Summary: Neural networks are a commonly used prediction tool in computer science and statistics. However, the barrier to entry of this interesting field remains high, particularly for classical statisticians trained in a frequentist perspective. In this letter, we demystify neural networks by describing networks that approximate a linear regression and describe common customizations that provide a foundation for further study.

We study recursive maximum likelihood estimation for stochastic interacting particle systems based on continuous observation of a single particle. In this regime, consistent estimation of the finite-particle log-likelihood is not possible, even in the limit as the number of particles $N\rightarrow\infty$ and the time horizon $t\rightarrow\infty$. We thus seek to optimise the stationary log-likelihood of the limiting mean-field system. We achieve this via a form of stochastic gradient estimate in continuous time, with stochastic gradient estimates computed using the continuous trajectory of the single observed particle, alongside a virtual interacting particle system and a virtual tangent interacting particle system, which are integrated with the online parameter estimate. For fixed numbers of real and virtual particles, we show that the resulting algorithms drive the gradient of a finite-particle surrogate objective to zero as $t\to\infty$. We then prove that, in the iterated limit $t\to\infty$ followed by $N,M\to\infty$, these surrogate gradients converge uniformly to the gradient of the stationary log-likelihood of the limiting mean-field system, yielding convergence to its stationary points. We illustrate the method on several numerical examples, including a model with quadratic confinement and interaction potentials, a model of interacting FitzHugh--Nagumo neurons, and a stochastic Kuramoto model.

Inverse optimal control can be used to characterize behavior in sequential decisionmaking tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce a probabilistic approach to inverse optimal control for partially observable stochastic non-linear systems with unobserved action signals, which unifies previous approaches to inverse optimal control with maximum causal entropy formulations. Using an explicit model of the noise characteristics of the sensory and motor systems of the agent in conjunction with local linearization techniques, we derive an approximate likelihood function for the model parameters, which can be computed within a single forward pass.

Over time,ADAPTON improves its model estimates and obtains more accurate gradient updates to improve the controller.

Inverse optimal control can be used to characterize behavior in sequential decision-making tasks.