Detecting anomalies and the corresponding root causes in multivariate time series plays an important role in monitoring the behaviors of various real-world systems, e.g., IT system operations or manufacturing industry. Previous anomaly detection approaches model the joint distribution without considering the underlying mechanism of multivariate time series, making them computationally hungry and hard to identify root causes. In this paper, we formulate the anomaly detection problem from a causal perspective and view anomalies as instances that do not follow the regular causal mechanism to generate the multivariate data. We then propose a causality-based framework for detecting anomalies and root causes. It first learns the causal structure from data and then infers whether an instance is an anomaly relative to the local causal mechanism whose conditional distribution can be directly estimated from data. In light of the modularity property of causal systems (the causal processes to generate different variables are irrelevant modules), the original problem is divided into a series of separate, simpler, and low-dimensional anomaly detection problems so that where an anomaly happens (root causes) can be directly identified. We evaluate our approach with both simulated and public datasets as well as a case study on real-world AIOps applications, showing its efficacy, robustness, and practical feasibility.

We rigorously prove that deep Gaussian process priors can outperform Gaussian process priors if the target function has a compositional structure. To this end, we study information-theoretic lower bounds for posterior contraction rates for Gaussian process regression in a continuous regression model. We show that if the true function is a generalized additive function, then the posterior based on any mean-zero Gaussian process can only recover the truth at a rate that is strictly slower than the minimax rate by a factor that is polynomially suboptimal in the sample size $n$.

Surrogate models are used to alleviate the computational burden in engineering tasks, which require the repeated evaluation of computationally demanding models of physical systems, such as the efficient propagation of uncertainties. For models that show a strongly non-linear dependence on their input parameters, standard surrogate techniques, such as polynomial chaos expansion, are not sufficient to obtain an accurate representation of the original model response. Through applying a rational approximation instead, the approximation error can be efficiently reduced for models whose non-linearity is accurately described through a rational function. Specifically, our aim is to approximate complex-valued models. A common approach to obtain the coefficients in the surrogate is to minimize the sample-based error between model and surrogate in the least-square sense. In order to obtain an accurate representation of the original model and to avoid overfitting, the sample set has be two to three times the number of polynomial terms in the expansion. For models that require a high polynomial degree or are high-dimensional in terms of their input parameters, this number often exceeds the affordable computational cost. To overcome this issue, we apply a sparse Bayesian learning approach to the rational approximation. Through a specific prior distribution structure, sparsity is induced in the coefficients of the surrogate model. The denominator polynomial coefficients as well as the hyperparameters of the problem are determined through a type-II-maximum likelihood approach. We apply a quasi-Newton gradient-descent algorithm in order to find the optimal denominator coefficients and derive the required gradients through application of $\mathbb{CR}$-calculus.

Experimental data is costly to obtain, which makes it difficult to calibrate complex models. For many models an experimental design that produces the best calibration given a limited experimental budget is not obvious. This paper introduces a deep reinforcement learning (RL) algorithm for design of experiments that maximizes the information gain measured by Kullback-Leibler (KL) divergence obtained via the Kalman filter (KF). This combination enables experimental design for rapid online experiments where traditional methods are too costly. We formulate possible configurations of experiments as a decision tree and a Markov decision process (MDP), where a finite choice of actions is available at each incremental step. Once an action is taken, a variety of measurements are used to update the state of the experiment. This new data leads to a Bayesian update of the parameters by the KF, which is used to enhance the state representation. In contrast to the Nash-Sutcliffe efficiency (NSE) index, which requires additional sampling to test hypotheses for forward predictions, the KF can lower the cost of experiments by directly estimating the values of new data acquired through additional actions. In this work our applications focus on mechanical testing of materials. Numerical experiments with complex, history-dependent models are used to verify the implementation and benchmark the performance of the RL-designed experiments.

Ensemble weather forecasts based on multiple runs of numerical weather prediction models typically show systematic errors and require post-processing to obtain reliable forecasts. Accurately modeling multivariate dependencies is crucial in many practical applications, and various approaches to multivariate post-processing have been proposed where ensemble predictions are first post-processed separately in each margin and multivariate dependencies are then restored via copulas. These two-step methods share common key limitations, in particular the difficulty to include additional predictors in modeling the dependencies. We propose a novel multivariate post-processing method based on generative machine learning to address these challenges. In this new class of nonparametric data-driven distributional regression models, samples from the multivariate forecast distribution are directly obtained as output of a generative neural network. The generative model is trained by optimizing a proper scoring rule which measures the discrepancy between the generated and observed data, conditional on exogenous input variables. Our method does not require parametric assumptions on univariate distributions or multivariate dependencies and allows for incorporating arbitrary predictors. In two case studies on multivariate temperature and wind speed forecasting at weather stations over Germany, our generative model shows significant improvements over state-of-the-art methods and particularly improves the representation of spatial dependencies.

When dealing with clinical text classification on a small dataset recent studies have confirmed that a well-tuned multilayer perceptron outperforms other generative classifiers, including deep learning ones. To increase the performance of the neural network classifier, feature selection for the learning representation can effectively be used. However, most feature selection methods only estimate the degree of linear dependency between variables and select the best features based on univariate statistical tests. Furthermore, the sparsity of the feature space involved in the learning representation is ignored. Goal: Our aim is therefore to access an alternative approach to tackle the sparsity by compressing the clinical representation feature space, where limited French clinical notes can also be dealt with effectively. Methods: This study proposed an autoencoder learning algorithm to take advantage of sparsity reduction in clinical note representation. The motivation was to determine how to compress sparse, high-dimensional data by reducing the dimension of the clinical note representation feature space. The classification performance of the classifiers was then evaluated in the trained and compressed feature space. Results: The proposed approach provided overall performance gains of up to 3% for each evaluation. Finally, the classifier achieved a 92% accuracy, 91% recall, 91% precision, and 91% f1-score in detecting the patient's condition. Furthermore, the compression working mechanism and the autoencoder prediction process were demonstrated by applying the theoretic information bottleneck framework.

Outlier detection tasks have been playing a critical role in AI safety. There has been a great challenge to deal with this task. Observations show that deep neural network classifiers usually tend to incorrectly classify out-of-distribution (OOD) inputs into in-distribution classes with high confidence. Existing works attempt to solve the problem by explicitly imposing uncertainty on classifiers when OOD inputs are exposed to the classifier during training. In this paper, we propose an alternative probabilistic paradigm that is both practically useful and theoretically viable for the OOD detection tasks. Particularly, we impose statistical independence between inlier and outlier data during training, in order to ensure that inlier data reveals little information about OOD data to the deep estimator during training. Specifically, we estimate the statistical dependence between inlier and outlier data through the Hilbert-Schmidt Independence Criterion (HSIC), and we penalize such metric during training. We also associate our approach with a novel statistical test during the inference time coupled with our principled motivation. Empirical results show that our method is effective and robust for OOD detection on various benchmarks. In comparison to SOTA models, our approach achieves significant improvement regarding FPR95, AUROC, and AUPR metrics. Code is available: \url{https://github.com/jylins/hood}.

Although Deep Neural Networks (DNNs) have great generalization and prediction capabilities, their functioning does not allow a detailed explanation of their behavior. Opaque deep learning models are increasingly used to make important predictions in critical environments, and the danger is that they make and use predictions that cannot be justified or legitimized. Several eXplainable Artificial Intelligence (XAI) methods that separate explanations from machine learning models have emerged, but have shortcomings in faithfulness to the model actual functioning and robustness. As a result, there is a widespread agreement on the importance of endowing Deep Learning models with explanatory capabilities so that they can themselves provide an answer to why a particular prediction was made. First, we address the problem of the lack of universal criteria for XAI by formalizing what an explanation is. We also introduced a set of axioms and definitions to clarify XAI from a mathematical perspective. Finally, we present the Greybox XAI, a framework that composes a DNN and a transparent model thanks to the use of a symbolic Knowledge Base (KB). We extract a KB from the dataset and use it to train a transparent model (i.e., a logistic regression). An encoder-decoder architecture is trained on RGB images to produce an output similar to the KB used by the transparent model. Once the two models are trained independently, they are used compositionally to form an explainable predictive model. We show how this new architecture is accurate and explainable in several datasets.

The problem of sampling constrained continuous distributions has frequently appeared in many machine/statistical learning models. Many Monte Carlo Markov Chain (MCMC) sampling methods have been adapted to handle different types of constraints on the random variables. Among these methods, Hamilton Monte Carlo (HMC) and the related approaches have shown significant advantages in terms of computational efficiency compared to other counterparts. In this article, we first review HMC and some extended sampling methods, and then we concretely explain three constrained HMC-based sampling methods, reflection, reformulation, and spherical HMC. For illustration, we apply these methods to solve three well-known constrained sampling problems, truncated multivariate normal distributions, Bayesian regularized regression, and nonparametric density estimation. In this review, we also connect constrained sampling with another similar problem in the statistical design of experiments of constrained design space. Keywords: constrained sampling; Hamilton Monte Carlo; Riemannian Monte Carlo; regularized regression; truncated multivariate Gaussian.

As input distributions evolve over a mission lifetime, maintaining performance of learning-based models becomes challenging. This paper presents a framework to incrementally retrain a model by selecting a subset of test inputs to label, which allows the model to adapt to changing input distributions. Algorithms within this framework are evaluated based on (1) model performance throughout mission lifetime and (2) cumulative costs associated with labeling and model retraining. We provide an open-source benchmark of a satellite pose estimation model trained on images of a satellite in space and deployed in novel scenarios (e.g., different backgrounds or misbehaving pixels), where algorithms are evaluated on their ability to maintain high performance by retraining on a subset of inputs. We also propose a novel algorithm to select a diverse subset of inputs for labeling, by characterizing the information gain from an input using Bayesian uncertainty quantification and choosing a subset that maximizes collective information gain using concepts from batch active learning. We show that our algorithm outperforms others on the benchmark, e.g., achieves comparable performance to an algorithm that labels 100% of inputs, while only labeling 50% of inputs, resulting in low costs and high performance over the mission lifetime.