arXiv subjects

Andrew Holbrook

Publications and source records attributed to Andrew Holbrook.

14 recordsLinked to original sources

arXiv2026

Stable Matrix Parametrizations and Structured Adjoints for Ornstein-Uhlenbeck Processes

Ornstein-Uhlenbeck processes with flexible multivariate drift matrices are powerful models for capturing coupled, asymmetric, and damped-oscillatory mean reversion. However, likelihood-based inference is challenging because the drift matrix must remain Hurwitz stable, while likelihood and gradient evaluations require repeated, costly computation and differentiation of the drift matrix exponential and of solutions to the associated Lyapunov equation. We introduce the Hurwitz smooth spectral block parametrization (H-SSBP), which represents the drift as a change of basis applied to independent one- and two-dimensional stable blocks. Simple scalar constraints enforce Hurwitz stability, while the two-dimensional blocks vary smoothly between real- and complex-eigenvalue regimes, avoiding discrete model selection. The H-SSBP represents every real Hurwitz matrix diagonalizable over the complex numbers and has dense, full-measure support within the Hurwitz cone. Its block structure reduces the OU transition matrix, stationary and innovation covariances, and their reverse-mode derivatives to constant-size block or block-pair computations plus change-of-basis multiplications. Numerical experiments demonstrate dramatic speed-ups over alternatives, particularly for matrix-exponential adjoints and Lyapunov-equation kernels. Real-data analyses of asynchronous financial data and multivariate phylogenetic traits illustrate the proposed framework in practice.

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arXiv2026

Multiproposal Elliptical Slice Sampling

We introduce Multiproposal Elliptical Slice Sampling, a self-tuning multiproposal Markov chain Monte Carlo method for Bayesian inference with Gaussian priors. Our method generalizes the Elliptical Slice Sampling algorithm by 1) allowing multiple candidate proposals to be sampled in parallel at each self-tuning step, and 2) basing the acceptance step on a distance-informed transition matrix that can favor proposals far from the current state. This allows larger moves in state space and faster self-tuning, at essentially no additional wall clock time for expensive likelihoods, and results in improved mixing. We additionally provide theoretical arguments and experimental results suggesting dimension-robust mixing behavior, making the algorithm particularly well suited for Bayesian PDE inverse problems.

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arXiv2026

Bayesian Semi-Blind Deconvolution at Scale

Blind image deconvolution refers to the problem of simultaneously estimating the blur kernel and the true image from a set of observations when both the blur kernel and the true image are unknown. Sometimes, additional image and/or blur information is available and the term semi-blind deconvolution (SBD) is used. We consider a recently introduced Bayesian conjugate hierarchical model for SBD, formulated on an extended cyclic lattice to allow a computationally scalable Gibbs sampler. In this article, we extend this model to the general SBD problem, rewrite the previously proposed Gibbs sampler so that operations are performed in the Fourier domain whenever possible, and introduce a new marginal Hamiltonian Monte Carlo (HMC) blur update, obtained by analytically integrating the blur-image joint conditional over the image. The cyclic formulation combined with non-trivial linear algebra manipulations allows a Fourier-based, scalable HMC update, otherwise complicated by the rigid constraints of the SBD problem. Having determined the padding size in the cyclic embedding through a numerical experiment, we compare the mixing and exploration behaviour of the Gibbs and HMC blur updates on simulated data and on a real geophysical seismic imaging problem where we invert a grid with $300\times50$ nodes, corresponding to a posterior with approximately $80,000$ parameters.

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arXiv2025

Scalable Generative Modeling of Weighted Graphs

Weighted graphs are ubiquitous throughout biology, chemistry, and the social sciences, motivating the development of generative models for abstract weighted graph data using deep neural networks. However, most current deep generative models are either designed for unweighted graphs and are not easily extended to weighted topologies or incorporate edge weights without consideration of a joint distribution with topology. Furthermore, learning a distribution over weighted graphs must account for complex nonlocal dependencies between both the edges of the graph and corresponding weights of each edge. We develop an autoregressive model BiGG-E, a nontrivial extension of the BiGG model, that learns a joint distribution over weighted graphs while still exploiting sparsity to generate a weighted graph with $n$ nodes and $m$ edges in $O((n + m)\log n)$ time. Simulation studies and experiments on a variety of benchmark datasets demonstrate that BiGG-E best captures distributions over weighted graphs while remaining scalable and computationally efficient.

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arXiv2019

Massive parallelization boosts big Bayesian multidimensional scaling

Big Bayes is the computationally intensive co-application of big data and large, expressive Bayesian models for the analysis of complex phenomena in scientific inference and statistical learning. Standing as an example, Bayesian multidimensional scaling (MDS) can help scientists learn viral trajectories through space-time, but its computational burden prevents its wider use. Crucial MDS model calculations scale quadratically in the number of observations. We partially mitigate this limitation through massive parallelization using multi-core central processing units, instruction-level vectorization and graphics processing units (GPUs). Fitting the MDS model using Hamiltonian Monte Carlo, GPUs can deliver more than 100-fold speedups over serial calculations and thus extend Bayesian MDS to a big data setting. To illustrate, we employ Bayesian MDS to infer the rate at which different seasonal influenza virus subtypes use worldwide air traffic to spread around the globe. We examine 5392 viral sequences and their associated 14 million pairwise distances arising from the number of commercial airline seats per year between viral sampling locations. To adjust for shared evolutionary history of the viruses, we implement a phylogenetic extension to the MDS model and learn that subtype H3N2 spreads most effectively, consistent with its epidemic success relative to other seasonal influenza subtypes. Finally, we provide MassiveMDS, an open-source, stand-alone C++ library and rudimentary R package, and discuss program design and high-level implementation with an emphasis on important aspects of computing architecture that become relevant at scale.

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arXiv2019

Estimating prediction error for complex samples

With a growing interest in using non-representative samples to train prediction models for numerous outcomes it is necessary to account for the sampling design that gives rise to the data in order to assess the generalized predictive utility of a proposed prediction rule. After learning a prediction rule based on a non-uniform sample, it is of interest to estimate the rule's error rate when applied to unobserved members of the population. Efron (1986) proposed a general class of covariance penalty inflated prediction error estimators that assume the available training data are representative of the target population for which the prediction rule is to be applied. We extend Efron's estimator to the complex sample context by incorporating Horvitz-Thompson sampling weights and show that it is consistent for the true generalization error rate when applied to the underlying superpopulation. The resulting Horvitz-Thompson-Efron (HTE) estimator is equivalent to dAIC, a recent extension of AIC to survey sampling data, but is more widely applicable. The proposed methodology is assessed with simulations and is applied to models predicting renal function obtained from the large-scale NHANES survey.

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arXiv2019

Gradients do grow on trees: a linear-time ${\cal O}\hspace{-0.2em}\left( N \right)$-dimensional gradient for statistical phylogenetics

Calculation of the log-likelihood stands as the computational bottleneck for many statistical phylogenetic algorithms. Even worse is its gradient evaluation, often used to target regions of high probability. Order ${\cal O}\hspace{-0.2em}\left( N \right)$-dimensional gradient calculations based on the standard pruning algorithm require ${\cal O}\hspace{-0.2em}\left( N^2 \right)$ operations where N is the number of sampled molecular sequences. With the advent of high-throughput sequencing, recent phylogenetic studies have analyzed hundreds to thousands of sequences, with an apparent trend towards even larger data sets as a result of advancing technology. Such large-scale analyses challenge phylogenetic reconstruction by requiring inference on larger sets of process parameters to model the increasing data heterogeneity. To make this tractable, we present a linear-time algorithm for ${\cal O}\hspace{-0.2em}\left( N \right)$-dimensional gradient evaluation and apply it to general continuous-time Markov processes of sequence substitution on a phylogenetic tree without a need to assume either stationarity or reversibility. We apply this approach to learn the branch-specific evolutionary rates of three pathogenic viruses: West Nile virus, Dengue virus and Lassa virus. Our proposed algorithm significantly improves inference efficiency with a 126- to 234-fold increase in maximum-likelihood optimization and a 16- to 33-fold computational performance increase in a Bayesian framework.

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arXiv2019

Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices

Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices and propose a novel Bayesian framework based on modeling the correlations as products of unit vectors. By specifying a wide range of distributions on a sphere (e.g. the squared-Dirichlet distribution), the proposed approach induces flexible prior distributions for covariance matrices (that go beyond the commonly used inverse-Wishart prior). For modeling real-life spatio-temporal processes with complex dependence structures, we extend our method to dynamic cases and introduce unit-vector Gaussian process priors in order to capture the evolution of correlation among components of a multivariate time series. To handle the intractability of the resulting posterior, we introduce the adaptive $Δ$-Spherical Hamiltonian Monte Carlo. We demonstrate the validity and flexibility of our proposed framework in a simulation study of periodic processes and an analysis of rat's local field potential activity in a complex sequence memory task.

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arXiv2018

Neural Network Gradient Hamiltonian Monte Carlo

Hamiltonian Monte Carlo is a widely used algorithm for sampling from posterior distributions of complex Bayesian models. It can efficiently explore high-dimensional parameter spaces guided by simulated Hamiltonian flows. However, the algorithm requires repeated gradient calculations, and these computations become increasingly burdensome as data sets scale. We present a method to substantially reduce the computation burden by using a neural network to approximate the gradient. First, we prove that the proposed method still maintains convergence to the true distribution though the approximated gradient no longer comes from a Hamiltonian system. Second, we conduct experiments on synthetic examples and real data sets to validate the proposed method.

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arXiv2018

Note on the geodesic Monte Carlo

Geodesic Monte Carlo (gMC) is a powerful algorithm for Bayesian inference on non-Euclidean manifolds. The original gMC algorithm was cleverly derived in terms of its progenitor, the Riemannian manifold Hamiltonian Monte Carlo (RMHMC). Here, it is shown that alternative and theoretically simpler derivations are available in which the original algorithm is a special case of two general classes of algorithms characterized by non-trivial mass matrices. The proposed derivations work entirely in embedding coordinates and thus clarify the original algorithm as applied to manifolds embedded in Euclidean space.

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arXiv2018

Differentiating the pseudo determinant

A class of derivatives is defined for the pseudo determinant $Det(A)$ of a Hermitian matrix $A$. This class is shown to be non-empty and to have a unique, canonical member $\mathbf{\nabla Det}(A)=Det(A)A^+$, where $A^+$ is the Moore-Penrose pseudo inverse. The classic identity for the gradient of the determinant is thus reproduced. Examples are provided, including the maximum likelihood problem for the rank-deficient covariance matrix of the degenerate multivariate Gaussian distribution.

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arXiv2017

The nonparametric Fisher geometry and the chi-square process density prior

It is well known that the Fisher information induces a Riemannian geometry on parametric families of probability density functions. Following recent work, we consider the nonparametric generalization of the Fisher geometry. The resulting nonparametric Fisher geometry is shown to be equivalent to a familiar, albeit infinite-dimensional, geometric object---the sphere. By shifting focus away from density functions and toward \emph{square-root} density functions, one may calculate theoretical quantities of interest with ease. More importantly, the sphere of square-root densities is much more computationally tractable. This insight leads to a novel Bayesian nonparametric density estimation model. We construct the $χ^2$-process density prior by modeling the square-root density with a restricted Gaussian process prior. Inference over square-root densities is fast, and the model retains the flexibility characteristic of Bayesian nonparametric models. Finally, we formalize the relationship between spherical HMC in the infinite-dimensional limit and standard Riemannian HMC.

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arXiv2016

Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

We extend the application of Hamiltonian Monte Carlo to allow for sampling from probability distributions defined over symmetric or Hermitian positive definite matrices. To do so, we exploit the Riemannian structure induced by Cartan's century-old canonical metric. The geodesics that correspond to this metric are available in closed-form and---within the context of Lagrangian Monte Carlo---provide a principled way to travel around the space of positive definite matrices. Our method improves Bayesian inference on such matrices by allowing for a broad range of priors, so we are not limited to conjugate priors only. In the context of spectral density estimation, we use the (non-conjugate) complex reference prior as an example modeling option made available by the algorithm. Results based on simulated and real-world multivariate time series are presented in this context, and future directions are outlined.

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arXiv2016

Bayesian Inference on Matrix Manifolds for Linear Dimensionality Reduction

We reframe linear dimensionality reduction as a problem of Bayesian inference on matrix manifolds. This natural paradigm extends the Bayesian framework to dimensionality reduction tasks in higher dimensions with simpler models at greater speeds. Here an orthogonal basis is treated as a single point on a manifold and is associated with a linear subspace on which observations vary maximally. Throughout this paper, we employ the Grassmann and Stiefel manifolds for various dimensionality reduction problems, explore the connection between the two manifolds, and use Hybrid Monte Carlo for posterior sampling on the Grassmannian for the first time. We delineate in which situations either manifold should be considered. Further, matrix manifold models are used to yield scientific insight in the context of cognitive neuroscience, and we conclude that our methods are suitable for basic inference as well as accurate prediction.

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