现实世界的数据往往具有序列依赖性，涉及人类行为、医学、金融、气候建模等多个领域。概率方法可捕捉这些场景下预测相关的固有不确定性，其中自回归模型（autoregressive model）的应用尤为广泛。本论文聚焦于利用自回归模型解答超出单步预测范畴的复杂概率查询，例如未来事件的发生时间、或某特定事件先于另一事件发生的概率。具体而言，我们提出了一类新颖且高效的序列模型边缘化近似技术，这类技术具备模型无关性（model-agnostic），仅需调用预训练自回归模型的下一步条件分布并从中采样即可实现，既适用于传统参数模型，也适用于近年出现的神经自回归模型。我们分别针对离散序列模型、标记时间点过程（marked temporal point process）和随机跳跃过程（stochastic jump process）提出了具体方法，每种方法都适配于一类定义明确的、具备信息价值的长程概率查询。
英文摘要：
Real-world data often exhibits sequential dependence, across diverse domains such as human behavior, medicine, finance, and climate modeling. Probabilistic methods capture the inherent uncertainty associated with prediction in these contexts, with autoregressive models being especially prominent. This dissertation focuses on using autoregressive models to answer complex probabilistic queries that go beyond single-step prediction, such as the timing of future events or the likelihood of a specific event occurring before another. In particular, we develop a broad class of novel and efficient approximation techniques for marginalization in sequential models that are model-agnostic. These techniques rely solely on access to and sampling from next-step conditional distributions of a pre-trained autoregressive model, including both traditional parametric models as well as more recent neural autoregressive models. Specific approaches are presented for discrete sequential models, for marked temporal point processes, and for stochastic jump processes, each tailored to a well-defined class of informative, long-range probabilistic queries.
The key distinguishing property of a Bayesian approach is marginalization, rather than using a single setting of weights. Bayesian marginalization can particularly improve the accuracy and calibration of modern deep neural networks, which are typically underspecified by the data, and can represent many compelling but different solutions. We show that deep ensembles provide an effective mechanism for approximate Bayesian marginalization, and propose a related approach that further improves the predictive distribution by marginalizing within basins of attraction, without significant overhead. We…
Mila（米拉研究所）；University de Montreal（蒙特利尔大学）；Meta AI (FAIR)（元人工智能（基础人工智能研究部））
While the maximum entropy (MaxEnt) reinforcement learning (RL) framework -- often touted for its exploration and robustness capabilities -- is usually motivated from a probabilistic perspective, the use of deep probabilistic models has not gained much traction in practice due to their inherent complexity. In this work, we propose the adoption of latent variable policies within the MaxEnt framework, which we show can provably approximate any policy distribution, and additionally, naturally emerges under the use of world models with a latent belief state. We discuss why latent variable policies …
Dalian University of Technology（大连理工大学）；Shenyang Blower Works Group Corporation（沈阳鼓风机集团股份有限公司）
The demand of probabilistic time series forecasting has been recently raised in various dynamic system scenarios, for example, system identification and prognostic and health management of machines. To this end, we combine the advances in both deep generative models and state space model (SSM) to come up with a novel, data-driven deep probabilistic sequence model. Specifically, we follow the popular encoder-decoder generative structure to build the recurrent neural networks (RNN) assisted variational sequence model on an augmented recurrent input space, which could induce rich stochastic seque…
Department of Computer Science, ETH Zürich（苏黎世联邦理工学院计算机科学系）；Department of Computer Science, ETH Zürich, Switzerland（苏黎世联邦理工学院计算机科学系）
We develop an effective generation of adversarial attacks on neural models that output a sequence of probability distributions rather than a sequence of single values. This setting includes the recently proposed deep probabilistic autoregressive forecasting models that estimate the probability distribution of a time series given its past and achieve state-of-the-art results in a diverse set of application domains. The key technical challenge we address is effectively differentiating through the Monte-Carlo estimation of statistics of the joint distribution of the output sequence. Additionally,…
Continuous-time event sequences, i.e., sequences consisting of continuous time stamps and associated event types ("marks"), are an important type of sequential data with many applications, e.g., in clinical medicine or user behavior modeling. Since these data are typically modeled autoregressively (e.g., using neural Hawkes processes or their classical counterparts), it is natural to ask questions about future scenarios such as "what kind of event will occur next" or "will an event of type $A$ occur before one of type $B$". Unfortunately, some of these queries are notoriously hard to address s…
Time-series is ubiquitous across applications, such as transportation, finance and healthcare. Time-series is often influenced by external factors, especially in the form of asynchronous events, making forecasting difficult. However, existing models are mainly designated for either synchronous time-series or asynchronous event sequence, and can hardly provide a synthetic way to capture the relation between them. We propose Variational Synergetic Multi-Horizon Network (VSMHN), a novel deep conditional generative model. To learn complex correlations across heterogeneous sequences, a tailored enc…
Traditional pairwise sequence alignment is based on matching individual samples from two sequences, under time monotonicity constraints. However, in many application settings matching subsequences (segments) instead of individual samples may bring in additional robustness to noise or local non-causal perturbations. This paper presents an approach to segmental sequence alignment that jointly segments and aligns two sequences, generalizing the traditional per-sample alignment. To accomplish this task, we introduce a distance metric between segments based on average pairwise distances and then pr…
Gaussian process regression is a popular method for non-parametric probabilistic modeling of functions. The Gaussian process prior is characterized by so-called hyperparameters, which often have a large influence on the posterior model and can be difficult to tune. This work provides a method for numerical marginalization of the hyperparameters, relying on the rigorous framework of sequential Monte Carlo. Our method is well suited for online problems, and we demonstrate its ability to handle real-world problems with several dimensions and compare it to other marginalization methods. We also co…
INRIA - ENS（法国国家信息与自动化研究所 - 巴黎高等师范学院）；PSL Research University（巴黎文理研究大学）
We consider the structured-output prediction problem through probabilistic approaches and generalize the "perturb-and-MAP" framework to more challenging weighted Hamming losses, which are crucial in applications. While in principle our approach is a straightforward marginalization, it requires solving many related MAP inference problems. We show that for log-supermodular pairwise models these operations can be performed efficiently using the machinery of dynamic graph cuts. We also propose to use double stochastic gradient descent, both on the data and on the perturbations, for efficient learn…
Department of Research and Intelligence Cylance, Inc.（Cylance公司研究与情报部）
We present PROPS, a lightweight transfer learning mechanism for sequential data. PROPS learns probabilistic perturbations around the predictions of one or more arbitrarily complex, pre-trained black box models (such as recurrent neural networks). The technique pins the black-box prediction functions to "source nodes" of a hidden Markov model (HMM), and uses the remaining nodes as "perturbation nodes" for learning customized perturbations around those predictions. In this paper, we describe the PROPS model, provide an algorithm for online learning of its parameters, and demonstrate the consiste…
Mila（米拉研究所）；DIRO Université de Montréal（蒙特利尔大学计算机科学与运筹学系）；CUNY（纽约市立大学）；Tunnel City University of New York（纽约隧道城市大学）
Tensor networks are a powerful modeling framework developed for computational many-body physics, which have only recently been applied within machine learning. In this work we utilize a uniform matrix product state (u-MPS) model for probabilistic modeling of sequence data. We first show that u-MPS enable sequence-level parallelism, with length-n sequences able to be evaluated in depth O(log n). We then introduce a novel generative algorithm giving trained u-MPS the ability to efficiently sample from a wide variety of conditional distributions, each one defined by a regular expression. Special …
Inspired by the possibility that generative models based on quantum circuits can provide a useful inductive bias for sequence modeling tasks, we propose an efficient training algorithm for a subset of classically simulable quantum circuit models. The gradient-free algorithm, presented as a sequence of exactly solvable effective models, is a modification of the density matrix renormalization group procedure adapted for learning a probability distribution. The conclusion that circuit-based models offer a useful inductive bias for classical datasets is supported by experimental results on the par…
A graph generative model defines a distribution over graphs. One type of generative model is constructed by autoregressive neural networks, which sequentially add nodes and edges to generate a graph. However, the likelihood of a graph under the autoregressive model is intractable, as there are numerous sequences leading to the given graph; this makes maximum likelihood estimation challenging. Instead, in this work we derive the exact joint probability over the graph and the node ordering of the sequential process. From the joint, we approximately marginalize out the node orderings and compute …
Many practical techniques for probabilistic inference require a sequence of distributions that interpolate between a tractable distribution and an intractable distribution of interest. Usually, the sequences used are simple, e.g., based on geometric averages between distributions. When models are expressed as probabilistic programs, the models themselves are highly structured objects that can be used to derive annealing sequences that are more sensitive to domain structure. We propose an algorithm for transforming probabilistic programs to coarse-to-fine programs which have the same marginal d…
