We present a scalable Gaussian process model for identifying and characterizing smooth multidimensional changepoints, and automatically learning changes in expressive covariance structure. We use Random Kitchen Sink features to flexibly define a change surface in combination with expressive spectral mixture kernels to capture the complex statistical structure. Finally, through the use of novel methods for additive non-separable kernels, we can scale the model to large datasets. We demonstrate the model on numerical and real world data, including a large spatio-temporal disease dataset where we identify previously unknown heterogeneous changes in space and time.

Supervised learning is an active research area, with numerous applications in diverse fields such as data analytics, computer vision, speech and audio processing, and image understanding. In most cases, the loss functions used in machine learning assume symmetric noise models, and seek to estimate the unknown function parameters. However, loss functions such as quantile and quantile Huber generalize the symmetric $\ell_1$ and Huber losses to the asymmetric setting, for a fixed quantile parameter. In this paper, we propose to jointly infer the quantile parameter and the unknown function parameters, for the asymmetric quantile Huber and quantile losses. We explore various properties of the quantile Huber loss and implement a convexity certificate that can be used to check convexity in the quantile parameter. When the loss if convex with respect to the parameter of the function, we prove that it is biconvex in both the function and the quantile parameters, and propose an algorithm to jointly estimate these. Results with synthetic and real data demonstrate that the proposed approach can automatically recover the quantile parameter corresponding to the noise and also provide an improved recovery of function parameters. To illustrate the potential of the framework, we extend the gradient boosting machines with quantile losses to automatically estimate the quantile parameter at each iteration.

We provide the first differentially private algorithms for controlling the false discovery rate (FDR) in multiple hypothesis testing, with essentially no loss in power under certain conditions. Our general approach is to adapt a well-known variant of the Benjamini-Hochberg procedure (BHq), making each step differentially private. This destroys the classical proof of FDR control. To prove FDR control of our method, (a) we develop a new proof of the original (non-private) BHq algorithm and its robust variants -- a proof requiring only the assumption that the true null test statistics are independent, allowing for arbitrary correlations between the true nulls and false nulls. This assumption is fairly weak compared to those previously shown in the vast literature on this topic, and explains in part the empirical robustness of BHq. Then (b) we relate the FDR control properties of the differentially private version to the control properties of the non-private version. \end{enumerate} We also present a low-distortion "one-shot" differentially private primitive for "top $k$" problems, e.g., "Which are the $k$ most popular hobbies?" (which we apply to: "Which hypotheses have the $k$ most significant $p$-values?"), and use it to get a faster privacy-preserving instantiation of our general approach at little cost in accuracy. The proof of privacy for the one-shot top~$k$ algorithm introduces a new technique of independent interest.

The question of aggregating pair-wise comparisons to obtain a global ranking over a collection of objects has been of interest for a very long time: be it ranking of online gamers (e.g. MSR's TrueSkill system) and chess players, aggregating social opinions, or deciding which product to sell based on transactions. In most settings, in addition to obtaining a ranking, finding `scores' for each object (e.g. player's rating) is of interest for understanding the intensity of the preferences. In this paper, we propose Rank Centrality, an iterative rank aggregation algorithm for discovering scores for objects (or items) from pair-wise comparisons. The algorithm has a natural random walk interpretation over the graph of objects with an edge present between a pair of objects if they are compared; the score, which we call Rank Centrality, of an object turns out to be its stationary probability under this random walk. To study the efficacy of the algorithm, we consider the popular Bradley-Terry-Luce (BTL) model (equivalent to the Multinomial Logit (MNL) for pair-wise comparisons) in which each object has an associated score which determines the probabilistic outcomes of pair-wise comparisons between objects. In terms of the pair-wise marginal probabilities, which is the main subject of this paper, the MNL model and the BTL model are identical. We bound the finite sample error rates between the scores assumed by the BTL model and those estimated by our algorithm. In particular, the number of samples required to learn the score well with high probability depends on the structure of the comparison graph. When the Laplacian of the comparison graph has a strictly positive spectral gap, e.g. each item is compared to a subset of randomly chosen items, this leads to dependence on the number of samples that is nearly order-optimal.

Answering conjunctive queries over ontology-enriched datasets is a core reasoning task for many applications. Query answering is, however, computationally very expensive, which has led to the development of query answering procedures that sacrifice either expressive power of the ontology language, or the completeness of query answers in order to improve scalability. In this paper, we describe a hybrid approach to query answering over OWL 2 ontologies that combines a datalog reasoner with a fully-fledged OWL 2 reasoner in order to provide scalable `pay-as-you-go' performance. The key feature of our approach is that it delegates the bulk of the computation to the datalog reasoner and resorts to expensive OWL 2 reasoning only as necessary to fully answer the query. Furthermore, although our main goal is to efficiently answer queries over OWL 2 ontologies and data, our technical results are very general and our approach is applicable to first-order knowledge representation languages that can be captured by rules allowing for existential quantification and disjunction in the head; our only assumption is the availability of a datalog reasoner and a fully-fledged reasoner for the language of interest, both of which are used as `black boxes'. We have implemented our techniques in the PAGOdA system, which combines the datalog reasoner RDFox and the OWL 2 reasoner HermiT. Our extensive evaluation shows that PAGOdA succeeds in providing scalable pay-as-you-go query answering for a wide range of OWL 2 ontologies, datasets and queries.

Latent factor models are the canonical statistical tool for exploratory analyses of low-dimensional linear structure for an observation matrix with p features across n samples. We develop a structured Bayesian group factor analysis model that extends the factor model to multiple coupled observation matrices; in the case of two observations, this reduces to a Bayesian model of canonical correlation analysis. The main contribution of this work is to carefully define a structured Bayesian prior that encourages both element-wise and column-wise shrinkage and leads to desirable behavior on high-dimensional data. In particular, our model puts a structured prior on the joint factor loading matrix, regularizing at three levels, which enables element-wise sparsity and unsupervised recovery of latent factors corresponding to structured variance across arbitrary subsets of the observations. In addition, our structured prior allows for both dense and sparse latent factors so that covariation among either all features or only a subset of features can both be recovered. We use fast parameter-expanded expectation-maximization for parameter estimation in this model. We validate our method on both simulated data with substantial structure and real data, comparing against a number of state-of-the-art approaches. These results illustrate useful properties of our model, including i) recovering sparse signal in the presence of dense effects; ii) the ability to scale naturally to large numbers of observations; iii) flexible observation- and factor-specific regularization to recover factors with a wide variety of sparsity levels and percentage of variance explained; and iv) tractable inference that scales to modern genomic and document data sizes.

Consider convex optimization problems subject to a large number of constraints. We focus on stochastic problems in which the objective takes the form of expected values and the feasible set is the intersection of a large number of convex sets. We propose a class of algorithms that perform both stochastic gradient descent and random feasibility updates simultaneously. At every iteration, the algorithms sample a number of projection points onto a randomly selected small subsets of all constraints. Three feasibility update schemes are considered: averaging over random projected points, projecting onto the most distant sample, projecting onto a special polyhedral set constructed based on sample points. We prove the almost sure convergence of these algorithms, and analyze the iterates' feasibility error and optimality error, respectively. We provide new convergence rate benchmarks for stochastic first-order optimization with many constraints. The rate analysis and numerical experiments reveal that the algorithm using the polyhedral-set projection scheme is the most efficient one within known algorithms.

In the current context of data explosion, online techniques that do not require storing all data in memory are indispensable to routinely perform tasks like principal component analysis (PCA). Recursive algorithms that update the PCA with each new observation have been studied in various fields of research and found wide applications in industrial monitoring, computer vision, astronomy, and latent semantic indexing, among others. This work provides guidance for selecting an online PCA algorithm in practice. We present the main approaches to online PCA, namely, perturbation techniques, incremental methods, and stochastic optimization, and compare their statistical accuracy, computation time, and memory requirements using artificial and real data. Extensions to missing data and to functional data are discussed. All studied algorithms are available in the R package onlinePCA on CRAN.

A theoretical framework that supports automated construction of dynamic prime models purely from experimental time series data has been invented and developed, which can automatically generate (construct) data-driven models of any time series data in seconds. This has resulted in the formulation and formalisation of new reverse engineering and dynamic methods for automated systems modelling of complex systems, including complex biological, financial, control, and artificial neural network systems. The systems/model theory behind the invention has been formalised as a new, effective and robust system identification strategy complementary to process-based modelling. The proposed dynamic modelling and network inference solutions often involve tackling extremely difficult parameter estimation challenges, inferring unknown underlying network structures, and unsupervised formulation and construction of smart and intelligent ODE models of complex systems. In underdetermined conditions, i.e., cases of dealing with how best to instantaneously and rapidly construct data-consistent prime models of unknown (or well-studied) complex system from small-sized time series data, inference of unknown underlying network of interaction is more challenging. This article reports a robust step-by-step mathematical and computational analysis of the entire prime model construction process that determines a model from data in less than a minute.

Deep Gaussian processes (DGPs) are multi-layer hierarchical generalisations of Gaussian processes (GPs) and are formally equivalent to neural networks with multiple, infinitely wide hidden layers. DGPs are probabilistic and non-parametric and as such are arguably more flexible, have a greater capacity to generalise, and provide better calibrated uncertainty estimates than alternative deep models. The focus of this paper is scalable approximate Bayesian learning of these networks. The paper develops a novel and efficient extension of probabilistic backpropagation, a state-of-the-art method for training Bayesian neural networks, that can be used to train DGPs. The new method leverages a recently proposed method for scaling Expectation Propagation, called stochastic Expectation Propagation. The method is able to automatically discover useful input warping, expansion or compression, and it is therefore is a flexible form of Bayesian kernel design. We demonstrate the success of the new method for supervised learning on several real-world datasets, showing that it typically outperforms GP regression and is never much worse.