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Autoencoders have found widespread application, in both their original deterministic form and in their variational formulation (VAEs). In scientific applications it is often of interest to consider data that are comprised of functions; the same perspective is useful in image processing. In practice, discretisation (of differential equations arising in the sciences) or pixellation (of images) renders problems finite dimensional, but conceiving first of algorithms that operate on functions, and only then discretising or pixellating, leads to better algorithms that smoothly operate between different levels of discretisation or pixellation. In this paper function-space versions of the autoencoder (FAE) and variational autoencoder (FVAE) are introduced, analysed, and deployed. Well-definedness of the objective function governing VAEs is a subtle issue, even in finite dimension, and more so on function space. The FVAE objective is well defined whenever the data distribution is compatible with the chosen generative model; this happens, for example, when the data arise from a stochastic differential equation. The FAE objective is valid much more broadly, and can be straightforwardly applied to data governed by differential equations. Pairing these objectives with neural operator architectures, which can thus be evaluated on any mesh, enables new applications of autoencoders to inpainting, superresolution, and generative modelling of scientific data., Comment: 56 pages, 25 figures

Bayesian inversion is central to the quantification of uncertainty within problems arising from numerous applications in science and engineering. To formulate the approach, four ingredients are required: a forward model mapping the unknown parameter to an element of a solution space, often the solution space for a differential equation; an observation operator mapping an element of the solution space to the data space; a noise model describing how noise pollutes the observations; and a prior model describing knowledge about the unknown parameter before the data is acquired. This paper is concerned with learning the prior model from data; in particular, learning the prior from multiple realizations of indirect data obtained through the noisy observation process. The prior is represented, using a generative model, as the pushforward of a Gaussian in a latent space; the pushforward map is learned by minimizing an appropriate loss function. A metric that is well-defined under empirical approximation is used to define the loss function for the pushforward map to make an implementable methodology. Furthermore, an efficient residual-based neural operator approximation of the forward model is proposed and it is shown that this may be learned concurrently with the pushforward map, using a bilevel optimization formulation of the problem; this use of neural operator approximation has the potential to make prior learning from indirect data more computationally efficient, especially when the observation process is expensive, non-smooth or not known. The ideas are illustrated with the Darcy flow inverse problem of finding permeability from piezometric head measurements.

Laplace's method approximates a target density with a Gaussian distribution at its mode. It is computationally efficient and asymptotically exact for Bayesian inference due to the Bernstein-von Mises theorem, but for complex targets and finite-data posteriors it is often too crude an approximation. A recent generalization of the Laplace Approximation transforms the Gaussian approximation according to a chosen Riemannian geometry providing a richer approximation family, while still retaining computational efficiency. However, as shown here, its properties depend heavily on the chosen metric, indeed the metric adopted in previous work results in approximations that are overly narrow as well as being biased even at the limit of infinite data. We correct this shortcoming by developing the approximation family further, deriving two alternative variants that are exact at the limit of infinite data, extending the theoretical analysis of the method, and demonstrating practical improvements in a range of experiments., Comment: AISTATS 2024, with additional fixes and improvements

We consider the fundamental task of optimising a real-valued function defined in a potentially high-dimensional Euclidean space, such as the loss function in many machine-learning tasks or the logarithm of the probability distribution in statistical inference. We use Riemannian geometry notions to redefine the optimisation problem of a function on the Euclidean space to a Riemannian manifold with a warped metric, and then find the function's optimum along this manifold. The warped metric chosen for the search domain induces a computational friendly metric-tensor for which optimal search directions associated with geodesic curves on the manifold becomes easier to compute. Performing optimization along geodesics is known to be generally infeasible, yet we show that in this specific manifold we can analytically derive Taylor approximations up to third-order. In general these approximations to the geodesic curve will not lie on the manifold, however we construct suitable retraction maps to pull them back onto the manifold. Therefore, we can efficiently optimize along the approximate geodesic curves. We cover the related theory, describe a practical optimization algorithm and empirically evaluate it on a collection of challenging optimisation benchmarks. Our proposed algorithm, using 3rd-order approximation of geodesics, tends to outperform standard Euclidean gradient-based counterparts in term of number of iterations until convergence.

Data from populations of systems are prevalent in many industrial applications. Machines and infrastructure are increasingly instrumented with sensing systems, emitting streams of telemetry data with complex interdependencies. In practice, data-centric monitoring procedures tend to consider these assets (and respective models) as distinct -- operating in isolation and associated with independent data. In contrast, this work captures the statistical correlations and interdependencies between models of a group of systems. Utilising a Bayesian multilevel approach, the value of data can be extended, since the population can be considered as a whole, rather than constituent parts. Most interestingly, domain expertise and knowledge of the underlying physics can be encoded in the model at the system, subgroup, or population level. We present an example of acoustic emission (time-of-arrival) mapping for source location, to illustrate how multilevel models naturally lend themselves to representing aggregate systems in engineering. In particular, we focus on constraining the combined models with domain knowledge to enhance transfer learning and enable further insights at the population level.

Network structures underlie the dynamics of many complex phenomena, from gene regulation and foodwebs to power grids and social media. Yet, as they often cannot be observed directly, their connectivities must be inferred from observations of the dynamics to which they give rise. In this work we present a powerful computational method to infer large network adjacency matrices from time series data using a neural network, in order to provide uncertainty quantification on the prediction in a manner that reflects both the degree to which the inference problem is underdetermined as well as the noise on the data. This is a feature that other approaches have hitherto been lacking. We demonstrate our method's capabilities by inferring line failure locations in the British power grid from its response to a power cut, providing probability densities on each edge and allowing the use of hypothesis testing to make meaningful probabilistic statements about the location of the cut. Our method is significantly more accurate than both Markov-chain Monte Carlo sampling and least squares regression on noisy data and when the problem is underdetermined, while naturally extending to the case of non-linear dynamics, which we demonstrate by learning an entire cost matrix for a non-linear model of economic activity in Greater London. Not having been specifically engineered for network inference, this method in fact represents a general parameter estimation scheme that is applicable to any high-dimensional parameter space.

We introduce a new class of spatially stochastic physics and data informed deep latent models for parametric partial differential equations (PDEs) which operate through scalable variational neural processes. We achieve this by assigning probability measures to the spatial domain, which allows us to treat collocation grids probabilistically as random variables to be marginalised out. Adapting this spatial statistics view, we solve forward and inverse problems for parametric PDEs in a way that leads to the construction of Gaussian process models of solution fields. The implementation of these random grids poses a unique set of challenges for inverse physics informed deep learning frameworks and we propose a new architecture called Grid Invariant Convolutional Networks (GICNets) to overcome these challenges. We further show how to incorporate noisy data in a principled manner into our physics informed model to improve predictions for problems where data may be available but whose measurement location does not coincide with any fixed mesh or grid. The proposed method is tested on a nonlinear Poisson problem, Burgers equation, and Navier-Stokes equations, and we provide extensive numerical comparisons. We demonstrate significant computational advantages over current physics informed neural learning methods for parametric PDEs while improving the predictive capabilities and flexibility of these models.

This work provides theoretical foundations for kernel methods in the hyperspherical context. Specifically, we characterise the native spaces (reproducing kernel Hilbert spaces) and the Sobolev spaces associated with kernels defined over hyperspheres. Our results have direct consequences for kernel cubature, determining the rate of convergence of the worst case error, and expanding the applicability of cubature algorithms based on Stein's method. We first introduce a suitable characterisation on Sobolev spaces on the $d$-dimensional hypersphere embedded in $(d+1)$-dimensional Euclidean spaces. Our characterisation is based on the Fourier--Schoenberg sequences associated with a given kernel. Such sequences are hard (if not impossible) to compute analytically on $d$-dimensional spheres, but often feasible over Hilbert spheres. We circumvent this problem by finding a projection operator that allows to Fourier mapping from Hilbert into finite dimensional hyperspheres. We illustrate our findings through some parametric families of kernels.

Incorporating unstructured data into physical models is a challenging problem that is emerging in data assimilation. Traditional approaches focus on well-defined observation operators whose functional forms are typically assumed to be known. This prevents these methods from achieving a consistent model-data synthesis in configurations where the mapping from data-space to model-space is unknown. To address these shortcomings, in this paper we develop a physics-informed dynamical variational autoencoder ($\Phi$-DVAE) to embed diverse data streams into time-evolving physical systems described by differential equations. Our approach combines a standard, possibly nonlinear, filter for the latent state-space model and a VAE, to assimilate the unstructured data into the latent dynamical system. Unstructured data, in our example systems, comes in the form of video data and velocity field measurements, however the methodology is suitably generic to allow for arbitrary unknown observation operators. A variational Bayesian framework is used for the joint estimation of the encoding, latent states, and unknown system parameters. To demonstrate the method, we provide case studies with the Lorenz-63 ordinary differential equation, and the advection and Korteweg-de Vries partial differential equations. Our results, with synthetic data, show that $\Phi$-DVAE provides a data efficient dynamics encoding methodology which is competitive with standard approaches. Unknown parameters are recovered with uncertainty quantification, and unseen data are accurately predicted., Comment: 29 pages, 9 figures, updated version

Computational models have become a powerful tool in the quantitative sciences to understand the behaviour of complex systems that evolve in time. However, they often contain a potentially large number of free parameters whose values cannot be obtained from theory but need to be inferred from data. This is especially the case for models in the social sciences, economics, or computational epidemiology. Yet many current parameter estimation methods are mathematically involved and computationally slow to run. In this paper we present a computationally simple and fast method to retrieve accurate probability densities for model parameters using neural differential equations. We present a pipeline comprising multi-agent models acting as forward solvers for systems of ordinary or stochastic differential equations, and a neural network to then extract parameters from the data generated by the model. The two combined create a powerful tool that can quickly estimate densities on model parameters, even for very large systems. We demonstrate the method on synthetic time series data of the SIR model of the spread of infection, and perform an in-depth analysis of the Harris-Wilson model of economic activity on a network, representing a non-convex problem. For the latter, we apply our method both to synthetic data and to data of economic activity across Greater London. We find that our method calibrates the model orders of magnitude more accurately than a previous study of the same dataset using classical techniques, while running between 195 and 390 times faster.

Maximum mean discrepancies (MMDs) like the kernel Stein discrepancy (KSD) have grown central to a wide range of applications, including hypothesis testing, sampler selection, distribution approximation, and variational inference. In each setting, these kernel-based discrepancy measures are required to (i) separate a target P from other probability measures or even (ii) control weak convergence to P. In this article we derive new sufficient and necessary conditions to ensure (i) and (ii). For MMDs on separable metric spaces, we characterize those kernels that separate Bochner embeddable measures and introduce simple conditions for separating all measures with unbounded kernels and for controlling convergence with bounded kernels. We use these results on $\mathbb{R}^d$ to substantially broaden the known conditions for KSD separation and convergence control and to develop the first KSDs known to exactly metrize weak convergence to P. Along the way, we highlight the implications of our results for hypothesis testing, measuring and improving sample quality, and sampling with Stein variational gradient descent.

We introduce a physics-driven deep latent variable model (PDDLVM) to learn simultaneously parameter-to-solution (forward) and solution-to-parameter (inverse) maps of parametric partial differential equations (PDEs). Our formulation leverages conventional PDE discretization techniques, deep neural networks, probabilistic modelling, and variational inference to assemble a fully probabilistic coherent framework. In the posited probabilistic model, both the forward and inverse maps are approximated as Gaussian distributions with a mean and covariance parameterized by deep neural networks. The PDE residual is assumed to be an observed random vector of value zero, hence we model it as a random vector with a zero mean and a user-prescribed covariance. The model is trained by maximizing the probability, that is the evidence or marginal likelihood, of observing a residual of zero by maximizing the evidence lower bound (ELBO). Consequently, the proposed methodology does not require any independent PDE solves and is physics-informed at training time, allowing the real-time solution of PDE forward and inverse problems after training. The proposed framework can be easily extended to seamlessly integrate observed data to solve inverse problems and to build generative models. We demonstrate the efficiency and robustness of our method on finite element discretized parametric PDE problems such as linear and nonlinear Poisson problems, elastic shells with complex 3D geometries, and time-dependent nonlinear and inhomogeneous PDEs using a physics-informed neural network (PINN) discretization. We achieve up to three orders of magnitude speed-up after training compared to traditional finite element method (FEM), while outputting coherent uncertainty estimates.

In this chapter, we identify fundamental geometric structures that underlie the problems of sampling, optimisation, inference and adaptive decision-making. Based on this identification, we derive algorithms that exploit these geometric structures to solve these problems efficiently. We show that a wide range of geometric theories emerge naturally in these fields, ranging from measure-preserving processes, information divergences, Poisson geometry, and geometric integration. Specifically, we explain how (i) leveraging the symplectic geometry of Hamiltonian systems enable us to construct (accelerated) sampling and optimisation methods, (ii) the theory of Hilbertian subspaces and Stein operators provides a general methodology to obtain robust estimators, (iii) preserving the information geometry of decision-making yields adaptive agents that perform active inference. Throughout, we emphasise the rich connections between these fields; e.g., inference draws on sampling and optimisation, and adaptive decision-making assesses decisions by inferring their counterfactual consequences. Our exposition provides a conceptual overview of underlying ideas, rather than a technical discussion, which can be found in the references herein., Comment: 30 pages, 4 figures; 42 pages including table of contents and references

The efficiency of Markov Chain Monte Carlo (MCMC) depends on how the underlying geometry of the problem is taken into account. For distributions with strongly varying curvature, Riemannian metrics help in efficient exploration of the target distribution. Unfortunately, they have significant computational overhead due to e.g. repeated inversion of the metric tensor, and current geometric MCMC methods using the Fisher information matrix to induce the manifold are in practice slow. We propose a new alternative Riemannian metric for MCMC, by embedding the target distribution into a higher-dimensional Euclidean space as a Monge patch and using the induced metric determined by direct geometric reasoning. Our metric only requires first-order gradient information and has fast inverse and determinants, and allows reducing the computational complexity of individual iterations from cubic to quadratic in the problem dimensionality. We demonstrate how Lagrangian Monte Carlo in this metric efficiently explores the target distributions.

Representing data by means of graph structures identifies one of the most valid approach to extract information in several data analysis applications. This is especially true when multimodal datasets are investigated, as records collected by means of diverse sensing strategies are taken into account and explored. Nevertheless, classic graph signal processing is based on a model for information propagation that is configured according to heat diffusion mechanism. This system provides several constraints and assumptions on the data properties that might be not valid for multimodal data analysis, especially when large scale datasets collected from heterogeneous sources are considered, so that the accuracy and robustness of the outcomes might be severely jeopardized. In this paper, we introduce a novel model for graph definition based on fluid diffusion. The proposed approach improves the ability of graph-based data analysis to take into account several issues of modern data analysis in operational scenarios, so to provide a platform for precise, versatile, and efficient understanding of the phenomena underlying the records under exam, and to fully exploit the potential provided by the diversity of the records in obtaining a thorough characterization of the data and their significance. In this work, we focus our attention to using this fluid diffusion model to drive a community detection scheme, i.e., to divide multimodal datasets into many groups according to similarity among nodes in an unsupervised fashion. Experimental results achieved by testing real multimodal datasets in diverse application scenarios show that our method is able to strongly outperform state-of-the-art schemes for community detection in multimodal data analysis., Comment: 30 pages, 25 figures

In this work we explore a new framework for approximate Bayesian inference in large datasets based on stochastic control (i.e. Schr\"odinger bridges). We advocate stochastic control as a finite time and low variance alternative to popular steady-state methods such as stochastic gradient Langevin dynamics (SGLD). Furthermore, we discuss and adapt the existing theoretical guarantees of this framework and establish connections to already existing VI routines in SDE-based models.

Modern data analytics take advantage of ensemble learning and transfer learning approaches to tackle some of the most relevant issues in data analysis, such as lack of labeled data to use to train the analysis models, sparsity of the information, and unbalanced distributions of the records. Nonetheless, when applied to multimodal datasets (i.e., datasets acquired by means of multiple sensing techniques or strategies), the state-of-theart methods for ensemble learning and transfer learning might show some limitations. In fact, in multimodal data analysis, not all observations would show the same level of reliability or information quality, nor an homogeneous distribution of errors and uncertainties. This condition might undermine the classic assumptions ensemble learning and transfer learning methods rely on. In this work, we propose an adaptive approach for dimensionality reduction to overcome this issue. By means of a graph theory-based approach, the most relevant features across variable size subsets of the considered datasets are identified. This information is then used to set-up ensemble learning and transfer learning architectures. We test our approach on multimodal datasets acquired in diverse research fields (remote sensing, brain-computer interfaces, photovoltaic energy). Experimental results show the validity and the robustness of our approach, able to outperform state-of-the-art techniques., Comment: 18 pages, 10 figures, submitted to Pattern Recognition

During the COVID-19 pandemic, policy makers at the Greater London Authority, the regional governance body of London, UK, are reliant upon prompt and accurate data sources. Large well-defined heterogeneous compositions of activity throughout the city are sometimes difficult to acquire, yet are a necessity in order to learn 'busyness' and consequently make safe policy decisions. One component of our project within this space is to utilise existing infrastructure to estimate social distancing adherence by the general public. Our method enables near immediate sampling and contextualisation of activity and physical distancing on the streets of London via live traffic camera feeds. We introduce a framework for inspecting and improving upon existing methods, whilst also describing its active deployment on over 900 real-time feeds., Comment: Version accepted by The Computer Journal

Gaussian processes are ubiquitous in machine learning, statistics, and applied mathematics. They provide a flexible modelling framework for approximating functions, whilst simultaneously quantifying uncertainty. However, this is only true when the model is well-specified, which is often not the case in practice. In this paper, we study the properties of Gaussian process means when the smoothness of the model and the likelihood function are misspecified. In this setting, an important theoretical question of practial relevance is how accurate the Gaussian process approximations will be given the difficulty of the problem, our model and the extent of the misspecification. The answer to this problem is particularly useful since it can inform our choice of model and experimental design. In particular, we describe how the experimental design and choice of kernel and kernel hyperparameters can be adapted to alleviate model misspecification., Comment: Accepted to JMLR

We consider evidence integration from potentially dependent observation processes under varying spatio-temporal sampling resolutions and noise levels. We develop a multi-resolution multi-task (MRGP) framework while allowing for both inter-task and intra-task multi-resolution and multi-fidelity. We develop shallow Gaussian Process (GP) mixtures that approximate the difficult to estimate joint likelihood with a composite one and deep GP constructions that naturally handle biases in the mean. By doing so, we generalize and outperform state of the art GP compositions and offer information-theoretic corrections and efficient variational approximations. We demonstrate the competitiveness of MRGPs on synthetic settings and on the challenging problem of hyper-local estimation of air pollution levels across London from multiple sensing modalities operating at disparate spatio-temporal resolutions.

When maximum likelihood estimation is infeasible, one often turns to score matching, contrastive divergence, or minimum probability flow to obtain tractable parameter estimates. We provide a unifying perspective of these techniques as minimum Stein discrepancy estimators, and use this lens to design new diffusion kernel Stein discrepancy (DKSD) and diffusion score matching (DSM) estimators with complementary strengths. We establish the consistency, asymptotic normality, and robustness of DKSD and DSM estimators, then derive stochastic Riemannian gradient descent algorithms for their efficient optimisation. The main strength of our methodology is its flexibility, which allows us to design estimators with desirable properties for specific models at hand by carefully selecting a Stein discrepancy. We illustrate this advantage for several challenging problems for score matching, such as non-smooth, heavy-tailed or light-tailed densities., Comment: Accepted for publication at NeurIPS 2019

While likelihood-based inference and its variants provide a statistically efficient and widely applicable approach to parametric inference, their application to models involving intractable likelihoods poses challenges. In this work, we study a class of minimum distance estimators for intractable generative models, that is, statistical models for which the likelihood is intractable, but simulation is cheap. The distance considered, maximum mean discrepancy (MMD), is defined through the embedding of probability measures into a reproducing kernel Hilbert space. We study the theoretical properties of these estimators, showing that they are consistent, asymptotically normal and robust to model misspecification. A main advantage of these estimators is the flexibility offered by the choice of kernel, which can be used to trade-off statistical efficiency and robustness. On the algorithmic side, we study the geometry induced by MMD on the parameter space and use this to introduce a novel natural gradient descent-like algorithm for efficient implementation of these estimators. We illustrate the relevance of our theoretical results on several classes of models including a discrete-time latent Markov process and two multivariate stochastic differential equation models.

This article is the rejoinder for the paper "Probabilistic Integration: A Role in Statistical Computation?" to appear in Statistical Science with discussion. We would first like to thank the reviewers and many of our colleagues who helped shape this paper, the editor for selecting our paper for discussion, and of course all of the discussants for their thoughtful, insightful and constructive comments. In this rejoinder, we respond to some of the points raised by the discussants and comment further on the fundamental questions underlying the paper: (i) Should Bayesian ideas be used in numerical analysis?, and (ii) If so, what role should such approaches have in statistical computation?, Comment: Accepted to Statistical Science