Mixed linear regression (MLR) model is among the most exemplary statistical tools for modeling non-linear distributions using a mixture of linear models. When the additive noise in MLR model is Gaussian, Expectation-Maximization (EM) algorithm is a widely-used algorithm for maximum likelihood estimation of MLR parameters. However, when noise is non-Gaussian, the steps of EM algorithm may not have closed-form update rules, which makes EM algorithm impractical. In this work, we study the maximum likelihood estimation of the parameters of MLR model when the additive noise has non-Gaussian distribution. In particular, we consider the case that noise has Laplacian distribution and we first show that unlike the the Gaussian case, the resulting sub-problems of EM algorithm in this case does not have closed-form update rule, thus preventing us from using EM in this case. To overcome this issue, we propose a new algorithm based on combining the alternating direction method of multipliers (ADMM) with EM algorithm idea. Our numerical experiments show that our method outperforms the EM algorithm in statistical accuracy and computational time in non-Gaussian noise case.

A primary motivation for the development and implementation of structural health monitoring systems, is the prospect of gaining the ability to make informed decisions regarding the operation and maintenance of structures and infrastructure. Unfortunately, descriptive labels for measured data corresponding to health-state information for the structure of interest are seldom available prior to the implementation of a monitoring system. This issue limits the applicability of the traditional supervised and unsupervised approaches to machine learning in the development of statistical classifiers for decision-supporting SHM systems. The current paper presents a risk-based formulation of active learning, in which the querying of class-label information is guided by the expected value of said information for each incipient data point. When applied to structural health monitoring, the querying of class labels can be mapped onto the inspection of a structure of interest in order to determine its health state. In the current paper, the risk-based active learning process is explained and visualised via a representative numerical example and subsequently applied to the Z24 Bridge benchmark. The results of the case studies indicate that a decision-maker's performance can be improved via the risk-based active learning of a statistical classifier, such that the decision process itself is taken into account.

We study the problem of learning Bayesian networks where an $\epsilon$-fraction of the samples are adversarially corrupted. We focus on the fully-observable case where the underlying graph structure is known. In this work, we present the first nearly-linear time algorithm for this problem with a dimension-independent error guarantee. Previous robust algorithms with comparable error guarantees are slower by at least a factor of $(d/\epsilon)$, where $d$ is the number of variables in the Bayesian network and $\epsilon$ is the fraction of corrupted samples. Our algorithm and analysis are considerably simpler than those in previous work. We achieve this by establishing a direct connection between robust learning of Bayesian networks and robust mean estimation. As a subroutine in our algorithm, we develop a robust mean estimation algorithm whose runtime is nearly-linear in the number of nonzeros in the input samples, which may be of independent interest.

We propose a Multiscale Invertible Generative Network (MsIGN) and associated training algorithm that leverages multiscale structure to solve high-dimensional Bayesian inference. To address the curse of dimensionality, MsIGN exploits the low-dimensional nature of the posterior, and generates samples from coarse to fine scale (low to high dimension) by iteratively upsampling and refining samples. MsIGN is trained in a multi-stage manner to minimize the Jeffreys divergence, which avoids mode dropping in high-dimensional cases. On two high-dimensional Bayesian inverse problems, we show superior performance of MsIGN over previous approaches in posterior approximation and multiple mode capture. On the natural image synthesis task, MsIGN achieves superior performance in bits-per-dimension over baseline models and yields great interpret-ability of its neurons in intermediate layers.

We study the statistical limits of uniform convergence for offline policy evaluation (OPE) problems (uniform OPE for short) with model-based methods under episodic MDP setting. Uniform OPE $\sup_\Pi|Q^\pi-\hat{Q}^\pi|<\epsilon$ (initiated by Yin et al. 2021) is a stronger measure than the point-wise (fixed policy) OPE and ensures offline policy learning when $\Pi$ contains all policies (we call it global policy class). In this paper, we establish an $\Omega(H^2 S/d_m\epsilon^2)$ lower bound (over model-based family) for the global uniform OPE, where $d_m$ is the minimal state-action distribution induced by the behavior policy. The order $S/d_m\epsilon^2$ reveals global uniform OPE task is intrinsically harder than offline policy learning due to the extra $S$ factor. Next, our main result establishes an episode complexity of $\tilde{O}(H^2/d_m\epsilon^2)$ for \emph{local} uniform convergence that applies to all \emph{near-empirically optimal} policies for the MDPs with \emph{stationary} transition. The result implies the optimal sample complexity for offline learning and separates local uniform OPE from the global case. Paramountly, the model-based method combining with our new analysis technique (singleton absorbing MDP) can be adapted to the new settings: offline task-agnostic and the offline reward-free with optimal complexity $\tilde{O}(H^2\log(K)/d_m\epsilon^2)$ ($K$ is the number of tasks) and $\tilde{O}(H^2S/d_m\epsilon^2)$ respectively, which provides a unified framework for simultaneously solving different offline RL problems.

In this paper we derive an explicit formula for calculating the marginal likelihood of a given factorization of a categorical dataset. Since the marginal likelihood is proportional to the posterior probability of the factorization, these likelihoods can be used to order all possible factorizations and select the "best" way to factor the overall distribution from which the dataset is drawn. The best factorization can then be used to construct a Bayes classifier which benefits from factoring out mutually independent sets of variables.

In this paper, we propose a Bayesian framework to create two dimensional ionospheric images of high spatio-temporal resolution to monitor ionospheric irregularities as measured by the S4 index. Here, we recast the standard Bayesian recursive filtering for a linear Gaussian state-space model, also referred to as the Kalman filter, first by augmenting the (pierce point) observation model with connectivity information stemming from the insight and assumptions/standard modeling about the spatial distribution of the scintillation activity on the ionospheric shell at 350 km altitude. Thus, we achieve to handle the limited spatio-temporal observations. Then, by introducing a set of Kalman filters running in parallel, we mitigate the uncertainty related to a tuning parameter of the proposed augmented model. The output images are a weighted average of the state estimates of the individual filters. We demonstrate our approach by rendering two dimensional real-time ionospheric images of S4 amplitude scintillation at 350 km over South America with temporal resolution of one minute. Furthermore, we employ extra S4 data that was not used in producing these ionospheric images, to check and verify the ability of our images to predict this extra data in particular ionospheric pierce points. Our results show that in areas with a network of ground receivers with a relatively good coverage (e.g. within a couple of kilometers distance) the produced images can provide reliable real-time results. Our proposed algorithmic framework can be readily used to visualize real-time ionospheric images taking as inputs the available scintillation data provided from freely available web-servers.

Marginal-likelihood based model-selection, even though promising, is rarely used in deep learning due to estimation difficulties. Instead, most approaches rely on validation data, which may not be readily available. In this work, we present a scalable marginal-likelihood estimation method to select both the hyperparameters and network architecture based on the training data alone. Some hyperparameters can be estimated online during training, simplifying the procedure. Our marginal-likelihood estimate is based on Laplace's method and Gauss-Newton approximations to the Hessian, and it outperforms cross-validation and manual-tuning on standard regression and image classification datasets, especially in terms of calibration and out-of-distribution detection. Our work shows that marginal likelihoods can improve generalization and be useful when validation data is unavailable (e.g., in nonstationary settings).

Probabilistic machine learning models are often insufficient to help with decisions on interventions because those models find correlations - not causal relationships. If observational data is only available and experimentation are infeasible, the correct approach to study the impact of an intervention is to invoke Pearl's causality framework. Even that framework assumes that the underlying causal graph is known, which is seldom the case in practice. When the causal structure is not known, one may use out-of-the-box algorithms to find causal dependencies from observational data. However, there exists no method that also accounts for the decision-maker's prior knowledge when developing the causal structure either. The objective of this paper is to develop rational approaches for making decisions from observational data in the presence of causal graph uncertainty and prior knowledge from the decision-maker. We use ensemble methods like Bayesian Model Averaging (BMA) to infer set of causal graphs that can represent the data generation process. We provide decisions by computing the expected value and risk of potential interventions explicitly. We demonstrate our approach by applying them in different example contexts.

In this paper, we consider online planning in partially observable domains. Solving the corresponding POMDP problem is a very challenging task, particularly in an online setting. Our key contribution is a novel algorithmic approach, Simplified Information Theoretic Belief Space Planning (SITH-BSP), which aims to speed-up POMDP planning considering belief-dependent rewards, without compromising on the solution's accuracy. We do so by mathematically relating the simplified elements of the problem to the corresponding counterparts of the original problem. Specifically, we focus on belief simplification and use it to formulate bounds on the corresponding original belief-dependent rewards. These bounds in turn are used to perform branch pruning over the belief tree, in the process of calculating the optimal policy. We further introduce the notion of adaptive simplification, while re-using calculations between different simplification levels and exploit it to prune, at each level in the belief tree, all branches but one. Therefore, our approach is guaranteed to find the optimal solution of the original problem but with substantial speedup. As a second key contribution, we derive novel analytical bounds for differential entropy, considering a sampling-based belief representation, which we believe are of interest on their own. We validate our approach in simulation using these bounds and where simplification corresponds to reducing the number of samples, exhibiting a significant computational speedup while yielding the optimal solution.