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1. Dynamic Online Ensembles of Basis Expansions

   Waxman, Daniel; Djurić, Petar M (May 2024, Transactions on Machine Learning Research)

   Practical Bayesian learning often requires (1) online inference, (2) dynamic models, and (3) ensembling over multiple different models. Recent advances have shown how to use random feature approximations to achieve scalable, online ensembling of Gaussian processes with desirable theoretical properties and fruitful applications. One key to these methods’ success is the inclusion of a random walk on the model parameters, which makes models dynamic. We show that these methods can be generalized easily to any basis expansion model and that using alternative basis expansions, such as Hilbert space Gaussian processes, often results in better performance. To simplify the process of choosing a specific basis expansion, our method’s generality also allows the ensembling of several entirely different models, for example, a Gaussian process and polynomial regression. Finally, we propose a novel method to ensemble static and dynamic models together. 

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2. Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix

   https://doi.org/10.3934/fods.2021030  

   Turčičová, Marie; Mandel, Jan; Eben, Kryštof (January 2021, Foundations of Data Science)

   We present an ensemble filtering method based on a linear model for the precision matrix (the inverse of the covariance) with the parameters determined by Score Matching Estimation. The method provides a rigorous covariance regularization when the underlying random field is Gaussian Markov. The parameters are found by solving a system of linear equations. The analysis step uses the inverse formulation of the Kalman update. Several filter versions, differing in the construction of the analysis ensemble, are proposed, as well as a Score matching version of the Extended Kalman Filter. 

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3. Density estimation using deep generative neural networks

   https://doi.org/10.1073/pnas.2101344118  

   Liu, Qiao; Xu, Jiaze; Jiang, Rui; Wong, Wing Hung (April 2021, Proceedings of the National Academy of Sciences)

   null (Ed.)

   Density estimation is one of the fundamental problems in both statistics and machine learning. In this study, we propose Roundtrip, a computational framework for general-purpose density estimation based on deep generative neural networks. Roundtrip retains the generative power of deep generative models, such as generative adversarial networks (GANs) while it also provides estimates of density values, thus supporting both data generation and density estimation. Unlike previous neural density estimators that put stringent conditions on the transformation from the latent space to the data space, Roundtrip enables the use of much more general mappings where target density is modeled by learning a manifold induced from a base density (e.g., Gaussian distribution). Roundtrip provides a statistical framework for GAN models where an explicit evaluation of density values is feasible. In numerical experiments, Roundtrip exceeds state-of-the-art performance in a diverse range of density estimation tasks. 

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4. A conditional density estimation partition model using logistic Gaussian processes

   https://doi.org/10.1093/biomet/asz064  

   Payne, R D; Guha, N; Ding, Y; Mallick, B K (December 2019, Biometrika)

   Summary Conditional density estimation seeks to model the distribution of a response variable conditional on covariates. We propose a Bayesian partition model using logistic Gaussian processes to perform conditional density estimation. The partition takes the form of a Voronoi tessellation and is learned from the data using a reversible jump Markov chain Monte Carlo algorithm. The methodology models data in which the density changes sharply throughout the covariate space, and can be used to determine where important changes in the density occur. The Markov chain Monte Carlo algorithm involves a Laplace approximation on the latent variables of the logistic Gaussian process model which marginalizes the parameters in each partition element, allowing an efficient search of the approximate posterior distribution of the tessellation. The method is consistent when the density is piecewise constant in the covariate space or when the density is Lipschitz continuous with respect to the covariates. In simulation and application to wind turbine data, the model successfully estimates the partition structure and conditional distribution. 

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5. BayGEN: A Bayesian Space‐Time Stochastic Weather Generator

   https://doi.org/10.1029/2017WR022473  

   Verdin, Andrew; Rajagopalan, Balaji; Kleiber, William; Podestá, Guillermo; Bert, Federico (April 2019, Water Resources Research)

   Abstract We present a Bayesian hierarchical space‐time stochastic weather generator (BayGEN) to generate daily precipitation and minimum and maximum temperatures. BayGEN employs a hierarchical framework with data, process, and parameter layers. In the data layer, precipitation occurrence at each site is modeled using probit regression using a spatially distributed latent Gaussian process; precipitation amounts are modeled as gamma random variables; and minimum and maximum temperatures are modeled as realizations from Gaussian processes. The latent Gaussian process that drives the precipitation occurrence process is modeled in the process layer. In the parameter layer, the model parameters of the data and process layers are modeled as spatially distributed Gaussian processes, consequently enabling the simulation of daily weather at arbitrary (unobserved) locations or on a regular grid. All model parameters are endowed with weakly informative prior distributions. The No‐U Turn sampler, an adaptive form of Hamiltonian Monte Carlo, is used to maximize the model likelihood function and obtain posterior samples of each parameter. Posterior samples of the model parameters propagate uncertainty to the weather simulations, an important feature that makes BayGEN unique compared to traditional weather generators. We demonstrate the utility of BayGEN with application to daily weather generation in a basin of the Argentine Pampas. Furthermore, we evaluate the implications of crop yield by driving a crop simulation model with weather simulations from BayGEN and an equivalent non‐Bayesian weather generator. 

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