On the construction of probabilistic Newton-type algorithms

It has recently been shown that many of the existing quasi-Newton algorithms can be formulated as learning algorithms, capable of learning local models of the cost functions. Importantly, this understanding allows us to safely start assembling probabilistic Newton-type algorithms, applicable in situations where we only have access to noisy observations of the cost function and its derivatives. This is where our interest lies. We make contributions to the use of the non-parametric and probabilistic Gaussian process models in solving these stochastic optimisation problems. Specifically, we present a new algorithm that unites these approximations together with recent probabilistic line search routines to deliver a probabilistic quasi-Newton approach. We also show that the probabilistic optimisation algorithms deliver promising results on challenging nonlinear system identification problems where the very nature of the problem is such that we can only access the cost function and its derivative via noisy observations, since there are no closed-form expressions available

Online semi-parametric learning for inverse dynamics modeling

This paper presents a semi-parametric algorithm for online learning of a robot inverse dynamics model. It combines the strength of the parametric and non-parametric modeling. The former exploits the rigid body dynamics equa- tion, while the latter exploits a suitable kernel function. We provide an extensive comparison with other methods from the literature using real data from the iCub humanoid robot. In doing so we also compare two different techniques, namely cross validation and marginal likelihood optimization, for estimating the hyperparameters of the kernel function

Bayesian optimisation for likelihood-free cosmological inference

Many cosmological models have only a finite number of parameters of interest, but a very expensive data-generating process and an intractable likelihood function. We address the problem of performing likelihood-free Bayesian inference from such black-box simulation-based models, under the constraint of a very limited simulation budget (typically a few thousand). To do so, we adopt an approach based on the likelihood of an alternative parametric model. Conventional approaches to approximate Bayesian computation such as likelihood-free rejection sampling are impractical for the considered problem, due to the lack of knowledge about how the parameters affect the discrepancy between observed and simulated data. As a response, we make use of a strategy previously developed in the machine learning literature (Bayesian optimisation for likelihood-free inference, BOLFI), which combines Gaussian process regression of the discrepancy to build a surrogate surface with Bayesian optimisation to actively acquire training data. We extend the method by deriving an acquisition function tailored for the purpose of minimising the expected uncertainty in the approximate posterior density, in the parametric approach. The resulting algorithm is applied to the problems of summarising Gaussian signals and inferring cosmological parameters from the Joint Lightcurve Analysis supernovae data. We show that the number of required simulations is reduced by several orders of magnitude, and that the proposed acquisition function produces more accurate posterior approximations, as compared to common strategies.Comment: 16+9 pages, 12 figures. Matches PRD published version after minor modification

AReS and MaRS - Adversarial and MMD-Minimizing Regression for SDEs

Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel, probabilistic model for estimating the drift and diffusion given noisy observations of the underlying stochastic system. Using state-of-the-art adversarial and moment matching inference techniques, we avoid the discretization schemes of classical approaches. This leads to significant improvements in parameter accuracy and robustness given random initial guesses. On four established benchmark systems, we compare the performance of our algorithms to state-of-the-art solutions based on extended Kalman filtering and Gaussian processes.Comment: Published at the Thirty-sixth International Conference on Machine Learning (ICML 2019