Estimating the covariance structure of multivariate time series is a fundamental problem with a wide-range of real-world applications -- from financial modeling to fMRI analysis. Despite significant recent advances, current state-of-the-art methods are still severely limited in terms of scalability, and do not work well in high-dimensional undersampled regimes. In this work we propose a novel method called Temporal Correlation Explanation, or T-CorEx, that (a) has linear time and memory complexity with respect to the number of variables, and can scale to very large temporal datasets that are not tractable with existing methods; (b) gives state-of-the-art results in highly undersampled regimes on both synthetic and real-world datasets; and (c) makes minimal assumptions about the character of the dynamics of the system. T-CorEx optimizes an information-theoretic objective function to learn a latent factor graphical model for each time period and applies two regularization techniques to induce temporal consistency of estimates. We perform extensive evaluation of T-Corex using both synthetic and real-world data and demonstrate that it can be used for detecting sudden changes in the underlying covariance matrix, capturing transient correlations and analyzing extremely high-dimensional complex multivariate time series such as high-resolution fMRI data.

Compression is at the heart of effective representation learning. However, lossy compression is typically achieved through simple parametric models like Gaussian noise to preserve analytic tractability, and the limitations this imposes on learning are largely unexplored. Further, the Gaussian prior assumptions in models such as variational autoencoders (VAEs) provide only an upper bound on the compression rate in general. We introduce a new noise channel, Echo noise, that admits a simple, exact expression for mutual information for arbitrary input distributions. The noise is constructed in a data-driven fashion that does not require restrictive distributional assumptions. With its complex encoding mechanism and exact rate regularization, Echo leads to improved bounds on log-likelihood and dominates $\beta$-VAEs across the achievable range of rate-distortion trade-offs. Further, we show that Echo noise can outperform state-of-the-art flow methods without the need to train complex distributional transformations

Pooled imaging data from multiple sources is subject to variation between the sources. Correcting for these biases has become incredibly important as the size of imaging studies increases and the multi-site case becomes more common. We propose learning an intermediate representation invariant to site/protocol variables, a technique adapted from information theory-based algorithmic fairness; by leveraging the data processing inequality, such a representation can then be used to create an image reconstruction that is uninformative of its original source, yet still faithful to the underlying structure. To implement this, we use a machine learning method based on variational auto-encoders (VAE) to construct scanner invariant encodings of the imaging data. To evaluate our method, we use training data from the 2018 CDMRI Challenge Harmonization dataset. Our proposed method shows improvements on independent test data relative to a recently published baseline method.

Representations of data that are invariant to changes in specified factors are useful for a wide range of problems: removing potential biases in prediction problems, controlling the effects of covariates, and disentangling meaningful factors of variation. Unfortunately, learning representations that exhibit invariance to arbitrary nuisance factors yet remain useful for other tasks is challenging. Existing approaches cast the trade-off between task performance and invariance in an adversarial way, using an iterative minimax optimization. We show that adversarial training is unnecessary and sometimes counter-productive; we instead cast invariant representation learning as a single information-theoretic objective that can be directly optimized. We demonstrate that this approach matches or exceeds performance of state-of-the-art adversarial approaches for learning fair representations and for generative modeling with controllable transformations.

Representations of data that are invariant to changes in specified factors are useful for a wide range of problems: removing potential biases in prediction problems, controlling the effects of covariates, and disentangling meaningful factors of variation. Unfortunately, learning representations that exhibit invariance to arbitrary nuisance factors yet remain useful for other tasks is challenging. Existing approaches cast the trade-off between task performance and invariance in an adversarial way, using an iterative minimax optimization. We show that adversarial training is unnecessary and sometimes counter-productive; we instead cast invariant representation learning as a single information-theoretic objective that can be directly optimized. We demonstrate that this approach matches or exceeds performance of state-of-the-art adversarial approaches for learning fair representations and for generative modeling with controllable transformations.

We present two related methods for deriving connectivity-based brain atlases from individual connectomes. The proposed methods exploit a previously proposed dense connectivity representation, termed continuous connectivity, by first performing graph-based hierarchical clustering of individual brains, and subsequently aggregating the individual parcellations into a consensus parcellation. The search for consensus minimizes the sum of cluster membership distances, effectively estimating a pseudo-Karcher mean of individual parcellations. We assess the quality of our parcellations using (1) Kullback-Liebler and Jensen-Shannon divergence with respect to the dense connectome representation, (2) inter-hemispheric symmetry, and (3) performance of the simplified connectome in a biological sex classification task. We find that the parcellation based-atlas computed using a greedy search at a hierarchical depth 3 outperforms all other parcellation-based atlases as well as the standard Dessikan-Killiany anatomical atlas in all three assessments.

Representations of data that are invariant to changes in specified nuisance factors are useful for a wide range of problems: removing potential bias in prediction problems, controlling the effects of known confounders, and disentangling meaningful factors of variation. Unfortunately, learning representations that exhibit invariance to arbitrary nuisance factors yet remain useful for other tasks is challenging. Existing approaches cast the trade-off between task performance and invariance in an adversarial way, using an iterative minimax optimization. We show that adversarial training is unnecessary and sometimes counter-productive by casting invariant representation learning for various tasks as a single information-theoretic objective that can be directly optimized. We demonstrate that this approach matches or exceeds performance of state-of-the-art adversarial approaches for learning fair representations and for generative modeling with controllable transformations.