Probabilistic Solutions to Differential Equations and their Application to Riemannian Statistics

We study a probabilistic numerical method for the solution of both boundary and initial value problems that returns a joint Gaussian process posterior over the solution. Such methods have concrete value in the statistics on Riemannian manifolds, where non-analytic ordinary differential equations are involved in virtually all computations. The probabilistic formulation permits marginalising the uncertainty of the numerical solution such that statistics are less sensitive to inaccuracies. This leads to new Riemannian algorithms for mean value computations and principal geodesic analysis. Marginalisation also means results can be less precise than point estimates, enabling a noticeable speed-up over the state of the art. Our approach is an argument for a wider point that uncertainty caused by numerical calculations should be tracked throughout the pipeline of machine learning algorithms.Comment: 11 page (9 page conference paper, plus supplements

Complexity Characterization in a Probabilistic Approach to Dynamical Systems Through Information Geometry and Inductive Inference

Information geometric techniques and inductive inference methods hold great promise for solving computational problems of interest in classical and quantum physics, especially with regard to complexity characterization of dynamical systems in terms of their probabilistic description on curved statistical manifolds. In this article, we investigate the possibility of describing the macroscopic behavior of complex systems in terms of the underlying statistical structure of their microscopic degrees of freedom by use of statistical inductive inference and information geometry. We review the Maximum Relative Entropy (MrE) formalism and the theoretical structure of the information geometrodynamical approach to chaos (IGAC) on statistical manifolds. Special focus is devoted to the description of the roles played by the sectional curvature, the Jacobi field intensity and the information geometrodynamical entropy (IGE). These quantities serve as powerful information geometric complexity measures of information-constrained dynamics associated with arbitrary chaotic and regular systems defined on the statistical manifold. Finally, the application of such information geometric techniques to several theoretical models are presented.Comment: 29 page

Dynamic isoperimetry and the geometry of Lagrangian coherent structures

The study of transport and mixing processes in dynamical systems is particularly important for the analysis of mathematical models of physical systems. We propose a novel, direct geometric method to identify subsets of phase space that remain strongly coherent over a finite time duration. This new method is based on a dynamic extension of classical (static) isoperimetric problems; the latter are concerned with identifying submanifolds with the smallest boundary size relative to their volume. The present work introduces \emph{dynamic} isoperimetric problems; the study of sets with small boundary size relative to volume \emph{as they are evolved by a general dynamical system}. We formulate and prove dynamic versions of the fundamental (static) isoperimetric (in)equalities; a dynamic Federer-Fleming theorem and a dynamic Cheeger inequality. We introduce a new dynamic Laplacian operator and describe a computational method to identify coherent sets based on eigenfunctions of the dynamic Laplacian. Our results include formal mathematical statements concerning geometric properties of finite-time coherent sets, whose boundaries can be regarded as Lagrangian coherent structures. The computational advantages of our new approach are a well-separated spectrum for the dynamic Laplacian, and flexibility in appropriate numerical approximation methods. Finally, we demonstrate that the dynamic Laplacian operator can be realised as a zero-diffusion limit of a newly advanced probabilistic transfer operator method (Froyland, 2013) for finding coherent sets, which is based on small diffusion. Thus, the present approach sits naturally alongside the probabilistic approach (Froyland, 2013), and adds a formal geometric interpretation

Bayesian Pose Graph Optimization via Bingham Distributions and Tempered Geodesic MCMC

We introduce Tempered Geodesic Markov Chain Monte Carlo (TG-MCMC) algorithm for initializing pose graph optimization problems, arising in various scenarios such as SFM (structure from motion) or SLAM (simultaneous localization and mapping). TG-MCMC is first of its kind as it unites asymptotically global non-convex optimization on the spherical manifold of quaternions with posterior sampling, in order to provide both reliable initial poses and uncertainty estimates that are informative about the quality of individual solutions. We devise rigorous theoretical convergence guarantees for our method and extensively evaluate it on synthetic and real benchmark datasets. Besides its elegance in formulation and theory, we show that our method is robust to missing data, noise and the estimated uncertainties capture intuitive properties of the data.Comment: Published at NeurIPS 2018, 25 pages with supplement

First Order Feynman-Kac Formula

We study the parabolic integral kernel associated with the weighted Laplacian and the Feynman-Kac kernels. For manifold with a pole we deduce formulas and estimates for them and for their derivatives, given in terms of a Gaussian term and the semi-classical bridge. Assumptions are on the Riemannian data.Comment: 31 pages, to appear in `Stochastic Processes and their Applications

Information geometric methods for complexity

Research on the use of information geometry (IG) in modern physics has witnessed significant advances recently. In this review article, we report on the utilization of IG methods to define measures of complexity in both classical and, whenever available, quantum physical settings. A paradigmatic example of a dramatic change in complexity is given by phase transitions (PTs). Hence we review both global and local aspects of PTs described in terms of the scalar curvature of the parameter manifold and the components of the metric tensor, respectively. We also report on the behavior of geodesic paths on the parameter manifold used to gain insight into the dynamics of PTs. Going further, we survey measures of complexity arising in the geometric framework. In particular, we quantify complexity of networks in terms of the Riemannian volume of the parameter space of a statistical manifold associated with a given network. We are also concerned with complexity measures that account for the interactions of a given number of parts of a system that cannot be described in terms of a smaller number of parts of the system. Finally, we investigate complexity measures of entropic motion on curved statistical manifolds that arise from a probabilistic description of physical systems in the presence of limited information. The Kullback-Leibler divergence, the distance to an exponential family and volumes of curved parameter manifolds, are examples of essential IG notions exploited in our discussion of complexity. We conclude by discussing strengths, limits, and possible future applications of IG methods to the physics of complexity.Comment: review article, 60 pages, no figure