arXiv subjects

Stephen Roberts

Publications and source records attributed to Stephen Roberts.

At least 55 records · Page 3Linked to original sources

arXiv2021

Robust and Scalable SDE Learning: A Functional Perspective

Stochastic differential equations provide a rich class of flexible generative models, capable of describing a wide range of spatio-temporal processes. A host of recent work looks to learn data-representing SDEs, using neural networks and other flexible function approximators. Despite these advances, learning remains computationally expensive due to the sequential nature of SDE integrators. In this work, we propose an importance-sampling estimator for probabilities of observations of SDEs for the purposes of learning. Crucially, the approach we suggest does not rely on such integrators. The proposed method produces lower-variance gradient estimates compared to algorithms based on SDE integrators and has the added advantage of being embarrassingly parallelizable. This facilitates the effective use of large-scale parallel hardware for massive decreases in computation time.

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arXiv2021

Augmented World Models Facilitate Zero-Shot Dynamics Generalization From a Single Offline Environment

Reinforcement learning from large-scale offline datasets provides us with the ability to learn policies without potentially unsafe or impractical exploration. Significant progress has been made in the past few years in dealing with the challenge of correcting for differing behavior between the data collection and learned policies. However, little attention has been paid to potentially changing dynamics when transferring a policy to the online setting, where performance can be up to 90% reduced for existing methods. In this paper we address this problem with Augmented World Models (AugWM). We augment a learned dynamics model with simple transformations that seek to capture potential changes in physical properties of the robot, leading to more robust policies. We not only train our policy in this new setting, but also provide it with the sampled augmentation as a context, allowing it to adapt to changes in the environment. At test time we learn the context in a self-supervised fashion by approximating the augmentation which corresponds to the new environment. We rigorously evaluate our approach on over 100 different changed dynamics settings, and show that this simple approach can significantly improve the zero-shot generalization of a recent state-of-the-art baseline, often achieving successful policies where the baseline fails.

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arXiv2021

Hierarchical Indian Buffet Neural Networks for Bayesian Continual Learning

We place an Indian Buffet process (IBP) prior over the structure of a Bayesian Neural Network (BNN), thus allowing the complexity of the BNN to increase and decrease automatically. We further extend this model such that the prior on the structure of each hidden layer is shared globally across all layers, using a Hierarchical-IBP (H-IBP). We apply this model to the problem of resource allocation in Continual Learning (CL) where new tasks occur and the network requires extra resources. Our model uses online variational inference with reparameterisation of the Bernoulli and Beta distributions, which constitute the IBP and H-IBP priors. As we automatically learn the number of weights in each layer of the BNN, overfitting and underfitting problems are largely overcome. We show empirically that our approach offers a competitive edge over existing methods in CL.

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arXiv2021

Port-Hamiltonian Neural Networks for Learning Explicit Time-Dependent Dynamical Systems

Accurately learning the temporal behavior of dynamical systems requires models with well-chosen learning biases. Recent innovations embed the Hamiltonian and Lagrangian formalisms into neural networks and demonstrate a significant improvement over other approaches in predicting trajectories of physical systems. These methods generally tackle autonomous systems that depend implicitly on time or systems for which a control signal is known apriori. Despite this success, many real world dynamical systems are non-autonomous, driven by time-dependent forces and experience energy dissipation. In this study, we address the challenge of learning from such non-autonomous systems by embedding the port-Hamiltonian formalism into neural networks, a versatile framework that can capture energy dissipation and time-dependent control forces. We show that the proposed \emph{port-Hamiltonian neural network} can efficiently learn the dynamics of nonlinear physical systems of practical interest and accurately recover the underlying stationary Hamiltonian, time-dependent force, and dissipative coefficient. A promising outcome of our network is its ability to learn and predict chaotic systems such as the Duffing equation, for which the trajectories are typically hard to learn.

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arXiv2021

Variational Integrator Graph Networks for Learning Energy Conserving Dynamical Systems

Recent advances show that neural networks embedded with physics-informed priors significantly outperform vanilla neural networks in learning and predicting the long term dynamics of complex physical systems from noisy data. Despite this success, there has only been a limited study on how to optimally combine physics priors to improve predictive performance. To tackle this problem we unpack and generalize recent innovations into individual inductive bias segments. As such, we are able to systematically investigate all possible combinations of inductive biases of which existing methods are a natural subset. Using this framework we introduce Variational Integrator Graph Networks - a novel method that unifies the strengths of existing approaches by combining an energy constraint, high-order symplectic variational integrators, and graph neural networks. We demonstrate, across an extensive ablation, that the proposed unifying framework outperforms existing methods, for data-efficient learning and in predictive accuracy, across both single and many-body problems studied in recent literature. We empirically show that the improvements arise because high order variational integrators combined with a potential energy constraint induce coupled learning of generalized position and momentum updates which can be formalized via the Partitioned Runge-Kutta method.

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arXiv2021

Tuning Mixed Input Hyperparameters on the Fly for Efficient Population Based AutoRL

Despite a series of recent successes in reinforcement learning (RL), many RL algorithms remain sensitive to hyperparameters. As such, there has recently been interest in the field of AutoRL, which seeks to automate design decisions to create more general algorithms. Recent work suggests that population based approaches may be effective AutoRL algorithms, by learning hyperparameter schedules on the fly. In particular, the PB2 algorithm is able to achieve strong performance in RL tasks by formulating online hyperparameter optimization as time varying GP-bandit problem, while also providing theoretical guarantees. However, PB2 is only designed to work for continuous hyperparameters, which severely limits its utility in practice. In this paper we introduce a new (provably) efficient hierarchical approach for optimizing both continuous and categorical variables, using a new time-varying bandit algorithm specifically designed for the population based training regime. We evaluate our approach on the challenging Procgen benchmark, where we show that explicitly modelling dependence between data augmentation and other hyperparameters improves generalization.

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arXiv2021

Can convolutional ResNets approximately preserve input distances? A frequency analysis perspective

ResNets constrained to be bi-Lipschitz, that is, approximately distance preserving, have been a crucial component of recently proposed techniques for deterministic uncertainty quantification in neural models. We show that theoretical justifications for recent regularisation schemes trying to enforce such a constraint suffer from a crucial flaw -- the theoretical link between the regularisation scheme used and bi-Lipschitzness is only valid under conditions which do not hold in practice, rendering existing theory of limited use, despite the strong empirical performance of these models. We provide a theoretical explanation for the effectiveness of these regularisation schemes using a frequency analysis perspective, showing that under mild conditions these schemes will enforce a lower Lipschitz bound on the low-frequency projection of images. We then provide empirical evidence supporting our theoretical claims, and perform further experiments which demonstrate that our broader conclusions appear to hold when some of the mathematical assumptions of our proof are relaxed, corresponding to the setup used in prior work. In addition, we present a simple constructive algorithm to search for counter examples to the distance preservation condition, and discuss possible implications of our theory for future model design.

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arXiv2021

Provably Efficient Online Hyperparameter Optimization with Population-Based Bandits

Many of the recent triumphs in machine learning are dependent on well-tuned hyperparameters. This is particularly prominent in reinforcement learning (RL) where a small change in the configuration can lead to failure. Despite the importance of tuning hyperparameters, it remains expensive and is often done in a naive and laborious way. A recent solution to this problem is Population Based Training (PBT) which updates both weights and hyperparameters in a single training run of a population of agents. PBT has been shown to be particularly effective in RL, leading to widespread use in the field. However, PBT lacks theoretical guarantees since it relies on random heuristics to explore the hyperparameter space. This inefficiency means it typically requires vast computational resources, which is prohibitive for many small and medium sized labs. In this work, we introduce the first provably efficient PBT-style algorithm, Population-Based Bandits (PB2). PB2 uses a probabilistic model to guide the search in an efficient way, making it possible to discover high performing hyperparameter configurations with far fewer agents than typically required by PBT. We show in a series of RL experiments that PB2 is able to achieve high performance with a modest computational budget.

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arXiv2021

Adversarial Robustness Guarantees for Gaussian Processes

Gaussian processes (GPs) enable principled computation of model uncertainty, making them attractive for safety-critical applications. Such scenarios demand that GP decisions are not only accurate, but also robust to perturbations. In this paper we present a framework to analyse adversarial robustness of GPs, defined as invariance of the model's decision to bounded perturbations. Given a compact subset of the input space $T\subseteq \mathbb{R}^d$, a point $x^*$ and a GP, we provide provable guarantees of adversarial robustness of the GP by computing lower and upper bounds on its prediction range in $T$. We develop a branch-and-bound scheme to refine the bounds and show, for any $ε> 0$, that our algorithm is guaranteed to converge to values $ε$-close to the actual values in finitely many iterations. The algorithm is anytime and can handle both regression and classification tasks, with analytical formulation for most kernels used in practice. We evaluate our methods on a collection of synthetic and standard benchmark datasets, including SPAM, MNIST and FashionMNIST. We study the effect of approximate inference techniques on robustness and demonstrate how our method can be used for interpretability. Our empirical results suggest that the adversarial robustness of GPs increases with accurate posterior estimation.

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arXiv2021

Relaxed-Responsibility Hierarchical Discrete VAEs

Successfully training Variational Autoencoders (VAEs) with a hierarchy of discrete latent variables remains an area of active research. Vector-Quantised VAEs are a powerful approach to discrete VAEs, but naive hierarchical extensions can be unstable when training. Leveraging insights from classical methods of inference we introduce \textit{Relaxed-Responsibility Vector-Quantisation}, a novel way to parameterise discrete latent variables, a refinement of relaxed Vector-Quantisation that gives better performance and more stable training. This enables a novel approach to hierarchical discrete variational autoencoders with numerous layers of latent variables (here up to 32) that we train end-to-end. Within hierarchical probabilistic deep generative models with discrete latent variables trained end-to-end, we achieve state-of-the-art bits-per-dim results for various standard datasets. % Unlike discrete VAEs with a single layer of latent variables, we can produce samples by ancestral sampling: it is not essential to train a second autoregressive generative model over the learnt latent representations to then sample from and then decode. % Moreover, that latter approach in these deep hierarchical models would require thousands of forward passes to generate a single sample. Further, we observe different layers of our model become associated with different aspects of the data.

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arXiv2021

Improving VAEs' Robustness to Adversarial Attack

Variational autoencoders (VAEs) have recently been shown to be vulnerable to adversarial attacks, wherein they are fooled into reconstructing a chosen target image. However, how to defend against such attacks remains an open problem. We make significant advances in addressing this issue by introducing methods for producing adversarially robust VAEs. Namely, we first demonstrate that methods proposed to obtain disentangled latent representations produce VAEs that are more robust to these attacks. However, this robustness comes at the cost of reducing the quality of the reconstructions. We ameliorate this by applying disentangling methods to hierarchical VAEs. The resulting models produce high-fidelity autoencoders that are also adversarially robust. We confirm their capabilities on several different datasets and with current state-of-the-art VAE adversarial attacks, and also show that they increase the robustness of downstream tasks to attack.

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arXiv2021

Learning Bijective Feature Maps for Linear ICA

Separating high-dimensional data like images into independent latent factors, i.e independent component analysis (ICA), remains an open research problem. As we show, existing probabilistic deep generative models (DGMs), which are tailor-made for image data, underperform on non-linear ICA tasks. To address this, we propose a DGM which combines bijective feature maps with a linear ICA model to learn interpretable latent structures for high-dimensional data. Given the complexities of jointly training such a hybrid model, we introduce novel theory that constrains linear ICA to lie close to the manifold of orthogonal rectangular matrices, the Stiefel manifold. By doing so we create models that converge quickly, are easy to train, and achieve better unsupervised latent factor discovery than flow-based models, linear ICA, and Variational Autoencoders on images.

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arXiv2021

Towards a Theoretical Understanding of the Robustness of Variational Autoencoders

We make inroads into understanding the robustness of Variational Autoencoders (VAEs) to adversarial attacks and other input perturbations. While previous work has developed algorithmic approaches to attacking and defending VAEs, there remains a lack of formalization for what it means for a VAE to be robust. To address this, we develop a novel criterion for robustness in probabilistic models: $r$-robustness. We then use this to construct the first theoretical results for the robustness of VAEs, deriving margins in the input space for which we can provide guarantees about the resulting reconstruction. Informally, we are able to define a region within which any perturbation will produce a reconstruction that is similar to the original reconstruction. To support our analysis, we show that VAEs trained using disentangling methods not only score well under our robustness metrics, but that the reasons for this can be interpreted through our theoretical results.

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arXiv2021

Deep Learning for Portfolio Optimization

We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model parameters. Instead of selecting individual assets, we trade Exchange-Traded Funds (ETFs) of market indices to form a portfolio. Indices of different asset classes show robust correlations and trading them substantially reduces the spectrum of available assets to choose from. We compare our method with a wide range of algorithms with results showing that our model obtains the best performance over the testing period, from 2011 to the end of April 2020, including the financial instabilities of the first quarter of 2020. A sensitivity analysis is included to understand the relevance of input features and we further study the performance of our approach under different cost rates and different risk levels via volatility scaling.

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arXiv2021

Explicit Regularisation in Gaussian Noise Injections

We study the regularisation induced in neural networks by Gaussian noise injections (GNIs). Though such injections have been extensively studied when applied to data, there have been few studies on understanding the regularising effect they induce when applied to network activations. Here we derive the explicit regulariser of GNIs, obtained by marginalising out the injected noise, and show that it penalises functions with high-frequency components in the Fourier domain; particularly in layers closer to a neural network's output. We show analytically and empirically that such regularisation produces calibrated classifiers with large classification margins.

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arXiv2020

Building Cross-Sectional Systematic Strategies By Learning to Rank

The success of a cross-sectional systematic strategy depends critically on accurately ranking assets prior to portfolio construction. Contemporary techniques perform this ranking step either with simple heuristics or by sorting outputs from standard regression or classification models, which have been demonstrated to be sub-optimal for ranking in other domains (e.g. information retrieval). To address this deficiency, we propose a framework to enhance cross-sectional portfolios by incorporating learning-to-rank algorithms, which lead to improvements of ranking accuracy by learning pairwise and listwise structures across instruments. Using cross-sectional momentum as a demonstrative case study, we show that the use of modern machine learning ranking algorithms can substantially improve the trading performance of cross-sectional strategies -- providing approximately threefold boosting of Sharpe Ratios compared to traditional approaches.

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arXiv2020

Mixture Density Conditional Generative Adversarial Network Models (MD-CGAN)

Generative Adversarial Networks (GANs) have gained significant attention in recent years, with impressive applications highlighted in computer vision in particular. Compared to such examples, however, there have been more limited applications of GANs to time series modelling, including forecasting. In this work, we present the Mixture Density Conditional Generative Adversarial Model (MD-CGAN), with a focus on time series forecasting. We show that our model is capable of estimating a probabilistic posterior distribution over forecasts and that, in comparison to a set of benchmark methods, the MD-CGAN model performs well, particularly in situations where noise is a significant component of the observed time series. Further, by using a Gaussian mixture model as the output distribution, MD-CGAN offers posterior predictions that are non-Gaussian.

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arXiv2020

Effective Diversity in Population Based Reinforcement Learning

Exploration is a key problem in reinforcement learning, since agents can only learn from data they acquire in the environment. With that in mind, maintaining a population of agents is an attractive method, as it allows data be collected with a diverse set of behaviors. This behavioral diversity is often boosted via multi-objective loss functions. However, those approaches typically leverage mean field updates based on pairwise distances, which makes them susceptible to cycling behaviors and increased redundancy. In addition, explicitly boosting diversity often has a detrimental impact on optimizing already fruitful behaviors for rewards. As such, the reward-diversity trade off typically relies on heuristics. Finally, such methods require behavioral representations, often handcrafted and domain specific. In this paper, we introduce an approach to optimize all members of a population simultaneously. Rather than using pairwise distance, we measure the volume of the entire population in a behavioral manifold, defined by task-agnostic behavioral embeddings. In addition, our algorithm Diversity via Determinants (DvD), adapts the degree of diversity during training using online learning techniques. We introduce both evolutionary and gradient-based instantiations of DvD and show they effectively improve exploration without reducing performance when better exploration is not required.

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