Quantifying differences between probability distributions is fundamental to statistics and machine learning, primarily for comparing statistical uncertainty. In contrast, epistemic uncertainty---due to incomplete knowledge---requires richer representations than those offered by classical probability. Imprecise probability (IP) theory offers such models, capturing ambiguity and partial belief. This has driven growing interest in imprecise probabilistic machine learning (IPML), where inference and decision-making rely on broader uncertainty models---highlighting the need for metrics beyond classical probability. This work introduces the Integral Imprecise Probability Metric (IIPM) framework, a Choquet integral-based generalisation of classical Integral Probability Metric to the setting of capacities---a broad class of IP models encompassing many existing ones, including lower probabilities, probability intervals, belief functions, and more. Theoretically, we establish conditions under which IIPM serves as a valid metric and metrises a form of weak convergence of capacities. Practically, IIPM not only enables comparison across different IP models but also supports the quantification of epistemic uncertainty~(EU) within a single IP model. In particular, by comparing an IP model with its conjugate, IIPM gives rise to a new class of epistemic uncertainty measures---Maximum Mean Imprecision (MMI) ---which satisfy key axiomatic properties proposed in the Uncertainty Quantification literature. We validate MMI through selective classification experiments, demonstrating strong empirical performance against established EU measures, and outperforming them when classical methods struggle to scale to a large number of classes.

Prompt learning has emerged as an effective technique for fine-tuning large-scale foundation models for downstream tasks. However, conventional prompt tuning methods are prone to overfitting and can struggle with out-of-distribution generalization. To address these limitations, Bayesian prompt learning has been proposed, which frames prompt optimization as a Bayesian inference problem to enhance robustness. This paper introduces Repulsive Bayesian Prompt Learning (ReBaPL), a novel method for Bayesian prompt learning, designed to efficiently explore the complex and often multimodal posterior landscape of prompts. Our method integrates a cyclical step-size schedule with a stochastic gradient Hamiltonian Monte Carlo (SGHMC) algorithm, enabling alternating phases of exploration to discover new modes, and exploitation to refine existing modes. Furthermore, we introduce a repulsive force derived from a potential function over probability metrics (including Maximum Mean Discrepancy and Wasserstein distance) computed on the distributions of representations produced by different prompts. This representation-space repulsion diversifies exploration and prevents premature collapse to a single mode. Our approach allows for a more comprehensive characterization of the prompt posterior distribution, leading to improved generalization. In contrast to prior Bayesian prompt learning methods, our method provides a modular plug-and-play Bayesian extension of any existing prompt learning method based on maximum likelihood estimation. We demonstrate the efficacy of ReBaPL on several benchmark datasets, showing superior performance over state-of-the-art methods for prompt learning.

Quantifying differences between probability distributions is fundamental to statistics and machine learning, primarily for comparing statistical uncertainty. In contrast, epistemic uncertainty (EU) -- due to incomplete knowledge -- requires richer representations than those offered by classical probability. Imprecise probability (IP) theory offers such models, capturing ambiguity and partial belief. This has driven growing interest in imprecise probabilistic machine learning (IPML), where inference and decision-making rely on broader uncertainty models -- highlighting the need for metrics beyond classical probability. This work introduces the Integral Imprecise Probability Metric (IIPM) framework, a Choquet integral-based generalisation of classical Integral Probability Metric (IPM) to the setting of capacities -- a broad class of IP models encompassing many existing ones, including lower probabilities, probability intervals, belief functions, and more. Theoretically, we establish conditions under which IIPM serves as a valid metric and metrises a form of weak convergence of capacities. Practically, IIPM not only enables comparison across different IP models but also supports the quantification of epistemic uncertainty within a single IP model. In particular, by comparing an IP model with its conjugate, IIPM gives rise to a new class of EU measures -- Maximum Mean Imprecision -- which satisfy key axiomatic properties proposed in the Uncertainty Quantification literature. We validate MMI through selective classification experiments, demonstrating strong empirical performance against established EU measures, and outperforming them when classical methods struggle to scale to a large number of classes. Our work advances both theory and practice in IPML, offering a principled framework for comparing and quantifying epistemic uncertainty under imprecision.

Representation learning is widely used for estimating causal quantities (e.g., the conditional average treatment effect) from observational data. While existing representation learning methods have the benefit of allowing for end-to-end learning, they do not have favorable theoretical properties of Neyman-orthogonal learners, such as double robustness and quasi-oracle efficiency. Also, such representation learning methods often employ additional constraints, like balancing, which may even lead to inconsistent estimation. In this paper, we propose a novel class of Neyman-orthogonal learners for causal quantities defined at the representation level, which we call OR-learners. Our OR-learners have several practical advantages: they allow for consistent estimation of causal quantities based on any learned representation, while offering favorable theoretical properties including double robustness and quasi-oracle efficiency. In multiple experiments, we show that, under certain regularity conditions, our OR-learners improve existing representation learning methods and achieve state-of-the-art performance. To the best of our knowledge, our OR-learners are the first work to offer a unified framework of representation learning methods and Neyman-orthogonal learners for causal quantities estimation.

This paper studies Hoeffding's inequality for Markov chains under the generalized concentrability condition defined via integral probability metric (IPM). The generalized concentrability condition establishes a framework that interpolates and extends the existing hypotheses of Markov chain Hoeffding-type inequalities. The flexibility of our framework allows Hoeffding's inequality to be applied beyond the ergodic Markov chains in the traditional sense. We demonstrate the utility by applying our framework to several non-asymptotic analyses arising from the field of machine learning, including (i) a generalization bound for empirical risk minimization with Markovian samples, (ii) a finite sample guarantee for Ployak-Ruppert averaging of SGD, and (iii) a new regret bound for rested Markovian bandits with general state space. Keywords: Hoeffding's inequality, Markov chains, Dobrushin coefficient, integral probability metric, concentration of measures, ergodicity, empirical risk minimization, stochastic gradient descent, rested bandit

While numerous methods have been proposed for computing distances between probability distributions in Euclidean space, relatively little attention has been given to computing such distances for distributions on graphs. However, there has been a marked increase in data that either lies on graph (such as protein interaction networks) or can be modeled as a graph (single cell data), particularly in the biomedical sciences. Thus, it becomes important to find ways to compare signals defined on such graphs. Here, we propose Graph Fourier MMD (GFMMD), a novel distance between distributions and signals on graphs. GFMMD is defined via an optimal witness function that is both smooth on the graph and maximizes difference in expectation between the pair of distributions on the graph. We find an analytical solution to this optimization problem as well as an embedding of distributions that results from this method. We also prove several properties of this method including scale invariance and applicability to disconnected graphs. We showcase it on graph benchmark datasets as well on single cell RNA-sequencing data analysis. In the latter, we use the GFMMD-based gene embeddings to find meaningful gene clusters. We also propose a novel type of score for gene selection called "gene localization score" which helps select genes for cellular state space characterization.

Generative adversarial networks (GANs), a class of distribution-learning methods based on a two-player game between a generator and a discriminator, can generally be formulated as a minmax problem based on the variational representation of a divergence between the unknown and the generated distributions. We introduce structure-preserving GANs as a data-efficient framework for learning distributions with additional structure such as group symmetry, by developing new variational representations for divergences. Our theory shows that we can reduce the discriminator space to its projection on the invariant discriminator space, using the conditional expectation with respect to the $\sigma$-algebra associated to the underlying structure. In addition, we prove that the discriminator space reduction must be accompanied by a careful design of structured generators, as flawed designs may easily lead to a catastrophic "mode collapse" of the learned distribution. We contextualize our framework by building symmetry-preserving GANs for distributions with intrinsic group symmetry, and demonstrate that both players, namely the equivariant generator and invariant discriminator, play important but distinct roles in the learning process. Empirical experiments and ablation studies across a broad range of data sets, including real-world medical imaging, validate our theory, and show our proposed methods achieve significantly improved sample fidelity and diversity -- almost an order of magnitude measured in Fr\'echet Inception Distance -- especially in the small data regime.

A distributional RL algorithm may be characterised by two main components, namely the representation and parameterisation of the distribution and the probability metric defining the loss. This research considers the unconstrained monotonic neural network (UMNN) architecture, a universal approximator of continuous monotonic functions which is particularly well suited for modelling different representations of a distribution (PDF, CDF, quantile function). This property enables the decoupling of the effect of the function approximator class from that of the probability metric. The paper firstly introduces a methodology for learning different representations of the random return distribution. Secondly, a novel distributional RL algorithm named unconstrained monotonic deep Q-network (UMDQN) is presented. Lastly, in light of this new algorithm, an empirical comparison is performed between three probability quasimetrics, namely the Kullback-Leibler divergence, Cramer distance and Wasserstein distance. The results call for a reconsideration of all probability metrics in distributional RL, which contrasts with the dominance of the Wasserstein distance in recent publications.

This thesis contributes to the mathematical foundation of domain adaptation as emerging field in machine learning. In contrast to classical statistical learning, the framework of domain adaptation takes into account deviations between probability distributions in the training and application setting. Domain adaptation applies for a wider range of applications as future samples often follow a distribution that differs from the ones of the training samples. A decisive point is the generality of the assumptions about the similarity of the distributions. Therefore, in this thesis we study domain adaptation problems under as weak similarity assumptions as can be modelled by finitely many moments.