This study investigates the limitations of applying Markov Chain Monte Carlo (MCMC) methods to arbitrary objective functions, focusing on a two-block MCMC framework which alternates between Metropolis-Hastings and Gibbs sampling. While such approaches are often considered advantageous for enabling data-driven regularization, we show that their performance critically depends on the sharpness of the employed likelihood form. By introducing a sharpness parameter and exploring alternative likelihood formulations proportional to the target objective function, we demonstrate how likelihood curvature governs both in-sample performance and the degree of regularization inferred by the training data. Empirical applications are conducted on reinforcement learning tasks: including a navigation problem and the game of tic-tac-toe. The study concludes with a separate analysis examining the implications of extreme likelihood sharpness on arbitrary objective functions stemming from the classic game of blackjack, where the first block of the two-block MCMC framework is replaced with an iterative optimization step. The resulting hybrid approach achieves performance nearly identical to the original MCMC framework, indicating that excessive likelihood sharpness effectively collapses posterior mass onto a single dominant mode.

The Heckman selection model is one of the most well-renounced econometric models in the analysis of data with sample selection. This model is designed to rectify sample selection biases based on the assumption of bivariate normal error terms. However, real data diverge from this assumption in the presence of heavy tails and/or atypical observations. Recently, this assumption has been relaxed via a more flexible Student's t-distribution, which has appealing statistical properties. This paper introduces a novel Heckman selection model using a bivariate contaminated normal distribution for the error terms. We present an efficient ECM algorithm for parameter estimation with closed-form expressions at the E-step based on truncated multinormal distribution formulas. The identifiability of the proposed model is also discussed, and its properties have been examined. Through simulation studies, we compare our proposed model with the normal and Student's t counterparts and investigate the finite-sample properties and the variation in missing rate. Results obtained from two real data analyses showcase the usefulness and effectiveness of our model. The proposed algorithms are implemented in the R package HeckmanEM.

Modern large language models (LLMs) demonstrate exceptional performance on knowledge-intensive tasks, yet the theoretical mechanisms underlying knowledge acquisition (storage and memorization) during pre-training and extraction (retrieval and recall) during inference after fine-tuning remain poorly understood. Although prior theoretical studies have explored these processes through analyses of training dynamics, they overlook critical components essential for a comprehensive theory: (1) the multi-layer perceptron (MLP), empirically identified as the primary module for knowledge storage; (2) out-of-distribution (OOD) adaptivity, which enables LLMs to generalize to unseen scenarios post-pre-training; and (3) next-token prediction, the standard autoregressive objective that encodes knowledge as conditional probabilities. In this work, we introduce, to the best of our knowledge, the first theoretical framework that addresses these limitations by examining the training dynamics of one-layer transformers. Under regularity assumptions, we establish that: (i) transformers attain near-optimal training loss during pre-training, demonstrating effective knowledge acquisition; (ii) given a sufficiently large fine-tuning dataset and appropriate data multiplicity conditions, transformers achieve low generalization error on factual knowledge acquired during pre-training but not revisited in fine-tuning, indicating robust knowledge extraction; and (iii) violation of these conditions leads to elevated generalization error, manifesting as hallucinations. Our analysis encompasses both full fine-tuning and low-rank fine-tuning, yielding insights into the efficacy of practical low-rank adaptation methods. We validate our theoretical findings through experiments on synthetic datasets and the real-world PopQA benchmark, employing GPT-2 and Llama-3.2-1B models.

-- In this work we introduce a novel adaptive anomaly detection framework specifically designed for monitoring sequential random finite set (RFS) observations. Our approach effectively distinguishes between In-Control data (normal) and Out-Of-Control data (anomalies) by detecting deviations from the expected statistical behavior of the process. The primary contributions of this study include the development of an innovative RFS-based framework that not only learns the normal behavior of the data-generating process online but also dynamically adapts to behavioral shifts to accurately identify abnormal point patterns. T o achieve this, we introduce a new class of RFS-based posterior distributions, named Power Discounting Posteriors (PD), which facilitate adaptation to systematic changes in data while enabling anomaly detection of point pattern data through a novel predictive posterior density function. The effectiveness of the proposed approach is demonstrated by extensive qualitative and quantitative simulation experiments.

This paper introduces a novel Kalman filter framework designed to achieve robust state estimation under both process and measurement noise. Inspired by the Weighted Observation Likelihood Filter (WoLF), which provides robustness against measurement outliers, we applied generalized Bayesian approach to build a framework considering both process and measurement noise outliers.

We study the problem of matching correlated VAR time series databases, where a multivariate time series is observed along with a perturbed and permuted version, and the goal is to recover the unknown matching between them. To model this, we introduce a probabilistic framework in which two time series $(x_t)_{t\in[T]},(x^\#_t)_{t\in[T]}$ are jointly generated, such that $x^\#_t=x_{π^*(t)}+σ\tilde{x}_{π^*(t)}$, where $(x_t)_{t\in[T]},(\tilde{x}_t)_{t\in[T]}$ are independent and identically distributed vector autoregressive (VAR) time series of order $1$ with Gaussian increments, for a hidden $π^*$. The objective is to recover $π^*$, from the observation of $(x_t)_{t\in[T]},(x^\#_t)_{t\in[T]}$. This generalizes the classical problem of matching independent point clouds to the time series setting. We derive the maximum likelihood estimator (MLE), leading to a quadratic optimization over permutations, and theoretically analyze an estimator based on linear assignment. For the latter approach, we establish recovery guarantees, identifying thresholds for $σ$ that allow for perfect or partial recovery. Additionally, we propose solving the MLE by considering convex relaxations of the set of permutation matrices (e.g., over the Birkhoff polytope). This allows for efficient estimation of $π^*$ and the VAR parameters via alternating minimization. Empirically, we find that linear assignment often matches or outperforms MLE relaxation based approaches.

Data assimilation is a fundamental task in updating forecasting models upon observing new data, with applications ranging from weather prediction to online reinforcement learning. Deep generative forecasting models (DGFMs) have shown excellent performance in these areas, but assimilating data into such models is challenging due to their intractable likelihood functions. This limitation restricts the use of standard Bayesian data assimilation methodologies for DGFMs. To overcome this, we introduce prequential posteriors, based upon a predictive-sequential (prequential) loss function; an approach naturally suited for temporally dependent data which is the focus of forecasting tasks. Since the true data-generating process often lies outside the assumed model class, we adopt an alternative notion of consistency and prove that, under mild conditions, both the prequential loss minimizer and the prequential posterior concentrate around parameters with optimal predictive performance. For scalable inference, we employ easily parallelizable wastefree sequential Monte Carlo (SMC) samplers with preconditioned gradient-based kernels, enabling efficient exploration of high-dimensional parameter spaces such as those in DGFMs. We validate our method on both a synthetic multi-dimensional time series and a real-world meteorological dataset; highlighting its practical utility for data assimilation for complex dynamical systems.

The PC algorithm is a widely used method in causal inference for learning the structure of Bayesian networks. Despite its popularity, the PC algorithm suffers from significant time complexity, particularly as the size of the dataset increases, which limits its applicability in large-scale real-world problems. In this study, we propose a novel approach that utilises the Tsetlin Machine (TM) to construct Bayesian structures more efficiently. Our method leverages the most significant literals extracted from the TM and performs conditional independence (CI) tests on these selected literals instead of the full set of variables, resulting in a considerable reduction in computational time. We implemented our approach and compared it with various state-of-the-art methods. Our evaluation includes categorical datasets from the bnlearn repository, such as Munin1, Hepar2. The findings indicate that the proposed TM-based method not only reduces computational complexity but also maintains competitive accuracy in causal discovery, making it a viable alternative to traditional PC algorithm implementations by offering improved efficiency without compromising performance.

Sparse dynamics identification is an essential tool for discovering interpretable physical models and enabling efficient control in engineering systems. However, existing methods rely on batch learning with full historical data, limiting their applicability to real-time scenarios involving sequential and partially observable data. To overcome this limitation, this paper proposes an online Sparse Kalman Identification (SKI) method by integrating the Augmented Kalman Filter (AKF) and Automatic Relevance Determination (ARD). The main contributions are: (1) a theoretically grounded Bayesian sparsification scheme that is seamlessly integrated into the AKF framework and adapted to sequentially collected data in online scenarios; (2) an update mechanism that adapts the Kalman posterior to reflect the updated selection of the basis functions that define the model structure; (3) an explicit gradient-descent formulation that enhances computational efficiency. Consequently, the SKI method achieves accurate model structure selection with millisecond-level efficiency and higher identification accuracy, as demonstrated by extensive simulations and real-world experiments (showing an 84.21\% improvement in accuracy over the baseline AKF).

Robots must learn from both what people do and what they say, but either modality alone is often incomplete: physical corrections are grounded but ambiguous in intent, while language expresses high-level goals but lacks physical grounding. We introduce QuickLAP: Quick Language-Action Preference learning, a Bayesian framework that fuses physical and language feedback to infer reward functions in real time. Our key insight is to treat language as a probabilistic observation over the user's latent preferences, clarifying which reward features matter and how physical corrections should be interpreted. QuickLAP uses Large Language Models (LLMs) to extract reward feature attention masks and preference shifts from free-form utterances, which it integrates with physical feedback in a closed-form update rule. This enables fast, real-time, and robust reward learning that handles ambiguous feedback. In a semi-autonomous driving simulator, QuickLAP reduces reward learning error by over 70% compared to physical-only and heuristic multimodal baselines. A 15-participant user study further validates our approach: participants found QuickLAP significantly more understandable and collaborative, and preferred its learned behavior over baselines. Code is available at https://github.com/MIT-CLEAR-Lab/QuickLAP.