arXiv subjects

Marina Riabiz

Publications and source records attributed to Marina Riabiz.

8 recordsLinked to original sources

arXiv2026

Extrapolation of Tempered Posteriors

Tempering is a popular tool in Bayesian computation, being used to transform a posterior distribution $p_1$ into a reference distribution $p_0$ that is more easily approximated. Several algorithms exist that start by approximating $p_0$ and proceed through a sequence of intermediate distributions $p_t$ until an approximation to $p_1$ is obtained. Our contribution reveals that high-quality approximation of terms up to $p_1$ is not essential, as knowledge of the intermediate distributions enables posterior quantities of interest to be extrapolated. Specifically, we establish conditions under which posterior expectations are determined by their associated tempered expectations on any non-empty $t$ interval. Harnessing this result, we propose novel methodology for approximating posterior expectations based on extrapolation and smoothing of tempered expectations, which we implement as a post-processing variance-reduction tool for sequential Monte Carlo.

stat.CO↗

arXiv2025

Operator-Informed Score Matching for Markov Diffusion Models

Diffusion models are typically trained using score matching, a learning objective agnostic to the underlying noising process that guides the model. This paper argues that Markov noising processes enjoy an advantage over alternatives, as the Markov operators that govern the noising process are well-understood. Specifically, by leveraging the spectral decomposition of the infinitesimal generator of the Markov noising process, we obtain parametric estimates of the score functions simultaneously for all marginal distributions, using only sample averages with respect to the data distribution. The resulting operator-informed score matching provides both a standalone approach to sample generation for low-dimensional distributions, as well as a recipe for better informed neural score estimators in high-dimensional settings.

stat.ML↗

arXiv2022

Optimal Thinning of MCMC Output

The use of heuristics to assess the convergence and compress the output of Markov chain Monte Carlo can be sub-optimal in terms of the empirical approximations that are produced. Typically a number of the initial states are attributed to "burn in" and removed, whilst the remainder of the chain is "thinned" if compression is also required. In this paper we consider the problem of retrospectively selecting a subset of states, of fixed cardinality, from the sample path such that the approximation provided by their empirical distribution is close to optimal. A novel method is proposed, based on greedy minimisation of a kernel Stein discrepancy, that is suitable for problems where heavy compression is required. Theoretical results guarantee consistency of the method and its effectiveness is demonstrated in the challenging context of parameter inference for ordinary differential equations. Software is available in the Stein Thinning package in Python, R and MATLAB.

stat.ME↗

arXiv2021

Post-Processing of MCMC

Markov chain Monte Carlo (MCMC) is the engine of modern Bayesian statistics, being used to approximate the posterior and derived quantities of interest. Despite this, the issue of how the output from a Markov chain is post-processed and reported is often overlooked. Convergence diagnostics can be used to control bias via burn-in removal, but these do not account for (common) situations where a limited computational budget engenders a bias-variance trade-off. The aim of this article is to review state-of-the-art techniques for post-processing Markov chain output. Our review covers methods based on discrepancy minimisation, which directly address the bias-variance trade-off, as well as general-purpose control variate methods for approximating expected quantities of interest.

stat.ME↗

arXiv2021

Optimal quantisation of probability measures using maximum mean discrepancy

Several researchers have proposed minimisation of maximum mean discrepancy (MMD) as a method to quantise probability measures, i.e., to approximate a target distribution by a representative point set. We consider sequential algorithms that greedily minimise MMD over a discrete candidate set. We propose a novel non-myopic algorithm and, in order to both improve statistical efficiency and reduce computational cost, we investigate a variant that applies this technique to a mini-batch of the candidate set at each iteration. When the candidate points are sampled from the target, the consistency of these new algorithm - and their mini-batch variants - is established. We demonstrate the algorithms on a range of important computational problems, including optimisation of nodes in Bayesian cubature and the thinning of Markov chain output.

stat.ML↗

arXiv2020

Considering discrepancy when calibrating a mechanistic electrophysiology model

Uncertainty quantification (UQ) is a vital step in using mathematical models and simulations to take decisions. The field of cardiac simulation has begun to explore and adopt UQ methods to characterise uncertainty in model inputs and how that propagates through to outputs or predictions. In this perspective piece we draw attention to an important and under-addressed source of uncertainty in our predictions -- that of uncertainty in the model structure or the equations themselves. The difference between imperfect models and reality is termed model discrepancy, and we are often uncertain as to the size and consequences of this discrepancy. Here we provide two examples of the consequences of discrepancy when calibrating models at the ion channel and action potential scales. Furthermore, we attempt to account for this discrepancy when calibrating and validating an ion channel model using different methods, based on modelling the discrepancy using Gaussian processes (GPs) and autoregressive-moving-average (ARMA) models, then highlight the advantages and shortcomings of each approach. Finally, suggestions and lines of enquiry for future work are provided.

stat.CO↗

arXiv2020

The Lévy State Space Model

In this paper we introduce a new class of state space models based on shot-noise simulation representations of non-Gaussian Lévy-driven linear systems, represented as stochastic differential equations. In particular a conditionally Gaussian version of the models is proposed that is able to capture heavy-tailed non-Gaussianity while retaining tractability for inference procedures. We focus on a canonical class of such processes, the $α$-stable Lévy processes, which retain important properties such as self-similarity and heavy-tails, while emphasizing that broader classes of non-Gaussian Lévy processes may be handled by similar methodology. An important feature is that we are able to marginalise both the skewness and the scale parameters of these challenging models from posterior probability distributions. The models are posed in continuous time and so are able to deal with irregular data arrival times. Example modelling and inference procedures are provided using Rao-Blackwellised sequential Monte Carlo applied to a two-dimensional Langevin model, and this is tested on real exchange rate data.

math.PR↗

arXiv2020

Nonasymptotic Gaussian Approximation for Inference with Stable Noise

The results of a series of theoretical studies are reported, examining the convergence rate for different approximate representations of $α$-stable distributions. Although they play a key role in modelling random processes with jumps and discontinuities, the use of $α$-stable distributions in inference often leads to analytically intractable problems. The LePage series, which is a probabilistic representation employed in this work, is used to transform an intractable, infinite-dimensional inference problem into a conditionally Gaussian parametric problem. A major component of our approach is the approximation of the tail of this series by a Gaussian random variable. Standard statistical techniques, such as Expectation-Maximization, Markov chain Monte Carlo, and Particle Filtering, can then be applied. In addition to the asymptotic normality of the tail of this series, we establish explicit, nonasymptotic bounds on the approximation error. Their proofs follow classical Fourier-analytic arguments, using Esséen's smoothing lemma. Specifically, we consider the distance between the distributions of: $(i)$~the tail of the series and an appropriate Gaussian; $(ii)$~the full series and the truncated series; and $(iii)$~the full series and the truncated series with an added Gaussian term. In all three cases, sharp bounds are established, and the theoretical results are compared with the actual distances (computed numerically) in specific examples of symmetric $α$-stable distributions. This analysis facilitates the selection of appropriate truncations in practice and offers theoretical guarantees for the accuracy of resulting estimates. One of the main conclusions obtained is that, for the purposes of inference, the use of a truncated series together with an approximately Gaussian error term has superior statistical properties and is likely a preferable choice in practice.

math.PR↗