Continuous Markov random fields are a general formalism to model joint probability distributions over events with continuous outcomes. We prove that marginal computation for constrained continuous MRFs is #P-hard in general and present a polynomial-time approximation scheme under mild assumptions on the structure of the random field. Moreover, we introduce a sampling algorithm to compute marginal distributions and develop novel techniques to increase its efficiency. Continuous MRFs are a general purpose probabilistic modeling tool and we demonstrate how they can be applied to statistical relational learning. On the problem of collective classification, we evaluate our algorithm and show that the standard deviation of marginals serves as a useful measure of confidence.

We propose a new probabilistic model for analyzing dynamic evolutions of relational data, such as additions, deletions and split & merge, of relation clusters like communities in social networks. Our proposed model abstracts observed time-varying object-object relationships into relationships between object clusters. We extend the infinite Hidden Markov model to follow dynamic and time-sensitive changes in the structure of the relational data and to estimate a number of clusters simultaneously. We show the usefulness of the model through experiments with synthetic and real-world data sets.

Automatic speech recognition has gradually improved over the years, but the reliable recognition of unconstrained speech is still not within reach. In order to achieve a breakthrough, many research groups are now investigating new methodologies that have potential to outperform the Hidden Markov Model technology that is at the core of all present commercial systems. In this paper, it is shown that the recently introduced concept of Reservoir Computing might form the basis of such a methodology. In a limited amount of time, a reservoir system that can recognize the elementary sounds of continuous speech has been built. The system already achieves a state-of-the-art performance, and there is evidence that the margin for further improvements is still significant.

Accurate short-term wind forecasts (STWFs), with time horizons from 0.5 to 6 hours, are essential for efficient integration of wind power to the electrical power grid. Physical models based on numerical weather predictions are currently not competitive, and research on machine learning approaches is ongoing. Two major challenges confronting these efforts are missing observations and weather-regime induced dependency shifts among wind variables at geographically distributed sites. In this paper we introduce approaches that address both of these challenges. We describe a new regime-aware approach to STWF that use auto-regressive hidden Markov models (AR-HMM), a subclass of conditional linear Gaussian (CLG) models.

We consider Markov decision processes where the values of the parameters are uncertain. This uncertainty is described by a sequence of nested sets (that is, each set contains the previous one), each of which corresponds to a probabilistic guarantee for a different confidence level so that a set of admissible probability distributions of the unknown parameters is specified. This formulation models the case where the decision maker is aware of and wants to exploit some (yet imprecise) a-priori information of the distribution of parameters, and arises naturally in practice where methods to estimate the confidence region of parameters abound. We propose a decision criterion based on distributional robustness: the optimal policy maximizes the expected total reward under the most adversarial probability distribution over realizations of the uncertain parameters that is admissible (i.e., it agrees with the a-priori information). We show that finding the optimal distributionally robust policy can be reduced to a standard robust MDP where the parameters belong to a single uncertainty set, hence it can be computed in polynomial time under mild technical conditions.

The performance of Markov chain Monte Carlo methods is often sensitive to the scaling and correlations between the random variables of interest. An important source of information about the local correlation and scale is given by the Hessian matrix of the target distribution, but this is often either computationally expensive or infeasible. In this paper we propose MCMC samplers that make use of quasi-Newton approximations from the optimization literature, that approximate the Hessian of the target distribution from previous samples and gradients generated by the sampler. A key issue is that MCMC samplers that depend on the history of previous states are in general not valid. We address this problem by using limited memory quasi-Newton methods, which depend only on a fixed window of previous samples.

Factored Decentralized Partially Observable Markov Decision Processes (Dec-POMDPs) form a powerful framework for multiagent planning under uncertainty, but optimal solutions require a rigid history-based policy representation. In this paper we allow inter-agent communication which turns the problem in a centralized Multiagent POMDP (MPOMDP). We map belief distributions over state factors to an agent's local actions by exploiting structure in the joint MPOMDP policy. The key point is that when sparse dependencies between the agents' decisions exist, often the belief over its local state factors is sufficient for an agent to unequivocally identify the optimal action, and communication can be avoided. We formalize these notions by casting the problem into convex optimization form, and present experimental results illustrating the savings in communication that we can obtain.

Focusing on short term trend prediction in a financial context, we consider the problem of selective prediction whereby the predictor can abstain from prediction in order to improve performance. We examine two types of selective mechanisms for HMM predictors. The first is a rejection in the spirit of Chow's well-known ambiguity principle. The second is a specialized mechanism for HMMs that identifies low quality HMM states and abstain from prediction in those states. We call this model selective HMM (sHMM).

We present a type of Temporal Restricted Boltzmann Machine that defines a probability distribution over an output sequence conditional on an input sequence. It shares the desirable properties of RBMs: efficient exact inference, an exponentially more expressive latent state than HMMs, and the ability to model nonlinear structure and dynamics. We apply our model to a challenging real-world graphics problem: facial expression transfer. Our results demonstrate improved performance over several baselines modeling high-dimensional 2D and 3D data.

We present an asymptotic analysis of Viterbi Training (VT) and contrast it with a more conventional Maximum Likelihood (ML) approach to parameter estimation in Hidden Markov Models. While ML estimator works by (locally) maximizing the likelihood of the observed data, VT seeks to maximize the probability of the most likely hidden state sequence. We develop an analytical framework based on a generating function formalism and illustrate it on an exactly solvable model of HMM with one unambiguous symbol. For this particular model the ML objective function is continuously degenerate. VT objective, in contrast, is shown to have only finite degeneracy.