This paper focuses on α-divergence minimisation methods for Variational Inference. We consider the case where the posterior density is approximated by a mixture model and we investigate algorithms optimising the mixture weights of this mixture model by α-divergence minimisation, without any information on the underlying distribution of its mixture components parameters. The Power Descent, defined for all α = 1, is one such algorithm and we establish in our work the full proof of its convergence towards the optimal mixture weights when α < 1. Since the α-divergence recovers the widely-used exclusive Kullback-Leibler when α 1, we then extend the Power Descent to the case α = 1 and show that we obtain an Entropic Mirror Descent. This leads us to investigate the link between Power Descent and Entropic Mirror Descent: first-order approximations allow us to introduce the Rényi Descent, a novel algorithm for which we prove an O(1/N) convergence rate. Lastly, we compare numerically the behavior of the unbiased Power Descent and of the biased Rényi Descent and we discuss the potential advantages of one algorithm over the other.

The Power Descent, defined for allα = 1, is one such algorithm and we establish in our work the full proof ofits convergence towards the optimal mixture weights whenα < 1.

We propose a recursive particle filter for high-dimensional problems that inherently never degenerates. The state estimate is represented by deterministic low-discrepancy particle sets. We focus on the measurement update step, where a likelihood function is used for representing the measurement and its uncertainty. This likelihood is progressively introduced into the filtering procedure by homotopy continuation over an artificial time. A generalized Cramér distance between particle sets is derived in closed form that is differentiable and invariant to particle order. A Newton flow then continually minimizes this distance over artificial time and thus smoothly moves particles from prior to posterior density. The new filter is surprisingly simple to implement and very efficient. It just requires a prior particle set and a likelihood function, never estimates densities from samples, and can be used as a plugin replacement for classic approaches.

Embedding non-restrictive prior knowledge, such as energy conservation laws, in learning-based approaches is a key motive to construct physically consistent models from limited data, relevant for, e.g., model-based control. Recent work incorporates Hamiltonian dynamics into Gaussian Process (GP) regression to obtain uncertainty-quantifying models that adhere to the underlying physical principles. However, these works rely on velocity or momentum data, which is rarely available in practice. In this paper, we consider dynamics learning with non-conservative Hamiltonian GPs, and address the more realistic problem setting of learning from input-output data. We provide a fully Bayesian scheme for estimating probability densities of unknown hidden states, of GP hyperparameters, as well as of structural hyperparameters, such as damping coefficients. Considering the computational complexity of GPs, we take advantage of a reduced-rank GP approximation and leverage its properties for computationally efficient prediction and training. The proposed method is evaluated in a nonlinear simulation case study and compared to a state-of-the-art approach that relies on momentum measurements.

In this thesis, we introduce Bayesian filtering as a principled framework for tackling diverse sequential machine learning problems, including online (continual) learning, pre-quential (one-step-ahead) forecasting, and contextual bandits. To this end, this thesis addresses key challenges in applying Bayesian filtering to these problems: adaptivity to non-stationary environments, robustness to model misspecification and outliers, and scalability to the high-dimensional parameter space of deep neural networks. We develop novel tools within the Bayesian filtering framework to address each of these challenges, including: (i) a modular framework that enables the development adaptive approaches for online learning; (ii) a novel, provably robust filter with similar computational cost to standard filters, that employs Generalised Bayes; and (iii) a set of tools for sequentially updating model parameters using approximate second-order optimisation methods that exploit the overparametrisation of high-dimensional parametric models such as neural networks. Theoretical analysis and empirical results demonstrate the improved performance of our methods in dynamic, high-dimensional, and misspecified models.

In the event of a nuclear accident, or the detonation of a radiological dispersal device, quickly locating the source of the accident or blast is important for emergency response and environmental decontamination. At a specified time after a simulated instantaneous release of an aerosolized radioactive contaminant, measurements are recorded downwind from an array of radiation sensors. Neural networks are employed to infer the source release parameters in an accurate and rapid manner using sensor and mean wind speed data. We consider two neural network constructions that quantify the uncertainty of the predicted values; a categorical classification neural network and a Bayesian neural network. With the categorical classification neural network, we partition the spatial domain and treat each partition as a separate class for which we estimate the probability that it contains the true source location. In a Bayesian neural network, the weights and biases have a distribution rather than a single optimal value. With each evaluation, these distributions are sampled, yielding a different prediction with each evaluation. The trained Bayesian neural network is thus evaluated to construct posterior densities for the release parameters. Results are compared to Markov chain Monte Carlo (MCMC) results found using the Delayed Rejection Adaptive Metropolis Algorithm. The Bayesian neural network approach is generally much cheaper computationally than the MCMC approach as it relies on the computational cost of the neural network evaluation to generate posterior densities as opposed to the MCMC approach which depends on the computational expense of the transport and radiation detection models.

For challenging state estimation problems arising in domains like vision and robotics, particle-based representations attractively enable temporal reasoning about multiple posterior modes. Particle smoothers offer the potential for more accurate offline data analysis by propagating information both forward and backward in time, but have classically required human-engineered dynamics and observation models. Extending recent advances in discriminative training of particle filters, we develop a framework for low-variance propagation of gradients across long time sequences when training particle smoothers. Our "two-filter'' smoother integrates particle streams that are propagated forward and backward in time, while incorporating stratification and importance weights in the resampling step to provide low-variance gradient estimates for neural network dynamics and observation models. The resulting mixture density particle smoother is substantially more accurate than state-of-the-art particle filters, as well as search-based baselines, for city-scale global vehicle localization from real-world videos and maps.