As outlined in [1], leveraging big data and real time analytics constitute two main research venues for OR/MS in the analytics age. Information and communication technologies (ICT) have experienced an exponential growth in the last few decades and most human activities, businesses and devices strongly depend on ICT [2]. With the advent of the Internet of Things (IoT), this interrelation will become even more evident and change dramatically the way in which different components of business and service systems interact. In parallel, risks concerning the security of ICT systems are also growing, as pointed out e.g. in [3].

Parameter inference for stochastic differential equations is challenging due to the presence of a latent diffusion process. Working with an Euler-Maruyama discretisation for the diffusion, we use variational inference to jointly learn the parameters and the diffusion paths. We use a standard mean-field variational approximation of the parameter posterior, and introduce a recurrent neural network to approximate the posterior for the diffusion paths conditional on the parameters. This neural network learns how to provide Gaussian state transitions which bridge between observations in a very similar way to the conditioned diffusion process. The resulting black-box inference method can be applied to any SDE system with light tuning requirements. We illustrate the method on a Lotka-Volterra system and an epidemic model, producing accurate parameter estimates in a few hours.

Period estimation is one of the central topics in astronomical time series analysis, where data is often unevenly sampled. Especially challenging are studies of stellar magnetic cycles, as there the periods looked for are of the order of the same length than the datasets themselves. The datasets often contain trends, the origin of which is either a real long-term cycle or an instrumental effect, but these effects cannot be reliably separated, while they can lead to erroneous period determinations if not properly handled. In this study we aim at developing a method that can handle the trends properly, and by performing extensive set of testing, we show that this is the optimal procedure when contrasted with methods that do not include the trend directly to the model. The effect of the form of the noise (whether constant or heteroscedastic) on the results is also investigated. We introduce a Bayesian Generalised Lomb-Scargle Periodogram with Trend (BGLST), which is a probabilistic linear regression model using Gaussian priors for the coefficients and uniform prior for the frequency parameter. We show, using synthetic data, that when there is no prior information on whether and to what extent the true model of the data contains a linear trend, the introduced BGLST method is preferable to the methods which either detrend the data or leave the data untrended before fitting the periodic model. Whether to use noise with different than constant variance in the model depends on the density of the data sampling as well as on the true noise type of the process.

We propose a fast method with statistical guarantees for learning an exponential family density model where the natural parameter is in a reproducing kernel Hilbert space, and may be infinite-dimensional. The model is learned by fitting the derivative of the log density, the score, thus avoiding the need to compute a normalization constant. Our approach improves the computational efficiency of an earlier solution by using a low-rank, Nystr\"om-like solution. The new solution retains the consistency and convergence rates of the full-rank solution (exactly in Fisher distance, and nearly in other distances), with guarantees on the degree of cost and storage reduction. We evaluate the method in experiments on density estimation and in the construction of an adaptive Hamiltonian Monte Carlo sampler. Compared to an existing score learning approach using a denoising autoencoder, our estimator is empirically more data-efficient when estimating the score, runs faster, and has fewer parameters (which can be tuned in a principled and interpretable way), in addition to providing statistical guarantees.

Cloud computing involves complex technical and economical systems and interactions. This brings about various challenges, two of which are: (1) debugging and control of computing systems with the help of sandbox experiments, and (2) prediction of the cost of "spot" resources for decision making of cloud clients. In this paper, we formalize debugging by counterfactual probabilities and control by post-(soft-)interventional probabilities. We prove that counterfactuals can approximately be calculated from a "stochastic" graphical causal model (while they are originally defined only for "deterministic" functional causal models), and based on this sketch an approach to address problem (1). To address problem (2), we formalize bidding by post-(soft-)interventional probabilities and present a simple mathematical result on approximate integration of "incomplete" conditional probability distributions. We show how this can be used by cloud clients to trade off privacy against predictability of the outcome of their bidding actions in a toy scenario. We report experiments on simulated and real data.

Conventional neural networks aren't well designed to model the uncertainty associated with the predictions they make. For that, one way is to go full Bayesian. What are we trying to do? Any deep network has parameters, often in the form of weights (w_1, w_2, …) and biases (b_1,b_2, …). The conventional (non-Bayesian) way is to learn only the optimal values via maximum likelihood estimation.

In conventional ODE modelling coefficients of an equation driving the system state forward in time are estimated. However, for many complex systems it is practically impossible to determine the equations or interactions governing the underlying dynamics. In these settings, parametric ODE model cannot be formulated. Here, we overcome this issue by introducing a novel paradigm of nonparametric ODE modelling that can learn the underlying dynamics of arbitrary continuous-time systems without prior knowledge. We propose to learn non-linear, unknown differential functions from state observations using Gaussian process vector fields within the exact ODE formalism. We demonstrate the model's capabilities to infer dynamics from sparse data and to simulate the system forward into future.

We present the first framework for Gaussian-process-modulated Poisson processes when the temporal data appear in the form of panel counts. Panel count data frequently arise when experimental subjects are observed only at discrete time points and only the numbers of occurrences of the events between subsequent observation times are available. The exact occurrence timestamps of the events are unknown. The method of conducting the efficient variational inference is presented, based on the assumption of a Gaussian-process-modulated intensity function. We derive a tractable lower bound to alleviate the problems of the intractable evidence lower bound inherent in the variational inference framework. Our algorithm outperforms classical methods on both synthetic and three real panel count sets.

Probabilistic graphical models offer a powerful framework to account for the dependence structure between variables, which is represented as a graph. However, the dependence between variables may render inference tasks intractable. In this paper we review techniques exploiting the graph structure for exact inference, borrowed from optimisation and computer science. They are built on the principle of variable elimination whose complexity is dictated in an intricate way by the order in which variables are eliminated. The so-called treewidth of the graph characterises this algorithmic complexity: low-treewidth graphs can be processed efficiently. The first message that we illustrate is therefore the idea that for inference in graphical model, the number of variables is not the limiting factor, and it is worth checking for the treewidth before turning to approximate methods. We show how algorithms providing an upper bound of the treewidth can be exploited to derive a 'good' elimination order enabling to perform exact inference. The second message is that when the treewidth is too large, algorithms for approximate inference linked to the principle of variable elimination, such as loopy belief propagation and variational approaches, can lead to accurate results while being much less time consuming than Monte-Carlo approaches. We illustrate the techniques reviewed in this article on benchmarks of inference problems in genetic linkage analysis and computer vision, as well as on hidden variables restoration in coupled Hidden Markov Models.

Although materially beneficial corporate deployments of AI are beginning to proliferate, the AI activities of the majority still amount to a few isolated pilot projects conceived in an ad-hoc basis. Organisations without a clear AI strategy – and that's most – run the risk of falling behind as other better organised industry players move forward. That said, while individual AI solutions can be transformative within the scope of their application, that's not as clear-cut an argument for front-to-back change as, say, the digital transformation of a high street retailer. Developing an AI strategy requires an exercise of careful discrimination – acknowledging the present limitations of AI as well as its strengths in order to identify where one can, cannot, or even should not exploit it. This article is about the'what' of an AI strategy rather than the equally important'how'.