Neural Information Processing Systems http://nips.cc/

We study the estimation of the latent variable Gaussian graphical model (LVGGM), where the precision matrix is the superposition of a sparse matrix and a low-rank matrix. In order to speed up the estimation of the sparse plus low-rank components, we propose a sparsity constrained maximum likelihood estimator based on matrix factorization, and an efficient alternating gradient descent algorithm with hard thresholding to solve it. Our algorithm is orders of magnitude faster than the convex relaxation based methods for LVGGM. In addition, we prove that our algorithm is guaranteed to linearly converge to the unknown sparse and low-rank components up to the optimal statistical precision. Experiments on both synthetic and genomic data demonstrate the superiority of our algorithm over the state-ofthe-art algorithms and corroborate our theory.

Mechanistic models of single-neuron dynamics have been extensively studied in computational neuroscience. However, identifying which models can quantitatively reproduce empirically measured data has been challenging. We propose to overcome this limitation by using likelihood-free inference approaches (also known as Approximate Bayesian Computation, ABC) to perform full Bayesian inference on single-neuron models. Our approach builds on recent advances in ABC by learning a neural network which maps features of the observed data to the posterior distribution over parameters. We learn a Bayesian mixture-density network approximating the posterior over multiple rounds of adaptively chosen simulations. Furthermore, we propose an efficient approach for handling missing features and parameter settings for which the simulator fails, as well as a strategy for automatically learning relevant features using recurrent neural networks. On synthetic data, our approach efficiently estimates posterior distributions and recovers ground-truth parameters. On in-vitro recordings of membrane voltages, we recover multivariate posteriors over biophysical parameters, which yield model-predicted voltage traces that accurately match empirical data. Our approach will enable neuroscientists to perform Bayesian inference on complex neuron models without having to design model-specific algorithms, closing the gap between mechanistic and statistical approaches to single-neuron modelling.

Approximate probabilistic inference algorithms are central to many fields. Examples include sequential Monte Carlo inference in robotics, variational inference in machine learning, and Markov chain Monte Carlo inference in statistics. A key problem faced by practitioners is measuring the accuracy of an approximate inference algorithm on a specific data set. This paper introduces the auxiliary inference divergence estimator (AIDE), an algorithm for measuring the accuracy of approximate inference algorithms. AIDE is based on the observation that inference algorithms can be treated as probabilistic models and the random variables used within the inference algorithm can be viewed as auxiliary variables. This view leads to a new estimator for the symmetric KL divergence between the approximating distributions of two inference algorithms. The paper illustrates application of AIDE to algorithms for inference in regression, hidden Markov, and Dirichlet process mixture models. The experiments show that AIDE captures the qualitative behavior of a broad class of inference algorithms and can detect failure modes of inference algorithms that are missed by standard heuristics.

We propose a scalable algorithm for model selection in sigmoid belief networks (SBNs), based on the factorized asymptotic Bayesian (FAB) framework. We derive the corresponding generalized factorized information criterion (gFIC) for the SBN, which is proven to be statistically consistent with the marginal log-likelihood. To capture the dependencies within hidden variables in SBNs, a recognition network is employed to model the variational distribution. The resulting algorithm, which we call FABIA, can simultaneously execute both model selection and inference by maximizing the lower bound of gFIC. On both synthetic and real data, our experiments suggest that FABIA, when compared to state-of-the-art algorithms for learning SBNs, (i) produces a more concise model, thus enabling faster testing; (ii) improves predictive performance; (iii) accelerates convergence; and (iv) prevents overfitting.

Neural Information Processing Systems http://nips.cc/

Point processes are powerful tools to model user activities and have a plethora of applications in social sciences. Predicting user activities based on point processes is a central problem. However, existing works are mostly problem specific, use heuristics, or simplify the stochastic nature of point processes. In this paper, we propose a framework that provides an efficient estimator of the probability mass function of point processes. In particular, we design a key reformulation of the prediction problem, and further derive a differential-difference equation to compute a conditional probability mass function. Our framework is applicable to general point processes and prediction tasks, and achieves superb predictive and efficiency performance in diverse real-world applications compared to the state of the art.

Deep neural networks (NNs) are powerful black box predictors that have recently achieved impressive performance on a wide spectrum of tasks. Quantifying predictive uncertainty in NNs is a challenging and yet unsolved problem. Bayesian NNs, which learn a distribution over weights, are currently the state-of-the-art for estimating predictive uncertainty; however these require significant modifications to the training procedure and are computationally expensive compared to standard (non-Bayesian) NNs. We propose an alternative to Bayesian NNs that is simple to implement, readily parallelizable, requires very little hyperparameter tuning, and yields high quality predictive uncertainty estimates. Through a series of experiments on classification and regression benchmarks, we demonstrate that our method produces well-calibrated uncertainty estimates which are as good or better than approximate Bayesian NNs. To assess robustness to dataset shift, we evaluate the predictive uncertainty on test examples from known and unknown distributions, and show that our method is able to express higher uncertainty on out-of-distribution examples. We demonstrate the scalability of our method by evaluating predictive uncertainty estimates on ImageNet.

Variational autoencoders (VAEs) learn representations of data by jointly training a probabilistic encoder and decoder network.

Neural Stochastic Differential Equations (Neural SDEs) have emerged as powerful mesh-free generative models for continuous stochastic processes, with critical applications in fields such as finance, physics, and biology. Previous state-of-the-art methods have relied on adversarial training, such as GANs, or on minimizing distance measures between processes using signature kernels. However, GANs suffer from issues like instability, mode collapse, and the need for specialized training techniques, while signature kernel-based methods require solving linear PDEs and backpropagating gradients through the solver, whose computational complexity scales quadratically with the discretization steps. In this paper, we identify a novel class of strictly proper scoring rules for comparing continuous Markov processes. This theoretical finding naturally leads to a novel approach called Finite Dimensional Matching (FDM) for training Neural SDEs. Our method leverages the Markov property of SDEs to provide a computationally efficient training objective. This scoring rule allows us to bypass the computational overhead associated with signature kernels and reduces the training complexity from $O(D^2)$ to $O(D)$ per epoch, where $D$ represents the number of discretization steps of the process. We demonstrate that FDM achieves superior performance, consistently outperforming existing methods in terms of both computational efficiency and generative quality.