarepsilon}big]^{1/2}big)-stationary point of the population risk in time linear in n. Furthermore, under the additional assumption of convexity, we completely characterize the sample complexity of finding stationary points of the population risk (up to polylog factors) and show that the optimal rate on population stationarity is tilde Thetabig(1{n}+sqrt{d}{nvarepsilon}big). Finally, we show that our methods can be used to provide dimension-independent rates of Obig(1{n}+minbig(big[sqrt{rank}{nvarepsilon}big]^{2/3},1{(nvarepsilon)^{2/5}}big)big) on population stationarity for Generalized Linear Models (GLM), where rank is the rank of the design matrix, which improves upon the previous best known rate.

This paper introduces a structural equation formulation that gives rise to a new family of quasi-periodic Gaussian processes, useful to process a broad class of natural and physiological signals. The proposed formulation simplifies generation and forecasting, and provides hyperparameter estimates, which we exploit in a convergent and consistent iterative estimation algorithm. A bootstrap approach for standard error estimation and confidence intervals is also provided. We demonstrate the computational and scaling benefits of the proposed approach on a broad class of problems, including water level tidal analysis, CO_{2} emission data, and sunspot numbers data. By leveraging the structural equations, our method reduces the cost of likelihood evaluations and predictions from O(k^2 p^2) to O(p^2), significantly improving scalability.

A Lie group is an old mathematical abstract object dating back to the XIX century, when mathematician Sophus Lie laid the foundations of the theory of continuous transformation groups. As it often happens, its usage has spread over diverse areas of science and technology many years later. In robotics, we are recently experiencing an important trend in its usage, at least in the fields of estimation, and particularly in motion estimation for navigation. Yet for a vast majority of roboticians, Lie groups are highly abstract constructions and therefore difficult to understand and to use. This may be due to the fact that most of the literature on Lie theory is written by and for mathematicians and physicists, who might be more used than us to the deep abstractions this theory deals with. In estimation for robotics it is often not necessary to exploit the full capacity of the theory, and therefore an effort of selection of materials is required. In this paper, we will walk through the most basic principles of the Lie theory, with the aim of conveying clear and useful ideas, and leave a significant corpus of the Lie theory behind. Even with this mutilation, the material included here has proven to be extremely useful in modern estimation algorithms for robotics, especially in the fields of SLAM, visual odometry, and the like. Alongside this micro Lie theory, we provide a chapter with a few application examples, and a vast reference of formulas for the major Lie groups used in robotics, including most jacobian matrices and the way to easily manipulate them. We also present a new C++ template-only library implementing all the functionality described here.

We present a modular semantic account of Bayesian inference algorithms for probabilistic programming languages, as used in data science and machine learning. Sophisticated inference algorithms are often explained in terms of composition of smaller parts. However, neither their theoretical justification nor their implementation reflects this modularity. We show how to conceptualise and analyse such inference algorithms as manipulating intermediate representations of probabilistic programs using higher-order functions and inductive types, and their denotational semantics. Semantic accounts of continuous distributions use measurable spaces. However, our use of higher-order functions presents a substantial technical difficulty: it is impossible to define a measurable space structure over the collection of measurable functions between arbitrary measurable spaces that is compatible with standard operations on those functions, such as function application. We overcome this difficulty using quasi-Borel spaces, a recently proposed mathematical structure that supports both function spaces and continuous distributions. We define a class of semantic structures for representing probabilistic programs, and semantic validity criteria for transformations of these representations in terms of distribution preservation. We develop a collection of building blocks for composing representations. We use these building blocks to validate common inference algorithms such as Sequential Monte Carlo and Markov Chain Monte Carlo. To emphasize the connection between the semantic manipulation and its traditional measure theoretic origins, we use Kock's synthetic measure theory. We demonstrate its usefulness by proving a quasi-Borel counterpart to the Metropolis-Hastings-Green theorem.

We introduce the Information-Estimation Metric (IEM), a novel form of distance function derived from an underlying continuous probability density over a domain of signals. The IEM is rooted in a fundamental relationship between information theory and estimation theory, which links the log-probability of a signal with the errors of an optimal denoiser, applied to noisy observations of the signal. In particular, the IEM between a pair of signals is obtained by comparing their denoising error vectors over a range of noise amplitudes. Geometrically, this amounts to comparing the score vector fields of the blurred density around the signals over a range of blur levels. We prove that the IEM is a valid global distance metric and derive a closed-form expression for its local second-order approximation, which yields a Riemannian metric. For Gaussian-distributed signals, the IEM coincides with the Mahalanobis distance. But for more complex distributions, it adapts, both locally and globally, to the geometry of the distribution. In practice, the IEM can be computed using a learned denoiser (analogous to generative diffusion models) and solving a one-dimensional integral. To demonstrate the value of our framework, we learn an IEM on the ImageNet database. Experiments show that this IEM is competitive with or outperforms state-of-the-art supervised image quality metrics in predicting human perceptual judgments.

Approximations to Gaussian processes based on inducing variables, combined with variational inference techniques, enable state-of-the-art sparse approaches to infer GPs at scale through mini batch-based learning. In this work, we address one limitation of sparse GPs, which is due to the challenge in dealing with a large number of inducing variables without imposing a special structure on the inducing inputs. In particular, we introduce a novel hierarchical prior, which imposes sparsity on the set of inducing variables. We treat our model variationally, and we experimentally show considerable computational gains compared to standard sparse GPs when sparsity on the inducing variables is realized considering the nearest inducing inputs of a random mini-batch of the data. We perform an extensive experimental validation that demonstrates the effectiveness of our approach compared to the state-of-the-art. Our approach enables the possibility to use sparse GPs using a large number of inducing points without incurring a prohibitive computational cost.

Whenever we use devices to take measurements, calibration is indispensable. While the purpose of calibration is to reduce bias and uncertainty in the measurements, it can be quite difficult, expensive, and sometimes even impossible to implement. We study a challenging problem called self-calibration, i.e., the task of designing an algorithm for devices so that the algorithm is able to perform calibration automatically. More precisely, we consider the setup y = A(d) x + epsilon where only partial information about the sensing matrix A(d) is known and where A(d) linearly depends on d. The goal is to estimate the calibration parameter d (resolve the uncertainty in the sensing process) and the signal/object of interests x simultaneously. For three different models of practical relevance, we show how such a bilinear inverse problem, including blind deconvolution as an important example, can be solved via a simple linear least squares approach. As a consequence, the proposed algorithms are numerically extremely efficient, thus potentially allowing for real-time deployment. We also present a variation of the least squares approach, which leads to a~spectral method, where the solution to the bilinear inverse problem can be found by computing the singular vector associated with the smallest singular value of a certain matrix derived from the bilinear system. Explicit theoretical guarantees and stability theory are derived for both techniques; and the number of sampling complexity is nearly optimal (up to a poly-log factor). Applications in imaging sciences and signal processing are discussed and numerical simulations are presented to demonstrate the effectiveness and efficiency of our approach.

In a previous paper it was shown that a machine learning regression problem can be solved within the framework of random function theory, with the optimal kernel analytically derived from symmetry and indifference principles and coinciding with a polyharmonic spline. However, a direct application of that solution is limited by O(N^3) computational cost and by a breakdown of the original theoretical assumptions when the input space has excessive dimensionality. This paper proposes a cascade architecture built from packages of polyharmonic splines that simultaneously addresses scalability and is theoretically justified for problems with unknown intrinsic low dimensionality. Efficient matrix procedures are presented for forward computation and end-to-end differentiation through the cascade.

Likelihood-free inference methods typically make use of a distance between simulated and real data. A common example is the maximum mean discrepancy (MMD), which has previously been used for approximate Bayesian computation, minimum distance estimation, generalised Bayesian inference, and within the nonparametric learning framework. The MMD is commonly estimated at a root-m rate, where m is the number of simulated samples. This can lead to significant computational challenges since a large m is required to obtain an accurate estimate, which is crucial for parameter estimation. In this paper, we propose a novel estimator for the MMD with significantly improved sample complexity. The estimator is particularly well suited for computationally expensive smooth simulators with low- to mid-dimensional inputs. This claim is supported through both theoretical results and an extensive simulation study on benchmark simulators.

This paper develops a new mathematical-statistical approach to analyze a class of Flajolet-Martin algorithms (FMa), and provides analytical confidence intervals for the number F0 of distinct elements in a stream, based on Chernoff bounds. The class of FMa has reached a significant popularity in bigdata stream learning, and the attention of the literature has mainly been based on algorithmic aspects, basically complexity optimality, while the statistical analysis of these class of algorithms has been often faced heuristically. The analysis provided here shows deep connections with mathematical special functions and with extreme value theory. The latter connection may help in explaining heuristic considerations, while the first opens many numerical issues, faced at the end of the present paper. Finally, the algorithms are tested on an anonymized real data stream and MonteCarlo simulations are provided to support our analytical choice in this context.

We consider the problem of estimating the optimal transport map between two probability distributions, P and Q in mathbb R^d, on the basis of i.i.d. samples. All existing statistical analyses of this problem require the assumption that the transport map is Lipschitz, a strong requirement that, in particular, excludes any examples where the transport map is discontinuous. As a first step towards developing estimation procedures for discontinuous maps, we consider the important special case where the data distribution Q is a discrete measure supported on a finite number of points in mathbb R^d. We study a computationally efficient estimator initially proposed by Pooladian and Niles-Weed (2021), based on entropic optimal transport, and show in the semi-discrete setting that it converges at the minimax-optimal rate n^{-1/2}, independent of dimension. Other standard map estimation techniques both lack finite-sample guarantees in this setting and provably suffer from the curse of dimensionality. We confirm these results in numerical experiments, and provide experiments for other settings, not covered by our theory, which indicate that the entropic estimator is a promising methodology for other discontinuous transport map estimation problems.

As an adaptive method, Shampoo employs a structured second-moment estimation, and its effectiveness has attracted growing attention. Prior work has primarily analyzed its estimation scheme through the Frobenius norm. Motivated by the natural connection between the second moment and a covariance matrix, we propose studying Shampoo's estimation as covariance estimation through the lens of Kullback-Leibler (KL) minimization. This alternative perspective reveals a previously hidden limitation, motivating improvements to Shampoo's design. Building on this insight, we develop a practical estimation scheme, termed KL-Shampoo, that eliminates Shampoo's reliance on Adam for stabilization, thereby removing the additional memory overhead introduced by Adam. Preliminary results show that KL-Shampoo improves Shampoo's performance, enabling it to stabilize without Adam and even outperform its Adam-stabilized variant, SOAP, in neural network pretraining.

A common statistical task lies in showing asymptotic normality of certain statistics. In many of these situations, classical textbook results on weak convergence theory suffice for the problem at hand. However, there are quite some scenarios where stronger results are needed in order to establish an asymptotic normal approximation uniformly over a family of probability measures. In this note we collect some results in this direction. We restrict ourselves to weak convergence in mathbb R^d with continuous limit measures.

Priors are essential for reconstructing images from noisy and/or incomplete measurements. The choice of the prior determines both the quality and uncertainty of recovered images. We propose turning score-based diffusion models into principled image priors ("score-based priors") for analyzing a posterior of images given measurements. Previously, probabilistic priors were limited to handcrafted regularizers and simple distributions. In this work, we empirically validate the theoretically-proven probability function of a score-based diffusion model. We show how to sample from resulting posteriors by using this probability function for variational inference. Our results, including experiments on denoising, deblurring, and interferometric imaging, suggest that score-based priors enable principled inference with a sophisticated, data-driven image prior.

This work derives methods for performing nonparametric, nonasymptotic statistical inference for population means under the constraint of local differential privacy (LDP). Given bounded observations (X_1, dots, X_n) with mean mu^star that are privatized into (Z_1, dots, Z_n), we present confidence intervals (CI) and time-uniform confidence sequences (CS) for mu^star when only given access to the privatized data. To achieve this, we introduce a nonparametric and sequentially interactive generalization of Warner's famous ``randomized response'' mechanism, satisfying LDP for arbitrary bounded random variables, and then provide CIs and CSs for their means given access to the resulting privatized observations. For example, our results yield private analogues of Hoeffding's inequality in both fixed-time and time-uniform regimes. We extend these Hoeffding-type CSs to capture time-varying (non-stationary) means, and conclude by illustrating how these methods can be used to conduct private online A/B tests.

Diffusion models are generative models that have recently demonstrated impressive performances in terms of sampling quality and density estimation in high dimensions. They rely on a forward continuous diffusion process and a backward continuous denoising process, which can be described by a time-dependent vector field and is used as a generative model. In the original formulation of the diffusion model, this vector field is assumed to be the score function (i.e. it is the gradient of the log-probability at a given time in the diffusion process). Curiously, on the practical side, most studies on diffusion models implement this vector field as a neural network function and do not constrain it be the gradient of some energy function (that is, most studies do not constrain the vector field to be conservative). Even though some studies investigated empirically whether such a constraint will lead to a performance gain, they lead to contradicting results and failed to provide analytical results. Here, we provide three analytical results regarding the extent of the modeling freedom of this vector field. {Firstly, we propose a novel decomposition of vector fields into a conservative component and an orthogonal component which satisfies a given (gauge) freedom. Secondly, from this orthogonal decomposition, we show that exact density estimation and exact sampling is achieved when the conservative component is exactly equals to the true score and therefore conservativity is neither necessary nor sufficient to obtain exact density estimation and exact sampling. Finally, we show that when it comes to inferring local information of the data manifold, constraining the vector field to be conservative is desirable.

Overparametrization often helps improve the generalization performance. This paper proposes a dual view of overparametrization suggesting that downsampling may also help generalize. Motivated by this dual view, we characterize two out-of-sample prediction risks of the sketched ridgeless least square estimator in the proportional regime masymp n asymp p, where m is the sketching size, n the sample size, and p the feature dimensionality. Our results reveal the statistical role of downsampling. Specifically, downsampling does not always hurt the generalization performance, and may actually help improve it in some cases. We identify the optimal sketching sizes that minimize the out-of-sample prediction risks, and find that the optimally sketched estimator has stabler risk curves that eliminates the peaks of those for the full-sample estimator. We then propose a practical procedure to empirically identify the optimal sketching size. Finally, we extend our results to cover central limit theorems and misspecified models. Numerical studies strongly support our theory.

Denoisers play a central role in many applications, from noise suppression in low-grade imaging sensors, to empowering score-based generative models. The latter category of methods makes use of Tweedie's formula, which links the posterior mean in Gaussian denoising (\ie the minimum MSE denoiser) with the score of the data distribution. Here, we derive a fundamental relation between the higher-order central moments of the posterior distribution, and the higher-order derivatives of the posterior mean. We harness this result for uncertainty quantification of pre-trained denoisers. Particularly, we show how to efficiently compute the principal components of the posterior distribution for any desired region of an image, as well as to approximate the full marginal distribution along those (or any other) one-dimensional directions. Our method is fast and memory-efficient, as it does not explicitly compute or store the high-order moment tensors and it requires no training or fine tuning of the denoiser. Code and examples are available on the project webpage in https://hilamanor.github.io/GaussianDenoisingPosterior/ .

We propose a federated averaging Langevin algorithm (FA-LD) for uncertainty quantification and mean predictions with distributed clients. In particular, we generalize beyond normal posterior distributions and consider a general class of models. We develop theoretical guarantees for FA-LD for strongly log-concave distributions with non-i.i.d data and study how the injected noise and the stochastic-gradient noise, the heterogeneity of data, and the varying learning rates affect the convergence. Such an analysis sheds light on the optimal choice of local updates to minimize communication costs. Important to our approach is that the communication efficiency does not deteriorate with the injected noise in the Langevin algorithms. In addition, we examine in our FA-LD algorithm both independent and correlated noise used over different clients. We observe there is a trade-off between the pairs among communication, accuracy, and data privacy. As local devices may become inactive in federated networks, we also show convergence results based on different averaging schemes where only partial device updates are available. In such a case, we discover an additional bias that does not decay to zero.

Physics is based on probabilities as fundamental entities of a mathematical description. Expectation values of observables are computed according to the classical statistical rule. The overall probability distribution for one world covers all times. The quantum formalism arises once one focuses on the evolution of the time-local probabilistic information. Wave functions or the density matrix allow the formulation of a general linear evolution law for classical statistics. The quantum formalism for classical statistics is a powerful tool which allows us to implement for generalized Ising models the momentum observable with the associated Fourier representation. The association of operators to observables permits the computation of expectation values in terms of the density matrix by the usual quantum rule. We show that probabilistic cellular automata are quantum systems in a formulation with discrete time steps and real wave functions. With a complex structure the evolution operator for automata can be expressed in terms of a Hamiltonian involving fermionic creation and annihilation operators. The time-local probabilistic information amounts to a subsystem of the overall probabilistic system which is correlated with its environment consisting of the past and future. Such subsystems typically involve probabilistic observables for which only a probability distribution for their possible measurement values is available. Incomplete statistics does not permit to compute classical correlation functions for arbitrary subsystem-observables. Bell's inequalities are not generally applicable.

For observational studies, we study the sensitivity of causal inference when treatment assignments may depend on unobserved confounders. We develop a loss minimization approach for estimating bounds on the conditional average treatment effect (CATE) when unobserved confounders have a bounded effect on the odds ratio of treatment selection. Our approach is scalable and allows flexible use of model classes in estimation, including nonparametric and black-box machine learning methods. Based on these bounds for the CATE, we propose a sensitivity analysis for the average treatment effect (ATE). Our semi-parametric estimator extends/bounds the augmented inverse propensity weighted (AIPW) estimator for the ATE under bounded unobserved confounding. By constructing a Neyman orthogonal score, our estimator of the bound for the ATE is a regular root-n estimator so long as the nuisance parameters are estimated at the o_p(n^{-1/4}) rate. We complement our methodology with optimality results showing that our proposed bounds are tight in certain cases. We demonstrate our method on simulated and real data examples, and show accurate coverage of our confidence intervals in practical finite sample regimes with rich covariate information.

To achieve scalable and accurate inference for latent Gaussian processes, we propose a variational approximation based on a family of Gaussian distributions whose covariance matrices have sparse inverse Cholesky (SIC) factors. We combine this variational approximation of the posterior with a similar and efficient SIC-restricted Kullback-Leibler-optimal approximation of the prior. We then focus on a particular SIC ordering and nearest-neighbor-based sparsity pattern resulting in highly accurate prior and posterior approximations. For this setting, our variational approximation can be computed via stochastic gradient descent in polylogarithmic time per iteration. We provide numerical comparisons showing that the proposed double-Kullback-Leibler-optimal Gaussian-process approximation (DKLGP) can sometimes be vastly more accurate for stationary kernels than alternative approaches such as inducing-point and mean-field approximations at similar computational complexity.

Diffusion models achieve state-of-the-art performance in various generation tasks. However, their theoretical foundations fall far behind. This paper studies score approximation, estimation, and distribution recovery of diffusion models, when data are supported on an unknown low-dimensional linear subspace. Our result provides sample complexity bounds for distribution estimation using diffusion models. We show that with a properly chosen neural network architecture, the score function can be both accurately approximated and efficiently estimated. Furthermore, the generated distribution based on the estimated score function captures the data geometric structures and converges to a close vicinity of the data distribution. The convergence rate depends on the subspace dimension, indicating that diffusion models can circumvent the curse of data ambient dimensionality.

We address the problem of learning the dynamics of an unknown non-parametric system linking a target and a feature time series. The feature time series is measured on a sparse and irregular grid, while we have access to only a few points of the target time series. Once learned, we can use these dynamics to predict values of the target from the previous values of the feature time series. We frame this task as learning the solution map of a controlled differential equation (CDE). By leveraging the rich theory of signatures, we are able to cast this non-linear problem as a high-dimensional linear regression. We provide an oracle bound on the prediction error which exhibits explicit dependencies on the individual-specific sampling schemes. Our theoretical results are illustrated by simulations which show that our method outperforms existing algorithms for recovering the full time series while being computationally cheap. We conclude by demonstrating its potential on real-world epidemiological data.

We revisit the theoretical properties of Hamiltonian stochastic differential equations (SDES) for Bayesian posterior sampling, and we study the two types of errors that arise from numerical SDE simulation: the discretization error and the error due to noisy gradient estimates in the context of data subsampling. Our main result is a novel analysis for the effect of mini-batches through the lens of differential operator splitting, revising previous literature results. The stochastic component of a Hamiltonian SDE is decoupled from the gradient noise, for which we make no normality assumptions. This leads to the identification of a convergence bottleneck: when considering mini-batches, the best achievable error rate is O(eta^2), with eta being the integrator step size. Our theoretical results are supported by an empirical study on a variety of regression and classification tasks for Bayesian neural networks.

Partial differential equations (PDEs) are important tools to model physical systems, and including them into machine learning models is an important way of incorporating physical knowledge. Given any system of linear PDEs with constant coefficients, we propose a family of Gaussian process (GP) priors, which we call EPGP, such that all realizations are exact solutions of this system. We apply the Ehrenpreis-Palamodov fundamental principle, which works like a non-linear Fourier transform, to construct GP kernels mirroring standard spectral methods for GPs. Our approach can infer probable solutions of linear PDE systems from any data such as noisy measurements, or pointwise defined initial and boundary conditions. Constructing EPGP-priors is algorithmic, generally applicable, and comes with a sparse version (S-EPGP) that learns the relevant spectral frequencies and works better for big data sets. We demonstrate our approach on three families of systems of PDE, the heat equation, wave equation, and Maxwell's equations, where we improve upon the state of the art in computation time and precision, in some experiments by several orders of magnitude.

A desired closure property in Bayesian probability is that an updated posterior distribution be in the same class of distributions --- say Gaussians --- as the prior distribution. When the updating takes place via a statistical model, one calls the class of prior distributions the `conjugate priors' of the model. This paper gives (1) an abstract formulation of this notion of conjugate prior, using channels, in a graphical language, (2) a simple abstract proof that such conjugate priors yield Bayesian inversions, and (3) a logical description of conjugate priors that highlights the required closure of the priors under updating. The theory is illustrated with several standard examples, also covering multiple updating.

In this paper, we study the problem of principal component analysis with generative modeling assumptions, adopting a general model for the observed matrix that encompasses notable special cases, including spiked matrix recovery and phase retrieval. The key assumption is that the underlying signal lies near the range of an L-Lipschitz continuous generative model with bounded k-dimensional inputs. We propose a quadratic estimator, and show that it enjoys a statistical rate of order frac{klog L{m}}, where m is the number of samples. We also provide a near-matching algorithm-independent lower bound. Moreover, we provide a variant of the classic power method, which projects the calculated data onto the range of the generative model during each iteration. We show that under suitable conditions, this method converges exponentially fast to a point achieving the above-mentioned statistical rate. We perform experiments on various image datasets for spiked matrix and phase retrieval models, and illustrate performance gains of our method to the classic power method and the truncated power method devised for sparse principal component analysis.

In observational studies, balancing covariates in different treatment groups is essential to estimate treatment effects. One of the most commonly used methods for such purposes is weighting. The performance of this class of methods usually depends on strong regularity conditions for the underlying model, which might not hold in practice. In this paper, we investigate weighting methods from a functional estimation perspective and argue that the weights needed for covariate balancing could differ from those needed for treatment effects estimation under low regularity conditions. Motivated by this observation, we introduce a new framework of weighting that directly targets the treatment effects estimation. Unlike existing methods, the resulting estimator for a treatment effect under this new framework is a simple kernel-based U-statistic after applying a data-driven transformation to the observed covariates. We characterize the theoretical properties of the new estimators of treatment effects under a nonparametric setting and show that they are able to work robustly under low regularity conditions. The new framework is also applied to several numerical examples to demonstrate its practical merits.

We consider the general class of time-homogeneous stochastic dynamical systems, both discrete and continuous, and study the problem of learning a representation of the state that faithfully captures its dynamics. This is instrumental to learning the transfer operator or the generator of the system, which in turn can be used for numerous tasks, such as forecasting and interpreting the system dynamics. We show that the search for a good representation can be cast as an optimization problem over neural networks. Our approach is supported by recent results in statistical learning theory, highlighting the role of approximation error and metric distortion in the learning problem. The objective function we propose is associated with projection operators from the representation space to the data space, overcomes metric distortion, and can be empirically estimated from data. In the discrete-time setting, we further derive a relaxed objective function that is differentiable and numerically well-conditioned. We compare our method against state-of-the-art approaches on different datasets, showing better performance across the board.

We give the first efficient algorithm for learning halfspaces in the testable learning model recently defined by Rubinfeld and Vasilyan (2023). In this model, a learner certifies that the accuracy of its output hypothesis is near optimal whenever the training set passes an associated test, and training sets drawn from some target distribution -- e.g., the Gaussian -- must pass the test. This model is more challenging than distribution-specific agnostic or Massart noise models where the learner is allowed to fail arbitrarily if the distributional assumption does not hold. We consider the setting where the target distribution is Gaussian (or more generally any strongly log-concave distribution) in d dimensions and the noise model is either Massart or adversarial (agnostic). For Massart noise, our tester-learner runs in polynomial time and outputs a hypothesis with (information-theoretically optimal) error opt + epsilon for any strongly log-concave target distribution. For adversarial noise, our tester-learner obtains error O(opt) + epsilon in polynomial time when the target distribution is Gaussian; for strongly log-concave distributions, we obtain O(opt) + epsilon in quasipolynomial time. Prior work on testable learning ignores the labels in the training set and checks that the empirical moments of the covariates are close to the moments of the base distribution. Here we develop new tests of independent interest that make critical use of the labels and combine them with the moment-matching approach of Gollakota et al. (2023). This enables us to simulate a variant of the algorithm of Diakonikolas et al. (2020) for learning noisy halfspaces using nonconvex SGD but in the testable learning setting.

Finding the mode of a high dimensional probability distribution D is a fundamental algorithmic problem in statistics and data analysis. There has been particular interest in efficient methods for solving the problem when D is represented as a mixture model or kernel density estimate, although few algorithmic results with worst-case approximation and runtime guarantees are known. In this work, we significantly generalize a result of (LeeLiMusco:2021) on mode approximation for Gaussian mixture models. We develop randomized dimensionality reduction methods for mixtures involving a broader class of kernels, including the popular logistic, sigmoid, and generalized Gaussian kernels. As in Lee et al.'s work, our dimensionality reduction results yield quasi-polynomial algorithms for mode finding with multiplicative accuracy (1-epsilon) for any epsilon > 0. Moreover, when combined with gradient descent, they yield efficient practical heuristics for the problem. In addition to our positive results, we prove a hardness result for box kernels, showing that there is no polynomial time algorithm for finding the mode of a kernel density estimate, unless P = NP. Obtaining similar hardness results for kernels used in practice (like Gaussian or logistic kernels) is an interesting future direction.

Enhancing the intelligibility and interpretability of machine learning is a crucial task in responding to the demand for Explicability as an AI principle, and in promoting the better social implementation of AI. The aim of our research is to contribute to this improvement by reformulating machine learning models through the lens of category theory, thereby developing a semantic framework for structuring and understanding AI systems. Our categorical modeling in this paper clarifies and formalizes the structural interplay between residuals and parameters in supervised learning. The present paper focuses on the multiple linear regression model, which represents the most basic form of supervised learning. By defining two concrete categories corresponding to parameters and data, along with an adjoint pair of functors between them, we introduce our categorical formulation of supervised learning. We show that the essential structure of this framework is captured by what we call the Gauss-Markov Adjunction. Within this setting, the dual flow of information can be explicitly described as a correspondence between variations in parameters and residuals. The ordinary least squares estimator for the parameters and the minimum residual are related via the preservation of limits by the right adjoint functor. Furthermore, we position this formulation as an instance of extended denotational semantics for supervised learning, and propose applying a semantic perspective developed in theoretical computer science as a formal foundation for Explicability in AI.

State-space models (SSMs) have recently emerged as a framework for learning long-range sequence tasks. An example is the structured state-space sequence (S4) layer, which uses the diagonal-plus-low-rank structure of the HiPPO initialization framework. However, the complicated structure of the S4 layer poses challenges; and, in an effort to address these challenges, models such as S4D and S5 have considered a purely diagonal structure. This choice simplifies the implementation, improves computational efficiency, and allows channel communication. However, diagonalizing the HiPPO framework is itself an ill-posed problem. In this paper, we propose a general solution for this and related ill-posed diagonalization problems in machine learning. We introduce a generic, backward-stable "perturb-then-diagonalize" (PTD) methodology, which is based on the pseudospectral theory of non-normal operators, and which may be interpreted as the approximate diagonalization of the non-normal matrices defining SSMs. Based on this, we introduce the S4-PTD and S5-PTD models. Through theoretical analysis of the transfer functions of different initialization schemes, we demonstrate that the S4-PTD/S5-PTD initialization strongly converges to the HiPPO framework, while the S4D/S5 initialization only achieves weak convergences. As a result, our new models show resilience to Fourier-mode noise-perturbed inputs, a crucial property not achieved by the S4D/S5 models. In addition to improved robustness, our S5-PTD model averages 87.6% accuracy on the Long-Range Arena benchmark, demonstrating that the PTD methodology helps to improve the accuracy of deep learning models.

Integrated sensing and communication (ISAC) is envisioned be to one of the paradigms upon which next-generation mobile networks will be built, extending localization and tracking capabilities, as well as giving birth to environment-aware wireless access. A key aspect of sensing integration is parameter estimation, which involves extracting information about the surrounding environment, such as the direction, distance, and velocity of various objects within. This is typically of a high-dimensional nature, which leads to significant computational complexity, if performed jointly across multiple sensing dimensions, such as space, frequency, and time. Additionally, due to the incorporation of sensing on top of the data transmission, the time window available for sensing is likely to be short, resulting in an estimation problem where only a single snapshot is accessible. In this work, we propose PLAIN, a tensor-based estimation architecture that flexibly scales with multiple sensing dimensions and can handle high dimensionality, limited measurement time, and super-resolution requirements. It consists of three stages: a compression stage, where the high dimensional input is converted into lower dimensionality, without sacrificing resolution; a decoupled estimation stage, where the parameters across the different dimensions are estimated in parallel with low complexity; an input-based fusion stage, where the decoupled parameters are fused together to form a paired multidimensional estimate. We investigate the performance of the architecture for different configurations and compare it against practical sequential and joint estimation baselines, as well as theoretical bounds. Our results show that PLAIN, using tools from tensor algebra, subspace-based processing, and compressed sensing, can scale flexibly with dimensionality, while operating with low complexity and maintaining super-resolution.

We consider the classic supervised learning problem, where a continuous non-negative random label Y (i.e. a random duration) is to be predicted based upon observing a random vector X valued in R^d with dgeq 1 by means of a regression rule with minimum least square error. In various applications, ranging from industrial quality control to public health through credit risk analysis for instance, training observations can be right censored, meaning that, rather than on independent copies of (X,Y), statistical learning relies on a collection of ngeq 1 independent realizations of the triplet (X, ; min{Y,; C},; δ), where C is a nonnegative r.v. with unknown distribution, modeling censorship and δ=I{Yleq C} indicates whether the duration is right censored or not. As ignoring censorship in the risk computation may clearly lead to a severe underestimation of the target duration and jeopardize prediction, we propose to consider a plug-in estimate of the true risk based on a Kaplan-Meier estimator of the conditional survival function of the censorship C given X, referred to as Kaplan-Meier risk, in order to perform empirical risk minimization. It is established, under mild conditions, that the learning rate of minimizers of this biased/weighted empirical risk functional is of order O_{P}(log(n)/n) when ignoring model bias issues inherent to plug-in estimation, as can be attained in absence of censorship. Beyond theoretical results, numerical experiments are presented in order to illustrate the relevance of the approach developed.

Combining several (sample approximations of) distributions, which we term sub-posteriors, into a single distribution proportional to their product, is a common challenge. Occurring, for instance, in distributed 'big data' problems, or when working under multi-party privacy constraints. Many existing approaches resort to approximating the individual sub-posteriors for practical necessity, then find either an analytical approximation or sample approximation of the resulting (product-pooled) posterior. The quality of the posterior approximation for these approaches is poor when the sub-posteriors fall out-with a narrow range of distributional form, such as being approximately Gaussian. Recently, a Fusion approach has been proposed which finds an exact Monte Carlo approximation of the posterior, circumventing the drawbacks of approximate approaches. Unfortunately, existing Fusion approaches have a number of computational limitations, particularly when unifying a large number of sub-posteriors. In this paper, we generalise the theory underpinning existing Fusion approaches, and embed the resulting methodology within a recursive divide-and-conquer sequential Monte Carlo paradigm. This ultimately leads to a competitive Fusion approach, which is robust to increasing numbers of sub-posteriors.

The kernel thinning (KT) algorithm of Dwivedi and Mackey (2021) compresses a probability distribution more effectively than independent sampling by targeting a reproducing kernel Hilbert space (RKHS) and leveraging a less smooth square-root kernel. Here we provide four improvements. First, we show that KT applied directly to the target RKHS yields tighter, dimension-free guarantees for any kernel, any distribution, and any fixed function in the RKHS. Second, we show that, for analytic kernels like Gaussian, inverse multiquadric, and sinc, target KT admits maximum mean discrepancy (MMD) guarantees comparable to or better than those of square-root KT without making explicit use of a square-root kernel. Third, we prove that KT with a fractional power kernel yields better-than-Monte-Carlo MMD guarantees for non-smooth kernels, like Laplace and Mat\'ern, that do not have square-roots. Fourth, we establish that KT applied to a sum of the target and power kernels (a procedure we call KT+) simultaneously inherits the improved MMD guarantees of power KT and the tighter individual function guarantees of target KT. In our experiments with target KT and KT+, we witness significant improvements in integration error even in 100 dimensions and when compressing challenging differential equation posteriors.

In this paper, we revisit the problem of sparse linear regression in the local differential privacy (LDP) model. Existing research in the non-interactive and sequentially local models has focused on obtaining the lower bounds for the case where the underlying parameter is 1-sparse, and extending such bounds to the more general k-sparse case has proven to be challenging. Moreover, it is unclear whether efficient non-interactive LDP (NLDP) algorithms exist. To address these issues, we first consider the problem in the epsilon non-interactive LDP model and provide a lower bound of Omega(sqrt{dklog d}{nepsilon}) on the ell_2-norm estimation error for sub-Gaussian data, where n is the sample size and d is the dimension of the space. We propose an innovative NLDP algorithm, the very first of its kind for the problem. As a remarkable outcome, this algorithm also yields a novel and highly efficient estimator as a valuable by-product. Our algorithm achieves an upper bound of O({dsqrt{k}{nepsilon}}) for the estimation error when the data is sub-Gaussian, which can be further improved by a factor of O(d) if the server has additional public but unlabeled data. For the sequentially interactive LDP model, we show a similar lower bound of Omega({sqrt{dk}{nepsilon}}). As for the upper bound, we rectify a previous method and show that it is possible to achieve a bound of O(ksqrt{d}{nepsilon}). Our findings reveal fundamental differences between the non-private case, central DP model, and local DP model in the sparse linear regression problem.

We propose a fully data-driven approach to designing mutual information (MI) estimators. Since any MI estimator is a function of the observed sample from two random variables, we parameterize this function with a neural network (MIST) and train it end-to-end to predict MI values. Training is performed on a large meta-dataset of 625,000 synthetic joint distributions with known ground-truth MI. To handle variable sample sizes and dimensions, we employ a two-dimensional attention scheme ensuring permutation invariance across input samples. To quantify uncertainty, we optimize a quantile regression loss, enabling the estimator to approximate the sampling distribution of MI rather than return a single point estimate. This research program departs from prior work by taking a fully empirical route, trading universal theoretical guarantees for flexibility and efficiency. Empirically, the learned estimators largely outperform classical baselines across sample sizes and dimensions, including on joint distributions unseen during training. The resulting quantile-based intervals are well-calibrated and more reliable than bootstrap-based confidence intervals, while inference is orders of magnitude faster than existing neural baselines. Beyond immediate empirical gains, this framework yields trainable, fully differentiable estimators that can be embedded into larger learning pipelines. Moreover, exploiting MI's invariance to invertible transformations, meta-datasets can be adapted to arbitrary data modalities via normalizing flows, enabling flexible training for diverse target meta-distributions.

Higher-order probabilistic programming languages allow programmers to write sophisticated models in machine learning and statistics in a succinct and structured way, but step outside the standard measure-theoretic formalization of probability theory. Programs may use both higher-order functions and continuous distributions, or even define a probability distribution on functions. But standard probability theory does not handle higher-order functions well: the category of measurable spaces is not cartesian closed. Here we introduce quasi-Borel spaces. We show that these spaces: form a new formalization of probability theory replacing measurable spaces; form a cartesian closed category and so support higher-order functions; form a well-pointed category and so support good proof principles for equational reasoning; and support continuous probability distributions. We demonstrate the use of quasi-Borel spaces for higher-order functions and probability by: showing that a well-known construction of probability theory involving random functions gains a cleaner expression; and generalizing de Finetti's theorem, that is a crucial theorem in probability theory, to quasi-Borel spaces.

We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a parsimonious way. We develop two algorithms for posterior inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for the euro area, we establish the good empirical properties of the QFAVAR as a tool for assessing the effects of global shocks on country-level macroeconomic risks. In particular, QFAVAR short-run tail forecasts are more accurate compared to a FAVAR with symmetric Gaussian errors, as well as univariate quantile autoregressions that ignore comovements among quantiles of macroeconomic variables. We also illustrate how quantile impulse response functions and quantile connectedness measures, resulting from the new model, can be used to implement joint risk scenario analysis.

During recent years the interest of optimization and machine learning communities in high-probability convergence of stochastic optimization methods has been growing. One of the main reasons for this is that high-probability complexity bounds are more accurate and less studied than in-expectation ones. However, SOTA high-probability non-asymptotic convergence results are derived under strong assumptions such as the boundedness of the gradient noise variance or of the objective's gradient itself. In this paper, we propose several algorithms with high-probability convergence results under less restrictive assumptions. In particular, we derive new high-probability convergence results under the assumption that the gradient/operator noise has bounded central alpha-th moment for alpha in (1,2] in the following setups: (i) smooth non-convex / Polyak-Lojasiewicz / convex / strongly convex / quasi-strongly convex minimization problems, (ii) Lipschitz / star-cocoercive and monotone / quasi-strongly monotone variational inequalities. These results justify the usage of the considered methods for solving problems that do not fit standard functional classes studied in stochastic optimization.

We consider a family of algorithms that successively sample and minimize simple stochastic models of the objective function. We show that under reasonable conditions on approximation quality and regularity of the models, any such algorithm drives a natural stationarity measure to zero at the rate O(k^{-1/4}). As a consequence, we obtain the first complexity guarantees for the stochastic proximal point, proximal subgradient, and regularized Gauss-Newton methods for minimizing compositions of convex functions with smooth maps. The guiding principle, underlying the complexity guarantees, is that all algorithms under consideration can be interpreted as approximate descent methods on an implicit smoothing of the problem, given by the Moreau envelope. Specializing to classical circumstances, we obtain the long-sought convergence rate of the stochastic projected gradient method, without batching, for minimizing a smooth function on a closed convex set.

The asymptotically precise estimation of the generalization of kernel methods has recently received attention due to the parallels between neural networks and their associated kernels. However, prior works derive such estimates for training by kernel ridge regression (KRR), whereas neural networks are typically trained with gradient descent (GD). In the present work, we consider the training of kernels with a family of spectral algorithms specified by profile h(lambda), and including KRR and GD as special cases. Then, we derive the generalization error as a functional of learning profile h(lambda) for two data models: high-dimensional Gaussian and low-dimensional translation-invariant model. Under power-law assumptions on the spectrum of the kernel and target, we use our framework to (i) give full loss asymptotics for both noisy and noiseless observations (ii) show that the loss localizes on certain spectral scales, giving a new perspective on the KRR saturation phenomenon (iii) conjecture, and demonstrate for the considered data models, the universality of the loss w.r.t. non-spectral details of the problem, but only in case of noisy observation.

We present a novel variational framework for performing inference in (neural) stochastic differential equations (SDEs) driven by Markov-approximate fractional Brownian motion (fBM). SDEs offer a versatile tool for modeling real-world continuous-time dynamic systems with inherent noise and randomness. Combining SDEs with the powerful inference capabilities of variational methods, enables the learning of representative function distributions through stochastic gradient descent. However, conventional SDEs typically assume the underlying noise to follow a Brownian motion (BM), which hinders their ability to capture long-term dependencies. In contrast, fractional Brownian motion (fBM) extends BM to encompass non-Markovian dynamics, but existing methods for inferring fBM parameters are either computationally demanding or statistically inefficient. In this paper, building upon the Markov approximation of fBM, we derive the evidence lower bound essential for efficient variational inference of posterior path measures, drawing from the well-established field of stochastic analysis. Additionally, we provide a closed-form expression to determine optimal approximation coefficients. Furthermore, we propose the use of neural networks to learn the drift, diffusion and control terms within our variational posterior, leading to the variational training of neural-SDEs. In this framework, we also optimize the Hurst index, governing the nature of our fractional noise. Beyond validation on synthetic data, we contribute a novel architecture for variational latent video prediction,-an approach that, to the best of our knowledge, enables the first variational neural-SDE application to video perception.

We prove an inverse approximation theorem for the approximation of nonlinear sequence-to-sequence relationships using recurrent neural networks (RNNs). This is a so-called Bernstein-type result in approximation theory, which deduces properties of a target function under the assumption that it can be effectively approximated by a hypothesis space. In particular, we show that nonlinear sequence relationships that can be stably approximated by nonlinear RNNs must have an exponential decaying memory structure - a notion that can be made precise. This extends the previously identified curse of memory in linear RNNs into the general nonlinear setting, and quantifies the essential limitations of the RNN architecture for learning sequential relationships with long-term memory. Based on the analysis, we propose a principled reparameterization method to overcome the limitations. Our theoretical results are confirmed by numerical experiments. The code has been released in https://github.com/radarFudan/Curse-of-memory

In this paper, we examine the solvability of a functional equation in a Lipschitz space. As an application, we use our result to determine the existence and uniqueness of solutions to an equation describing a specific type of choice behavior model for the learning process of the paradise fish. Finally, we present some concrete examples where, using numerical techniques, we obtain approximations to the solution of the functional equation. As the straightforward Picard's iteration can be very expensive, we show that an analytical suboptimal least-squares approximation can be chosen in practice, resulting in very good accuracy.

In this work we present a new method for the estimation of Mutual Information (MI) between random variables. Our approach is based on an original interpretation of the Girsanov theorem, which allows us to use score-based diffusion models to estimate the Kullback Leibler divergence between two densities as a difference between their score functions. As a by-product, our method also enables the estimation of the entropy of random variables. Armed with such building blocks, we present a general recipe to measure MI, which unfolds in two directions: one uses conditional diffusion process, whereas the other uses joint diffusion processes that allow simultaneous modelling of two random variables. Our results, which derive from a thorough experimental protocol over all the variants of our approach, indicate that our method is more accurate than the main alternatives from the literature, especially for challenging distributions. Furthermore, our methods pass MI self-consistency tests, including data processing and additivity under independence, which instead are a pain-point of existing methods.

Diffusion models (DMs) have proven to be effective in modeling high-dimensional distributions, leading to their widespread adoption for representing complex priors in Bayesian inverse problems (BIPs). However, current DM-based posterior sampling methods proposed for solving common BIPs rely on heuristic approximations to the generative process. To exploit the generative capability of DMs and avoid the usage of such approximations, we propose an ensemble-based algorithm that performs posterior sampling without the use of heuristic approximations. Our algorithm is motivated by existing works that combine DM-based methods with the sequential Monte Carlo (SMC) method. By examining how the prior evolves through the diffusion process encoded by the pre-trained score function, we derive a modified partial differential equation (PDE) governing the evolution of the corresponding posterior distribution. This PDE includes a modified diffusion term and a reweighting term, which can be simulated via stochastic weighted particle methods. Theoretically, we prove that the error between the true posterior distribution can be bounded in terms of the training error of the pre-trained score function and the number of particles in the ensemble. Empirically, we validate our algorithm on several inverse problems in imaging to show that our method gives more accurate reconstructions compared to existing DM-based methods.

In this article, we study the consistency of the template estimation with the Fr\'echet mean in quotient spaces. The Fr\'echet mean in quotient spaces is often used when the observations are deformed or transformed by a group action. We show that in most cases this estimator is actually inconsistent. We exhibit a sufficient condition for this inconsistency, which amounts to the folding of the distribution of the noisy template when it is projected to the quotient space. This condition appears to be fulfilled as soon as the support of the noise is large enough. To quantify this inconsistency we provide lower and upper bounds of the bias as a function of the variability (the noise level). This shows that the consistency bias cannot be neglected when the variability increases.

In the stochastic multi-armed bandit problem, a randomized probability matching policy called Thompson sampling (TS) has shown excellent performance in various reward models. In addition to the empirical performance, TS has been shown to achieve asymptotic problem-dependent lower bounds in several models. However, its optimality has been mainly addressed under light-tailed or one-parameter models that belong to exponential families. In this paper, we consider the optimality of TS for the Pareto model that has a heavy tail and is parameterized by two unknown parameters. Specifically, we discuss the optimality of TS with probability matching priors that include the Jeffreys prior and the reference priors. We first prove that TS with certain probability matching priors can achieve the optimal regret bound. Then, we show the suboptimality of TS with other priors, including the Jeffreys and the reference priors. Nevertheless, we find that TS with the Jeffreys and reference priors can achieve the asymptotic lower bound if one uses a truncation procedure. These results suggest carefully choosing noninformative priors to avoid suboptimality and show the effectiveness of truncation procedures in TS-based policies.

Simulation-based inference with conditional neural density estimators is a powerful approach to solving inverse problems in science. However, these methods typically treat the underlying forward model as a black box, with no way to exploit geometric properties such as equivariances. Equivariances are common in scientific models, however integrating them directly into expressive inference networks (such as normalizing flows) is not straightforward. We here describe an alternative method to incorporate equivariances under joint transformations of parameters and data. Our method -- called group equivariant neural posterior estimation (GNPE) -- is based on self-consistently standardizing the "pose" of the data while estimating the posterior over parameters. It is architecture-independent, and applies both to exact and approximate equivariances. As a real-world application, we use GNPE for amortized inference of astrophysical binary black hole systems from gravitational-wave observations. We show that GNPE achieves state-of-the-art accuracy while reducing inference times by three orders of magnitude.

We consider in this paper the problem of optimal experiment design where a decision maker can choose which points to sample to obtain an estimate hatβ of the hidden parameter β^{star} of an underlying linear model. The key challenge of this work lies in the heteroscedasticity assumption that we make, meaning that each covariate has a different and unknown variance. The goal of the decision maker is then to figure out on the fly the optimal way to allocate the total budget of T samples between covariates, as sampling several times a specific one will reduce the variance of the estimated model around it (but at the cost of a possible higher variance elsewhere). By trying to minimize the ell^2-loss E [lVerthatβ-β^{star}rVert^2] the decision maker is actually minimizing the trace of the covariance matrix of the problem, which corresponds then to online A-optimal design. Combining techniques from bandit and convex optimization we propose a new active sampling algorithm and we compare it with existing ones. We provide theoretical guarantees of this algorithm in different settings, including a O(T^{-2}) regret bound in the case where the covariates form a basis of the feature space, generalizing and improving existing results. Numerical experiments validate our theoretical findings.

Recently, the study of linear misspecified bandits has generated intriguing implications of the hardness of learning in bandits and reinforcement learning (RL). In particular, Du et al. (2020) show that even if a learner is given linear features in R^d that approximate the rewards in a bandit or RL with a uniform error of varepsilon, searching for an O(varepsilon)-optimal action requires pulling at least Omega(exp(d)) queries. Furthermore, Lattimore et al. (2020) show that a degraded O(varepsilond)-optimal solution can be learned within poly(d/varepsilon) queries. Yet it is unknown whether a structural assumption on the ground-truth parameter, such as sparsity, could break the varepsilond barrier. In this paper, we address this question by showing that algorithms can obtain O(varepsilon)-optimal actions by querying O(varepsilon^{-s}d^s) actions, where s is the sparsity parameter, removing the exp(d)-dependence. We then establish information-theoretical lower bounds, i.e., Omega(exp(s)), to show that our upper bound on sample complexity is nearly tight if one demands an error O(s^{delta}varepsilon) for 0<delta<1. For deltageq 1, we further show that poly(s/varepsilon) queries are possible when the linear features are "good" and even in general settings. These results provide a nearly complete picture of how sparsity can help in misspecified bandit learning and provide a deeper understanding of when linear features are "useful" for bandit and reinforcement learning with misspecification.

Inspired by the foundational works by Spivak and Fong and Cruttwell et al., we introduce a categorical framework to formalize Bayesian inference and learning. The two key ideas at play here are the notions of Bayesian inversions and the functor GL as constructed by Cruttwell et al.. In this context, we find that Bayesian learning is the simplest case of the learning paradigm. We then obtain categorical formulations of batch and sequential Bayes updates while also verifying that the two coincide in a specific example.

We begin the study of list-decodable linear regression using batches. In this setting only an alpha in (0,1] fraction of the batches are genuine. Each genuine batch contains ge n i.i.d. samples from a common unknown distribution and the remaining batches may contain arbitrary or even adversarial samples. We derive a polynomial time algorithm that for any nge tilde Omega(1/alpha) returns a list of size mathcal O(1/alpha^2) such that one of the items in the list is close to the true regression parameter. The algorithm requires only mathcal{O}(d/alpha^2) genuine batches and works under fairly general assumptions on the distribution. The results demonstrate the utility of batch structure, which allows for the first polynomial time algorithm for list-decodable regression, which may be impossible for the non-batch setting, as suggested by a recent SQ lower bound diakonikolas2021statistical for the non-batch setting.

Appropriately designing the proposal kernel of particle filters is an issue of significant importance, since a bad choice may lead to deterioration of the particle sample and, consequently, waste of computational power. In this paper we introduce a novel algorithm adaptively approximating the so-called optimal proposal kernel by a mixture of integrated curved exponential distributions with logistic weights. This family of distributions, referred to as mixtures of experts, is broad enough to be used in the presence of multi-modality or strongly skewed distributions. The mixtures are fitted, via online-EM methods, to the optimal kernel through minimisation of the Kullback-Leibler divergence between the auxiliary target and instrumental distributions of the particle filter. At each iteration of the particle filter, the algorithm is required to solve only a single optimisation problem for the whole particle sample, yielding an algorithm with only linear complexity. In addition, we illustrate in a simulation study how the method can be successfully applied to optimal filtering in nonlinear state-space models.

We tackle the problem of estimating a Manhattan frame, i.e. three orthogonal vanishing points, and the unknown focal length of the camera, leveraging a prior vertical direction. The direction can come from an Inertial Measurement Unit that is a standard component of recent consumer devices, e.g., smartphones. We provide an exhaustive analysis of minimal line configurations and derive two new 2-line solvers, one of which does not suffer from singularities affecting existing solvers. Additionally, we design a new non-minimal method, running on an arbitrary number of lines, to boost the performance in local optimization. Combining all solvers in a hybrid robust estimator, our method achieves increased accuracy even with a rough prior. Experiments on synthetic and real-world datasets demonstrate the superior accuracy of our method compared to the state of the art, while having comparable runtimes. We further demonstrate the applicability of our solvers for relative rotation estimation. The code is available at https://github.com/cvg/VP-Estimation-with-Prior-Gravity.

Mixture of experts (MoE) has a well-principled finite mixture model construction for prediction, allowing the gating network (mixture weights) to learn from the predictors (explanatory variables) together with the experts' network (mixture component densities). We investigate the estimation properties of MoEs in a high-dimensional setting, where the number of predictors is much larger than the sample size, for which the literature lacks computational and especially theoretical results. We consider the class of finite MoE models with softmax gating functions and Gaussian regression experts, and focus on the theoretical properties of their l_1-regularized estimation via the Lasso. We provide a lower bound on the regularization parameter of the Lasso penalty that ensures an l_1-oracle inequality is satisfied by the Lasso estimator according to the Kullback--Leibler loss. We further state an l_1-ball oracle inequality for the l_1-penalized maximum likelihood estimator from the model selection.

Kernel methods are widely used in machine learning, especially for classification problems. However, the theoretical analysis of kernel classification is still limited. This paper investigates the statistical performances of kernel classifiers. With some mild assumptions on the conditional probability eta(x)=P(Y=1mid X=x), we derive an upper bound on the classification excess risk of a kernel classifier using recent advances in the theory of kernel regression. We also obtain a minimax lower bound for Sobolev spaces, which shows the optimality of the proposed classifier. Our theoretical results can be extended to the generalization error of overparameterized neural network classifiers. To make our theoretical results more applicable in realistic settings, we also propose a simple method to estimate the interpolation smoothness of 2eta(x)-1 and apply the method to real datasets.