37,354 research outputs found
Automatic Differentiation Variational Inference
Probabilistic modeling is iterative. A scientist posits a simple model, fits
it to her data, refines it according to her analysis, and repeats. However,
fitting complex models to large data is a bottleneck in this process. Deriving
algorithms for new models can be both mathematically and computationally
challenging, which makes it difficult to efficiently cycle through the steps.
To this end, we develop automatic differentiation variational inference (ADVI).
Using our method, the scientist only provides a probabilistic model and a
dataset, nothing else. ADVI automatically derives an efficient variational
inference algorithm, freeing the scientist to refine and explore many models.
ADVI supports a broad class of models-no conjugacy assumptions are required. We
study ADVI across ten different models and apply it to a dataset with millions
of observations. ADVI is integrated into Stan, a probabilistic programming
system; it is available for immediate use
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
Manifold interpolation and model reduction
One approach to parametric and adaptive model reduction is via the
interpolation of orthogonal bases, subspaces or positive definite system
matrices. In all these cases, the sampled inputs stem from matrix sets that
feature a geometric structure and thus form so-called matrix manifolds. This
work will be featured as a chapter in the upcoming Handbook on Model Order
Reduction (P. Benner, S. Grivet-Talocia, A. Quarteroni, G. Rozza, W.H.A.
Schilders, L.M. Silveira, eds, to appear on DE GRUYTER) and reviews the
numerical treatment of the most important matrix manifolds that arise in the
context of model reduction. Moreover, the principal approaches to data
interpolation and Taylor-like extrapolation on matrix manifolds are outlined
and complemented by algorithms in pseudo-code.Comment: 37 pages, 4 figures, featured chapter of upcoming "Handbook on Model
Order Reduction
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