8,082 research outputs found
CVXR: An R Package for Disciplined Convex Optimization
CVXR is an R package that provides an object-oriented modeling language for
convex optimization, similar to CVX, CVXPY, YALMIP, and Convex.jl. It allows
the user to formulate convex optimization problems in a natural mathematical
syntax rather than the restrictive form required by most solvers. The user
specifies an objective and set of constraints by combining constants,
variables, and parameters using a library of functions with known mathematical
properties. CVXR then applies signed disciplined convex programming (DCP) to
verify the problem's convexity. Once verified, the problem is converted into
standard conic form using graph implementations and passed to a cone solver
such as ECOS or SCS. We demonstrate CVXR's modeling framework with several
applications.Comment: 34 pages, 9 figure
Stochasticity from function -- why the Bayesian brain may need no noise
An increasing body of evidence suggests that the trial-to-trial variability
of spiking activity in the brain is not mere noise, but rather the reflection
of a sampling-based encoding scheme for probabilistic computing. Since the
precise statistical properties of neural activity are important in this
context, many models assume an ad-hoc source of well-behaved, explicit noise,
either on the input or on the output side of single neuron dynamics, most often
assuming an independent Poisson process in either case. However, these
assumptions are somewhat problematic: neighboring neurons tend to share
receptive fields, rendering both their input and their output correlated; at
the same time, neurons are known to behave largely deterministically, as a
function of their membrane potential and conductance. We suggest that spiking
neural networks may, in fact, have no need for noise to perform sampling-based
Bayesian inference. We study analytically the effect of auto- and
cross-correlations in functionally Bayesian spiking networks and demonstrate
how their effect translates to synaptic interaction strengths, rendering them
controllable through synaptic plasticity. This allows even small ensembles of
interconnected deterministic spiking networks to simultaneously and
co-dependently shape their output activity through learning, enabling them to
perform complex Bayesian computation without any need for noise, which we
demonstrate in silico, both in classical simulation and in neuromorphic
emulation. These results close a gap between the abstract models and the
biology of functionally Bayesian spiking networks, effectively reducing the
architectural constraints imposed on physical neural substrates required to
perform probabilistic computing, be they biological or artificial
JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a function iterator using a multivariate global Chebyshev polynomial approximation with the Smolyak op- erator to overcome the course of dimensionality. The operator is also useful for numerical integration and we use it for the integrals arising in rational expecta- tions and in nonlinear state space lters. The estimation step is done by a parallel Metropolis-Hastings (MH) algorithm, using a linear or nonlinear lter. Implemented are the Kalman, Extended Kalman, Particle, Smolyak Kalman, Smolyak Sum, and Smolyak Kalman Particle lters. The MH sampling step can be interactively moni- tored and controlled by sequence and statistics plots. The number of parallel threads can be adjusted to benet from multiprocessor environments. JBendge is based on the framework JStatCom, which provides a standardized ap- plication interface. All tasks are supported by an elaborate multi-threaded graphical user interface (GUI) with project management and data handling facilities.Dynamic Stochastic General Equilibrium (DSGE) Models, Bayesian Time Series Econometrics, Java, Software Development
Estimating beta-mixing coefficients via histograms
The literature on statistical learning for time series often assumes
asymptotic independence or "mixing" of the data-generating process. These
mixing assumptions are never tested, nor are there methods for estimating
mixing coefficients from data. Additionally, for many common classes of
processes (Markov processes, ARMA processes, etc.) general functional forms for
various mixing rates are known, but not specific coefficients. We present the
first estimator for beta-mixing coefficients based on a single stationary
sample path and show that it is risk consistent. Since mixing rates depend on
infinite-dimensional dependence, we use a Markov approximation based on only a
finite memory length . We present convergence rates for the Markov
approximation and show that as , the Markov approximation
converges to the true mixing coefficient. Our estimator is constructed using
-dimensional histogram density estimates. Allowing asymptotics in the
bandwidth as well as the dimension, we prove concentration for the
histogram as an intermediate step. Simulations wherein the mixing rates are
calculable and a real-data example demonstrate our methodology.Comment: 30 pages, 8 figures. Longer version of arXiv:1103.0941 [stat.ML
Tensor Networks for Dimensionality Reduction and Large-Scale Optimizations. Part 2 Applications and Future Perspectives
Part 2 of this monograph builds on the introduction to tensor networks and
their operations presented in Part 1. It focuses on tensor network models for
super-compressed higher-order representation of data/parameters and related
cost functions, while providing an outline of their applications in machine
learning and data analytics. A particular emphasis is on the tensor train (TT)
and Hierarchical Tucker (HT) decompositions, and their physically meaningful
interpretations which reflect the scalability of the tensor network approach.
Through a graphical approach, we also elucidate how, by virtue of the
underlying low-rank tensor approximations and sophisticated contractions of
core tensors, tensor networks have the ability to perform distributed
computations on otherwise prohibitively large volumes of data/parameters,
thereby alleviating or even eliminating the curse of dimensionality. The
usefulness of this concept is illustrated over a number of applied areas,
including generalized regression and classification (support tensor machines,
canonical correlation analysis, higher order partial least squares),
generalized eigenvalue decomposition, Riemannian optimization, and in the
optimization of deep neural networks. Part 1 and Part 2 of this work can be
used either as stand-alone separate texts, or indeed as a conjoint
comprehensive review of the exciting field of low-rank tensor networks and
tensor decompositions.Comment: 232 page
Tensor Networks for Dimensionality Reduction and Large-Scale Optimizations. Part 2 Applications and Future Perspectives
Part 2 of this monograph builds on the introduction to tensor networks and
their operations presented in Part 1. It focuses on tensor network models for
super-compressed higher-order representation of data/parameters and related
cost functions, while providing an outline of their applications in machine
learning and data analytics. A particular emphasis is on the tensor train (TT)
and Hierarchical Tucker (HT) decompositions, and their physically meaningful
interpretations which reflect the scalability of the tensor network approach.
Through a graphical approach, we also elucidate how, by virtue of the
underlying low-rank tensor approximations and sophisticated contractions of
core tensors, tensor networks have the ability to perform distributed
computations on otherwise prohibitively large volumes of data/parameters,
thereby alleviating or even eliminating the curse of dimensionality. The
usefulness of this concept is illustrated over a number of applied areas,
including generalized regression and classification (support tensor machines,
canonical correlation analysis, higher order partial least squares),
generalized eigenvalue decomposition, Riemannian optimization, and in the
optimization of deep neural networks. Part 1 and Part 2 of this work can be
used either as stand-alone separate texts, or indeed as a conjoint
comprehensive review of the exciting field of low-rank tensor networks and
tensor decompositions.Comment: 232 page
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