Although timely sepsis diagnosis and prompt interventions in Intensive Care Unit (ICU) patients are associated with reduced mortality, early clinical recognition is frequently impeded by nonspecific signs of infection and failure to detect signs of sepsis-induced organ dysfunction in a constellation of dynamically changing physiological data. The goal of this work is to identify patient at risk of life-threatening sepsis utilizing a data-centered and machine learning-driven approach. We derive a mortality risk predictive dynamic Bayesian network (DBN) guided by a customized sepsis knowledgebase and compare the predictive accuracy of the derived DBN with the Sepsis-related Organ Failure Assessment (SOFA) score, the Quick SOFA (qSOFA) score, the Simplified Acute Physiological Score (SAPS-II) and the Modified Early Warning Score (MEWS) tools. A customized sepsis ontology was used to derive the DBN node structure and semantically characterize temporal features derived from both structured physiological data and unstructured clinical notes. We assessed the performance in predicting mortality risk of the DBN predictive model and compared performance to other models using Receiver Operating Characteristic (ROC) curves, area under curve (AUROC), calibration curves, and risk distributions. The derived dataset consists of 24,506 ICU stays from 19,623 patients with evidence of suspected infection, with 2,829 patients deceased at discharge. The DBN AUROC was found to be 0.91, which outperformed the SOFA (0.843), qSOFA (0.66), MEWS (0.729), and SAPS-II (0.766) scoring tools. Continuous Net Reclassification Index and Integrated Discrimination Improvement analysis supported the superiority DBN with respect to SOFA, qSOFA, MEWS, and SAPS-II. Compared with conventional rule-based risk scoring tools, the sepsis knowledgebase-driven DBN algorithm offers improved performance for predicting mortality of infected patients in intensive care units.

The problem of low-rank matrix estimation recently received a lot of attention due to challenging applications. A lot of work has been done on rank-penalized methods and convex relaxation, both on the theoretical and applied sides. However, only a few papers considered Bayesian estimation. In this paper, we review the different type of priors considered on matrices to favour low-rank. We also prove that the obtained Bayesian estimators, under suitable assumptions, enjoys the same optimality properties as the ones based on penalization.

In partially observed environments, it can be useful for a human to provide the robot with declarative information that represents probabilistic relational constraints on properties of objects in the world, augmenting the robot's sensory observations. For instance, a robot tasked with a search-and-rescue mission may be informed by the human that two victims are probably in the same room. An important question arises: how should we represent the robot's internal knowledge so that this information is correctly processed and combined with raw sensory information? In this paper, we provide an efficient belief state representation that dynamically selects an appropriate factoring, combining aspects of the belief when they are correlated through information and separating them when they are not. This strategy works in open domains, in which the set of possible objects is not known in advance, and provides significant improvements in inference time over a static factoring, leading to more efficient planning for complex partially observed tasks.

It's been long since I contributed to the community. I am back to give what was due. But before that, let me tell you what I was up to all this time. The highlights of all these months professionally have been two things. One, I spoke at a data science conference in March (Mumbai edition of WiDS).

Using stochastic gradient search and the optimal filter derivative, it is possible to perform recursive (i.e., online) maximum likelihood estimation in a non-linear state-space model. As the optimal filter and its derivative are analytically intractable for such a model, they need to be approximated numerically. In [Poyiadjis, Doucet and Singh, Biometrika 2018], a recursive maximum likelihood algorithm based on a particle approximation to the optimal filter derivative has been proposed and studied through numerical simulations. Here, this algorithm and its asymptotic behavior are analyzed theoretically. We show that the algorithm accurately estimates maxima to the underlying (average) log-likelihood when the number of particles is sufficiently large. We also derive (relatively) tight bounds on the estimation error. The obtained results hold under (relatively) mild conditions and cover several classes of non-linear state-space models met in practice.

As artificial intelligence is increasingly affecting all parts of society and life, there is growing recognition that human interpretability of machine learning models is important. It is often argued that accuracy or other similar generalization performance metrics must be sacrificed in order to gain interpretability. Such arguments, however, fail to acknowledge that the overall decision-making system is composed of two entities: the learned model and a human who fuses together model outputs with his or her own information. As such, the relevant performance criteria should be for the entire system, not just for the machine learning component. In this work, we characterize the performance of such two-node tandem data fusion systems using the theory of distributed detection. In doing so, we work in the population setting and model interpretable learned models as multi-level quantizers. We prove that under our abstraction, the overall system of a human with an interpretable classifier outperforms one with a black box classifier.

Learning of dynamical systems, or state-space models, is central to many machine learning problems, such as reinforcement learning, sequence modeling, and autonomous systems. Furthermore, state-space models are at the core of recent model developments within the machine learning area, such as Gaussian process state-space models (Frigola et al. 2014a; Mattos et al. 2016; etc.), infinite factorial dynamical models (Gael et al., 2009; Valera et al., 2015), and stochastic recurrent neural networks (Fraccaro et al., 2016, for example). A strategy to learn state-space models, independently suggested by Digalakis et al. (1993) and Ghahramani and Hinton (1996), is the use of the Expectation Maximization (EM, Dempster et al. 1977) method. Even though originally proposed only for maximum likelihood estimation of linear models with Gaussian noise, the strategy can be generalized to the more challenging nonlinear and non-Gaussian cases, as well as the empirical Bayes setting. Many contributions have been made during the last decade, and this paper takes another step along the path towards a more computationally efficient method with a solid theoretical ground for learning of nonlinear dynamical systems.

We study the fundamental limits of detecting the presence of an additive rank-one perturbation, or spike, to a Wigner matrix. When the spike comes from a prior that is i.i.d. across coordinates, we prove that the log-likelihood ratio of the spiked model against the non-spiked one is asymptotically normal below a certain reconstruction threshold which is not necessarily of a "spectral" nature, and that it is degenerate above. This establishes the maximal region of contiguity between the planted and null models. It is known that this threshold also marks a phase transition for estimating the spike: the latter task is possible above the threshold and impossible below. Therefore, both estimation and detection undergo the same transition in this random matrix model. We also provide further information about the performance of the optimal test. Our proofs are based on Gaussian interpolation methods and a rigorous incarnation of the cavity method, as devised by Guerra and Talagrand in their study of the Sherrington--Kirkpatrick spin-glass model.

Pseudo-marginal Metropolis-Hastings (pmMH) is a versatile algorithm for sampling from target distributions which are not easy to evaluate point-wise. However, pmMH requires good proposal distributions to sample efficiently from the target, which can be problematic to construct in practice. This is especially a problem for high-dimensional targets when the standard random-walk proposal is inefficient. We extend pmMH to allow for constructing the proposal based on information from multiple past iterations. As a consequence, quasi-Newton (qN) methods can be employed to form proposals which utilize gradient information to guide the Markov chain to areas of high probability and to construct approximations of the local curvature to scale step sizes. The proposed method is demonstrated on several problems which indicate that qN proposals can perform better than other common Hessian-based proposals.

We study optimization methods for solving the maximum likelihood formulation of independent component analysis (ICA). We consider both the the problem constrained to white signals and the unconstrained problem. The Hessian of the objective function is costly to compute, which renders Newton's method impractical for large data sets. Many algorithms proposed in the literature can be rewritten as quasi-Newton methods, for which the Hessian approximation is cheap to compute. These algorithms are very fast on simulated data where the linear mixture assumption really holds. However, on real signals, we observe that their rate of convergence can be severely impaired. In this paper, we investigate the origins of this behavior, and show that the recently proposed Preconditioned ICA for Real Data (Picard) algorithm overcomes this issue on both constrained and unconstrained problems.