In the pursuit of efficient optimization of expensive-to-evaluate systems, this paper investigates a novel approach to Bayesian multi-objective and multi-fidelity (MOMF) optimization. Traditional optimization methods, while effective, often encounter prohibitively high costs in multi-dimensional optimizations of one or more objectives. Multi-fidelity approaches offer potential remedies by utilizing multiple, less costly information sources, such as low-resolution simulations. However, integrating these two strategies presents a significant challenge. We suggest the innovative use of a trust metric to support simultaneous optimization of multiple objectives and data sources. Our method modifies a multi-objective optimization policy to incorporate the trust gain per evaluation cost as one objective in a Pareto optimization problem, enabling simultaneous MOMF at lower costs. We present and compare two MOMF optimization methods: a holistic approach selecting both the input parameters and the trust parameter jointly, and a sequential approach for benchmarking. Through benchmarks on synthetic test functions, our approach is shown to yield significant cost reductions - up to an order of magnitude compared to pure multi-objective optimization. Furthermore, we find that joint optimization of the trust and objective domains outperforms addressing them in sequential manner. We validate our results using the use case of optimizing laser-plasma acceleration simulations, demonstrating our method's potential in Pareto optimization of high-cost black-box functions. Implementing these methods in existing Bayesian frameworks is simple, and they can be readily extended to batch optimization. With their capability to handle various continuous or discrete fidelity dimensions, our techniques offer broad applicability in solving simulation problems in fields such as plasma physics and fluid dynamics.

We propose a novel framework for discovering Stochastic Partial Differential Equations (SPDEs) from data. The proposed approach combines the concepts of stochastic calculus, variational Bayes theory, and sparse learning. We propose the extended Kramers-Moyal expansion to express the drift and diffusion terms of an SPDE in terms of state responses and use Spike-and-Slab priors with sparse learning techniques to efficiently and accurately discover the underlying SPDEs. The proposed approach has been applied to three canonical SPDEs, (a) stochastic heat equation, (b) stochastic Allen-Cahn equation, and (c) stochastic Nagumo equation. Our results demonstrate that the proposed approach can accurately identify the underlying SPDEs with limited data. This is the first attempt at discovering SPDEs from data, and it has significant implications for various scientific applications, such as climate modeling, financial forecasting, and chemical kinetics.

We propose an efficient online approximate Bayesian inference algorithm for estimating the parameters of a nonlinear function from a potentially non-stationary data stream. The method is based on the extended Kalman filter (EKF), but uses a novel low-rank plus diagonal decomposition of the posterior precision matrix, which gives a cost per step which is linear in the number of model parameters. In contrast to methods based on stochastic variational inference, our method is fully deterministic, and does not require step-size tuning. We show experimentally that this results in much faster (more sample efficient) learning, which results in more rapid adaptation to changing distributions, and faster accumulation of reward when used as part of a contextual bandit algorithm.

PyVBMC is a Python implementation of the Variational Bayesian Monte Carlo (VBMC) algorithm for posterior and model inference for black-box computational models (Acerbi, 2018, 2020). VBMC is an approximate inference method designed for efficient parameter estimation and model assessment when model evaluations are mildly-to-very expensive (e.g., a second or more) and/or noisy. Specifically, VBMC computes: - a flexible (non-Gaussian) approximate posterior distribution of the model parameters, from which statistics and posterior samples can be easily extracted; - an approximation of the model evidence or marginal likelihood, a metric used for Bayesian model selection. PyVBMC can be applied to any computational or statistical model with up to roughly 10-15 continuous parameters, with the only requirement that the user can provide a Python function that computes the target log likelihood of the model, or an approximation thereof (e.g., an estimate of the likelihood obtained via simulation or Monte Carlo methods). PyVBMC is particularly effective when the model takes more than about a second per evaluation, with dramatic speed-ups of 1-2 orders of magnitude when compared to traditional approximate inference methods. Extensive benchmarks on both artificial test problems and a large number of real models from the computational sciences, particularly computational and cognitive neuroscience, show that VBMC generally - and often vastly - outperforms alternative methods for sample-efficient Bayesian inference, and is applicable to both exact and simulator-based models (Acerbi, 2018, 2019, 2020). PyVBMC brings this state-of-the-art inference algorithm to Python, along with an easy-to-use Pythonic interface for running the algorithm and manipulating and visualizing its results.

Various brain functions that are necessary to maintain life activities materialize through the interaction of countless neurons. Therefore, it is important to analyze functional neuronal network. To elucidate the mechanism of brain function, many studies are being actively conducted on functional neuronal ensemble and hub, including all areas of neuroscience. In addition, recent study suggests that the existence of functional neuronal ensembles and hubs contributes to the efficiency of information processing. For these reasons, there is a demand for methods to infer functional neuronal ensembles from neuronal activity data, and methods based on Bayesian inference have been proposed. However, there is a problem in modeling the activity in Bayesian inference. The features of each neuron's activity have non-stationarity depending on physiological experimental conditions. As a result, the assumption of stationarity in Bayesian inference model impedes inference, which leads to destabilization of inference results and degradation of inference accuracy. In this study, we extend the range of the variable for expressing the neuronal state, and generalize the likelihood of the model for extended variables. By comparing with the previous study, our model can express the neuronal state in larger space. This generalization without restriction of the binary input enables us to perform soft clustering and apply the method to non-stationary neuroactivity data. In addition, for the effectiveness of the method, we apply the developed method to multiple synthetic fluorescence data generated from the electrical potential data in leaky integrated-and-fire model.

PyBADS is a Python implementation of the Bayesian Adaptive Direct Search (BADS) algorithm for fast and robust black-box optimization (Acerbi and Ma 2017). BADS is an optimization algorithm designed to efficiently solve difficult optimization problems where the objective function is rough (non-convex, non-smooth), mildly expensive (e.g., the function evaluation requires more than 0.1 seconds), possibly noisy, and gradient information is unavailable. With BADS, these issues are well addressed, making it an excellent choice for fitting computational models using methods such as maximum-likelihood estimation. The algorithm scales efficiently to black-box functions with up to $D \approx 20$ continuous input parameters and supports bounds or no constraints. PyBADS comes along with an easy-to-use Pythonic interface for running the algorithm and inspecting its results. PyBADS only requires the user to provide a Python function for evaluating the target function, and optionally other constraints. Extensive benchmarks on both artificial test problems and large real model-fitting problems models drawn from cognitive, behavioral and computational neuroscience, show that BADS performs on par with or better than many other common and state-of-the-art optimizers (Acerbi and Ma 2017), making it a general model-fitting tool which provides fast and robust solutions.

Bayesian and causal inference are fundamental processes for intelligence. Bayesian inference models observations: what can be inferred about y if we observe a related variable x? Causal inference models interventions: if we directly change x, how will y change? Predictive coding is a neuroscience-inspired method for performing Bayesian inference on continuous state variables using local information only. In this work, we go beyond Bayesian inference, and show how a simple change in the inference process of predictive coding enables interventional and counterfactual inference in scenarios where the causal graph is known. We then extend our results, and show how predictive coding can be generalized to cases where this graph is unknown, and has to be inferred from data, hence performing causal discovery. What results is a novel and straightforward technique that allows us to perform end-to-end causal inference on predictive-coding-based structural causal models, and demonstrate its utility for potential applications in machine learning.

In this paper, we propose an innovative solution by constructing infinite tree-structured PGMs that correspond exactly to neural networks. Our research reveals that DNNs, during forward propagation, indeed perform approximations of PGM inference that are precise in this alternative PGM structure. Not only does our research complement existing studies that describe neural networks as kernel machines or infinite-sized Gaussian processes, it also elucidates a more direct approximation that DNNs make to exact inference in PGMs. Potential benefits include improved pedagogy and interpretation of DNNs, and algorithms that can merge the strengths of PGMs and DNNs.

Tackling the most pressing problems for humanity, such as the climate crisis and the threat of global pandemics, requires accelerating the pace of scientific discovery. While science has traditionally relied on trial and error and even serendipity to a large extent, the last few decades have seen a surge of data-driven scientific discoveries. However, in order to truly leverage large-scale data sets and high-throughput experimental setups, machine learning methods will need to be further improved and better integrated in the scientific discovery pipeline. A key challenge for current machine learning methods in this context is the efficient exploration of very large search spaces, which requires techniques for estimating reducible (epistemic) uncertainty and generating sets of diverse and informative experiments to perform. This motivated a new probabilistic machine learning framework called GFlowNets, which can be applied in the modeling, hypotheses generation and experimental design stages of the experimental science loop. GFlowNets learn to sample from a distribution given indirectly by a reward function corresponding to an unnormalized probability, which enables sampling diverse, high-reward candidates. GFlowNets can also be used to form efficient and amortized Bayesian posterior estimators for causal models conditioned on the already acquired experimental data. Having such posterior models can then provide estimators of epistemic uncertainty and information gain that can drive an experimental design policy. Altogether, here we will argue that GFlowNets can become a valuable tool for AI-driven scientific discovery, especially in scenarios of very large candidate spaces where we have access to cheap but inaccurate measurements or to expensive but accurate measurements. This is a common setting in the context of drug and material discovery, which we use as examples throughout the paper.

Pre-trained diffusion models have been successfully used as priors in a variety of linear inverse problems, where the goal is to reconstruct a signal from noisy linear measurements. However, existing approaches require knowledge of the linear operator. In this paper, we propose GibbsDDRM, an extension of Denoising Diffusion Restoration Models (DDRM) to a blind setting in which the linear measurement operator is unknown. GibbsDDRM constructs a joint distribution of the data, measurements, and linear operator by using a pre-trained diffusion model for the data prior, and it solves the problem by posterior sampling with an efficient variant of a Gibbs sampler. The proposed method is problem-agnostic, meaning that a pre-trained diffusion model can be applied to various inverse problems without fine-tuning. In experiments, it achieved high performance on both blind image deblurring and vocal dereverberation tasks, despite the use of simple generic priors for the underlying linear operators.