43 accepted papers
Time-series forecasting increasingly demands not only accurate observational predictions but also causal forecasting under interventional and counterfactual queries in multivariate systems. We present DoFlow, a flow-based generative model defined over a causal Directed Acyclic Graph (DAG) that deliv…
Time series prediction underpins a broad range of downstream tasks across many scientific domains. Recent advances and increasing adoption of black-box machine learning models for time series prediction highlight the critical need for reliable uncertainty quantification. While conformal prediction h…
Mean-field games (MFGs) study the Nash equilibrium of systems with a continuum of interacting agents, which can be formulated as the fixed-point of optimal control problems. They provide a unified framework for a variety of applications, including optimal transport (OT) and generative models. Despit…
Reliable uncertainty quantification at unobserved spatial locations is a key challenge in spatial statistics, particularly for complex and heterogeneous datasets. While traditional methods such as Kriging rely on strong distributional assumptions, conformal prediction (CP) offers a distribution-free…
Sampling from high-dimensional, multi-modal distributions remains a fundamental challenge across domains such as statistical Bayesian inference and physics-based machine learning. In this paper, we propose Annealing Flow (AF), a method built on Continuous Normalizing Flows (CNFs) for sampling from h…
Computing optimal transport (OT) for general high-dimensional data has been a long-standing challenge. Despite much progress, most of the efforts including neural network methods have been focused on the static formulation of the OT problem. The current work proposes to compute the dynamic OT betwee…
Posterior sampling in high-dimensional spaces using generative models holds significant promise for various applications, including but not limited to inverse problems and guided generation tasks. Generating diverse posterior samples remains expensive, as existing methods require restarting the enti…
Conformal prediction has been a popular distribution-free framework for uncertainty quantification. In this work, we present a novel conformal prediction method for time-series, which we call Kernel-based Optimally Weighted Conformal Prediction Intervals ($\texttt{KOWCPI}$). Specifically, $\texttt{K…
In the wild, we often encounter collections of sequential data such as electrocardiograms, motion capture, genomes, and natural language, and sequences may be multichannel or symbolic with nonlinear dynamics. We introduce a method to learn low-dimensional representations of nonlinear sequence and ti…
Optimal transport has been very successful for various machine learning tasks; however, it is known to suffer from the curse of dimensionality. Hence, dimensionality reduction is desirable when applied to high-dimensional data with low-dimensional structures. The kernel max-sliced (KMS) Wasserstein…
We present a novel Graph-based debiasing Algorithm for Underreported Data (GRAUD) aiming at an efficient joint estimation of event counts and discovery probabilities across spatial or graphical structures. This innovative method provides a solution to problems seen in fields such as policing data an…
Conformal prediction (CP) has been a popular method for uncertainty quantification because it is distribution-free, model-agnostic, and theoretically sound. For forecasting problems in supervised learning, most CP methods focus on building prediction intervals for univariate responses. In this work,…
Learning to differentiate model distributions from observed data is a fundamental problem in statistics and machine learning, and high-dimensional data remains a challenging setting for such problems. Metrics that quantify the disparity in probability distributions, such as the Stein discrepancy, pl…
We introduce contextual stochastic bilevel optimization (CSBO) -- a stochastic bilevel optimization framework with the lower-level problem minimizing an expectation conditioned on some contextual information and the upper-level decision variable. This framework extends classical stochastic bilevel o…
Normalizing flow is a class of deep generative models for efficient sampling and likelihood estimation, which achieves attractive performance, particularly in high dimensions. The flow is often implemented using a sequence of invertible residual blocks. Existing works adopt special network architect…
We present a new distribution-free conformal prediction algorithm for sequential data (e.g., time series), called the *sequential predictive conformal inference* (SPCI). We specifically account for the nature that time series data are non-exchangeable, and thus many existing conformal prediction alg…
Point process data are becoming ubiquitous in modern applications, such as social networks, health care, and finance. Despite the powerful expressiveness of the popular recurrent neural network (RNN) models for point process data, they may not successfully capture sophisticated non-stationary depend…
Detecting an abrupt distributional shift of a data stream, known as change-point detection, is a fundamental problem in statistics and machine learning. We introduce a novel approach for online change-point detection using neural net-works. To be specific, our approach is training neural net-works t…
Learning a robust classifier from a few samples remains a key challenge in machine learning. A major thrust of research has been focused on developing k-nearest neighbor (k-NN) based algorithms combined with metric learning that captures similarities between samples. When the samples are limited, ro…
Self- and mutually-exciting point processes are popular models in machine learning and statistics for dependent discrete event data. To date, most existing models assume stationary kernels (including the classical Hawkes processes) and simple parametric models. Modern applications with complex event…
We develop a kernel projected Wasserstein distance for the two-sample test, an essential building block in statistics and machine learning: given two sets of samples, to determine whether they are from the same distribution. This method operates by finding the nonlinear mapping in the data space whi…
We develop a method to construct distribution-free prediction intervals for dynamic time-series, called \Verb|EnbPI| that wraps around any bootstrap ensemble estimator to construct sequential prediction intervals. \Verb|EnbPI| is closely related to the conformal prediction (CP) framework but does no…
We present a novel attention-based model for discrete event data to capture complex non-linear temporal dependence structures. We borrow the idea from the attention mechanism and incorporate it into the point processes’ conditional intensity function. We further introduce a novel score function usin…
Recently there have been many research efforts in developing generative models for self-exciting point processes, partly due to their broad applicability for real-world applications. However, rarely can we quantify how well the generative model captures the nature or ground-truth since it is usually…
Sequential data with serial correlation and an unknown, unstructured, and dynamic background is ubiquitous in neuroscience, psychology, and econometrics. Inferring serial correlation for such data is a fundamental challenge in statistics. We propose a Total Variation (TV) constrained least square es…
We present a novel neural network Maximum Mean Discrepancy (MMD) statistic by identifying a new connection between neural tangent kernel (NTK) and MMD. This connection enables us to develop a computationally efficient and memory-efficient approach to compute the MMD statistic and perform NTK based t…
We present a novel adversarial detector for the anomalous sequence when there are only one-class training samples. The detector is developed by finding the best detector that can discriminate against the worst-case, which statistically mimics the training sequences. We explicitly capture the depende…
Spatio-temporal event data are becoming increasingly commonplace in a wide variety of applications, such as electronic transaction records, social network data, and crime incident reports. How to efficiently detect anomalies in these dynamic systems using these streaming event data? This work propos…
We present an online community change detection algorithm called spectral CUSUM to detect the emergence of a community using a subspace projection procedure based on a Gaussian model setting. Theoretical analysis is provided to characterize the average run length (ARL) and expected detection delay (…
In this work, we propose a novel classification algorithm that used to classify vessel data points into different trajectories. The algorithm is a truncated version of Viterbi Algorithm. A physical model utilizing the observation information completely is used to simulate the movement of vessels dur…
We propose a modeling framework for event data and aim to answer questions such as \emph{when} and \emph{why} the next event would happen. Our proposed model excels in small data regime with the ability to incorporate domain knowledge in terms of logic rules. We model the dynamics of the event start…
Multivariate Hawkes processes are commonly used to model streaming networked event data in a wide variety of applications. However, it remains a challenge to extract reliable inference from complex datasets with uncertainty quantification. Aiming towards this, we develop a statistical inference fram…
We present a novel event embedding algorithm for crime data that can jointly capture time, location, and the complex free-text component of each event. The embedding is achieved by regularized Restricted Boltzmann Machines (RBMs), and we introduce a new way to regularize by imposing a ℓ <sub xmlns:m…
Reconstructing the 3D model of a physical object typically requires us to align the depth scans obtained from different camera poses into the same coordinate system. Solutions to this global alignment problem usually proceed in two steps. The first step estimates relative transformations between pai…
Multi-armed bandit (MAB) is a class of online learning problems where a learning agent aims to maximize its expected cumulative reward while repeatedly selecting to pull arms with unknown reward distributions. We consider a scenario where the reward distributions may change in a piecewise-stationary…
We consider the problem of determining the rank in the low-rank matrix completion. We propose a statistical model for noisy observation. It is important for many existing algorithms and sometimes has practical meanings. We construct a test statistics for the low rank approximation problem. Under thi…
We present a new approach for detecting related crime series, by unsupervised learning of the latent feature embeddings from narratives of crime record via the Gaussian-Bernoulli Restricted Boltzmann Machine (GBRBM). This is a drastically different approach from prior work on crime analysis, which t…
Social goods, such as healthcare, smart city, and information networks, often produce ordered event data in continuous time. The generative processes of these event data can be very complex, requiring flexible models to capture their dynamics. Temporal point processes offer an elegant framework for…
Sequential hypothesis test and change-point detection when the distribution parameters are unknown is a fundamental problem in statistics and machine learning. We show that for such problems, detection procedures based on sequential likelihood ratios with simple one-sample update estimates such as o…
We develop a novel computationally efficient and general framework for robust hypothesis testing. The new framework features a new way to construct uncertainty sets under the null and the alternative distributions, which are sets centered around the empirical distribution defined via Wasserstein met…
We develop new efficient online algorithms for detecting transient sparse signals in TEM video sequences, by adopting the recently developed framework for sequential detection jointly with online convex optimization [1]. We cast the problem as detecting an unknown sparse mean shift of Gaussian obser…
In this paper, we propose a novel robust adaptive beamforming algorithm with direction-of-arrival (DOA) support for the coprime array. Specifically, by using the property of coprime number, we may estimate the DOAs of sources by matching two super-resolution spatial spectra of the pair of decomposed…
Detecting the emergence of an abrupt change-point is a classic problem in statistics and machine learning. Kernel-based nonparametric statistics have been proposed for this task which make fewer assumptions on the distributions than traditional parametric approach. However, none of the existing kern…