We argue that hedging is an activity that human and machine agents should engage in more broadly, even when the agent's value is not necessarily in monetary units. In this paper, we propose a decision-theoretic view of hedging based on augmenting a probabilistic graphical model -- specifically a Bayesian network or an influence diagram -- with a reward. Hedging is therefore posed as a particular kind of graph manipulation, and can be viewed as analogous to control/intervention and information gathering related analysis. Effective hedging occurs when a risk-averse agent finds opportunity to balance uncertain rewards in their current situation. We illustrate the concepts with examples and counter-examples, and conduct experiments to demonstrate the properties and applicability of the proposed computational tools that enable agents to proactively identify potential hedging opportunities in real-world situations.

Probabilistic principal component analysis (PPCA) is currently one of the most used statistical tools to reduce the ambient dimension of the data. From multidimensional scaling to the imputation of missing data, PPCA has a broad spectrum of applications ranging from science and engineering to quantitative finance.\Despite In fact, it is well known that the maximum likelihood estimation (MLE) can only recover the true model parameters up to a rotation. The main obstruction is posed by the inherent identifiability nature of the PPCA model resulting from the rotational symmetry of the parameterization. To resolve this ambiguity, we propose a novel approach using quotient topological spaces and in particular, we show that the maximum likelihood solution is consistent in an appropriate quotient Euclidean space.

Many of the causal discovery methods rely on the faithfulness assumption to guarantee asymptotic correctness. However, the assumption can be approximately violated in many ways, leading to sub-optimal solutions. Although there is a line of research in Bayesian network structure learning that focuses on weakening the assumption, such as exact search methods with well-defined score functions, they do not scale well to large graphs. In this work, we introduce several strategies to improve the scalability of exact score-based methods in the linear Gaussian setting. In particular, we develop a super-structure estimation method based on the support of inverse covariance matrix which requires assumptions that are strictly weaker than faithfulness, and apply it to restrict the search space of exact search.

We propose a family of First Hitting Diffusion Models (FHDM), deep generative models that generate data with a diffusion process that terminates at a random first hitting time. This yields an extension of the standard fixed-time diffusion models that terminate at a pre-specified deterministic time. Although standard diffusion models are designed for continuous unconstrained data, FHDM is naturally designed to learn distributions on continuous as well as a range of discrete and structure domains. Moreover, FHDM enables instance-dependent terminate time and accelerates the diffusion process to sample higher quality data with fewer diffusion steps. Technically, we train FHDM by maximum likelihood estimation on diffusion trajectories augmented from observed data with conditional first hitting processes (i.e., bridge) derived based on Doob's h -transform, deviating from the commonly used time-reversal mechanism.

Stochastic variational inference (SVI) uses stochastic optimization to scale up Bayesian computation to massive data. We present an alternative perspective on SVI as approximate parallel coordinate ascent. SVI trades-off bias and variance to step close to the unknown true coordinate optimum given by batch variational Bayes (VB). We define a model to automate this process. As a consequence of this construction, we update the variational parameters using Bayes rule, rather than a hand-crafted optimization schedule.

In this paper, we tackle the Bayesian estimation of point process intensity as a function of covariates. We propose a novel augmentation of permanental process called augmented permanental process, a doubly-stochastic point process that uses a Gaussian process on covariate space to describe the Bayesian a priori uncertainty present in the square root of intensity, and derive a fast Bayesian estimation algorithm that scales linearly with data size without relying on either domain discretization or Markov Chain Monte Carlo computation. The proposed algorithm is based on a non-trivial finding that the representer theorem, one of the most desirable mathematical property for machine learning problems, holds for the augmented permanental process, which provides us with many significant computational advantages. We evaluate our algorithm on synthetic and real-world data, and show that it outperforms state-of-the-art methods in terms of predictive accuracy while being substantially faster than a conventional Bayesian method.

Fine-grained zero-shot learning task requires some form of side-information to transfer discriminative information from seen to unseen classes. As manually annotated visual attributes are extremely costly and often impractical to obtain for a large number of classes, in this study we use DNA as a side information for the first time for fine-grained zero-shot classification of species. Mitochondrial DNA plays an important role as a genetic marker in evolutionary biology and has been used to achieve near perfect accuracy in species classification of living organisms. We implement a simple hierarchical Bayesian model that uses DNA information to establish the hierarchy in the image space and employs local priors to define surrogate classes for unseen ones. On the benchmark CUB dataset we show that DNA can be equally promising, yet in general a more accessible alternative than word vectors as a side information.

The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to overfitting. To address these problems we introduce GP-Vol, a novel non-parametric model for time-changing variances based on Gaussian Processes. This new model can capture highly flexible functional relationships for the variances.

Sparse signal recovery addresses the problem of solving underdetermined linear inverse problems subject to a sparsity constraint. We propose a novel prior formulation, the structured spike and slab prior, which allows to incorporate a priori knowledge of the sparsity pattern by imposing a spatial Gaussian process on the spike and slab probabilities. Thus, prior information on the structure of the sparsity pattern can be encoded using generic covariance functions. Furthermore, we provide a Bayesian inference scheme for the proposed model based on the expectation propagation framework. Using numerical experiments on synthetic data, we demonstrate the benefits of the model.

Carbon Nanotube has long been seen as a promising candidate for high-performance electronic material, yet its unique 1D structure leads to challenges in device fabrication. Many processing approaches have been proposed to produce better performing CNTFETs and this explosion of data needs an efficient way to explore.