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In this paper we propose a time-varying parameter (TVP) vector error correction model (VECM) with heteroskedastic disturbances. We propose tools to carry out dynamic model specification in an automatic fashion. This involves using global-local priors, and postprocessing the parameters to achieve truly sparse solutions. Depending on the respective set of coefficients, we achieve this via minimizing auxiliary loss functions. Our two-step approach limits overfitting and reduces parameter estimation uncertainty. We apply this framework to modeling European electricity prices. When considering daily electricity prices for different markets jointly, our model highlights the importance of explicitly addressing cointegration and nonlinearities. In a forecast exercise focusing on hourly prices for Germany, our approach yields competitive metrics of predictive accuracy.

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Popularity bias is a persistent issue associated with recommendation systems, posing challenges to both fairness and efficiency. Existing literature widely acknowledges that reducing popularity bias often requires sacrificing recommendation accuracy. In this paper, we challenge this commonly held belief. Our analysis under general bias-variance decomposition framework shows that reducing bias can actually lead to improved model performance under certain conditions. To achieve this win-win situation, we propose to intervene in model training through negative sampling thereby modifying model predictions. Specifically, we provide an optimal negative sampling rule that maximizes partial AUC to preserve the accuracy of any given model, while correcting sample information and prior information to reduce popularity bias in a flexible and principled way. Our experimental results on real-world datasets demonstrate the superiority of our approach in improving recommendation performance and reducing popularity bias.

Monolithic neural networks that make use of a single set of weights to learn useful representations for downstream tasks explicitly dismiss the compositional nature of data generation processes. This characteristic exists in data where every instance can be regarded as the combination of an identity concept, such as the shape of an object, combined with modifying concepts, such as orientation, color, and size. The dismissal of compositionality is especially detrimental in robotics, where state estimation relies heavily on the compositional nature of physical mechanisms (e.g., rotations and transformations) to model interactions. To accommodate this data characteristic, modular networks have been proposed. However, a lack of structure in each module's role, and modular network-specific issues such as module collapse have restricted their usability. We propose a modular network architecture that accommodates the mentioned decompositional concept by proposing a unique structure that splits the modules into predetermined roles. Additionally, we provide regularizations that improve the resiliency of the modular network to the problem of module collapse while improving the decomposition accuracy of the model.

The reconstruction of physical properties of a medium from boundary measurements, known as inverse scattering problems, presents significant challenges. The present study aims to validate a newly developed convexification method for a 3D coefficient inverse problem in the case of buried unknown objects in a sandbox, using experimental data collected by a microwave scattering facility at The University of North Carolina at Charlotte. Our study considers the formulation of a coupled quasilinear elliptic system based on multiple frequencies. The system can be solved by minimizing a weighted Tikhonov-like functional, which forms our convexification method. Theoretical results related to the convexification are also revisited in this work.

How to better reduce measurement variability and bias introduced by subjectivity in crowdsourced labelling remains an open question. We introduce a theoretical framework for understanding how random error and measurement bias enter into crowdsourced annotations of subjective constructs. We then propose a pipeline that combines pairwise comparison labelling with Elo scoring, and demonstrate that it outperforms the ubiquitous majority-voting method in reducing both types of measurement error. To assess the performance of the labelling approaches, we constructed an agent-based model of crowdsourced labelling that lets us introduce different types of subjectivity into the tasks. We find that under most conditions with task subjectivity, the comparison approach produced higher $f_1$ scores. Further, the comparison approach is less susceptible to inflating bias, which majority voting tends to do. To facilitate applications, we show with simulated and real-world data that the number of required random comparisons for the same classification accuracy scales log-linearly $O(N \log N)$ with the number of labelled items. We also implemented the Elo system as an open-source Python package.

Modern deep neural networks are prone to being overconfident despite their drastically improved performance. In ambiguous or even unpredictable real-world scenarios, this overconfidence can pose a major risk to the safety of applications. For regression tasks, the regression-by-classification approach has the potential to alleviate these ambiguities by instead predicting a discrete probability density over the desired output. However, a density estimator still tends to be overconfident when trained with the common NLL loss. To mitigate the overconfidence problem, we propose a loss function, hinge-Wasserstein, based on the Wasserstein Distance. This loss significantly improves the quality of both aleatoric and epistemic uncertainty, compared to previous work. We demonstrate the capabilities of the new loss on a synthetic dataset, where both types of uncertainty are controlled separately. Moreover, as a demonstration for real-world scenarios, we evaluate our approach on the benchmark dataset Horizon Lines in the Wild. On this benchmark, using the hinge-Wasserstein loss reduces the Area Under Sparsification Error (AUSE) for horizon parameters slope and offset, by 30.47% and 65.00%, respectively.

Gaussian Processes and the Kullback-Leibler divergence have been deeply studied in Statistics and Machine Learning. This paper marries these two concepts and introduce the local Kullback-Leibler divergence to learn about intervals where two Gaussian Processes differ the most. We address subtleties entailed in the estimation of local divergences and the corresponding interval of local maximum divergence as well. The estimation performance and the numerical efficiency of the proposed method are showcased via a Monte Carlo simulation study. In a medical research context, we assess the potential of the devised tools in the analysis of electrocardiogram signals.

In this work, we propose a numerical method to compute the Wasserstein Hamiltonian flow (WHF), which is a Hamiltonian system on the probability density manifold. Many well-known PDE systems can be reformulated as WHFs. We use parameterized function as push-forward map to characterize the solution of WHF, and convert the PDE to a finite-dimensional ODE system, which is a Hamiltonian system in the phase space of the parameter manifold. We establish error analysis results for the continuous time approximation scheme in Wasserstein metric. For the numerical implementation, we use neural networks as push-forward maps. We apply an effective symplectic scheme to solve the derived Hamiltonian ODE system so that the method preserves some important quantities such as total energy. The computation is done by fully deterministic symplectic integrator without any neural network training. Thus, our method does not involve direct optimization over network parameters and hence can avoid the error introduced by stochastic gradient descent (SGD) methods, which is usually hard to quantify and measure. The proposed algorithm is a sampling-based approach that scales well to higher dimensional problems. In addition, the method also provides an alternative connection between the Lagrangian and Eulerian perspectives of the original WHF through the parameterized ODE dynamics.

Model averaging is a useful and robust method for dealing with model uncertainty in statistical analysis. Often, it is useful to consider data subset selection at the same time, in which model selection criteria are used to compare models across different subsets of the data. Two different criteria have been proposed in the literature for how the data subsets should be weighted. We compare the two criteria closely in a unified treatment based on the Kullback-Leibler divergence, and conclude that one of them is subtly flawed and will tend to yield larger uncertainties due to loss of information. Analytical and numerical examples are provided.

The conjoining of dynamical systems and deep learning has become a topic of great interest. In particular, neural differential equations (NDEs) demonstrate that neural networks and differential equation are two sides of the same coin. Traditional parameterised differential equations are a special case. Many popular neural network architectures, such as residual networks and recurrent networks, are discretisations. NDEs are suitable for tackling generative problems, dynamical systems, and time series (particularly in physics, finance, ...) and are thus of interest to both modern machine learning and traditional mathematical modelling. NDEs offer high-capacity function approximation, strong priors on model space, the ability to handle irregular data, memory efficiency, and a wealth of available theory on both sides. This doctoral thesis provides an in-depth survey of the field. Topics include: neural ordinary differential equations (e.g. for hybrid neural/mechanistic modelling of physical systems); neural controlled differential equations (e.g. for learning functions of irregular time series); and neural stochastic differential equations (e.g. to produce generative models capable of representing complex stochastic dynamics, or sampling from complex high-dimensional distributions). Further topics include: numerical methods for NDEs (e.g. reversible differential equations solvers, backpropagation through differential equations, Brownian reconstruction); symbolic regression for dynamical systems (e.g. via regularised evolution); and deep implicit models (e.g. deep equilibrium models, differentiable optimisation). We anticipate this thesis will be of interest to anyone interested in the marriage of deep learning with dynamical systems, and hope it will provide a useful reference for the current state of the art.

Multi-object tracking (MOT) is a crucial component of situational awareness in military defense applications. With the growing use of unmanned aerial systems (UASs), MOT methods for aerial surveillance is in high demand. Application of MOT in UAS presents specific challenges such as moving sensor, changing zoom levels, dynamic background, illumination changes, obscurations and small objects. In this work, we present a robust object tracking architecture aimed to accommodate for the noise in real-time situations. We propose a kinematic prediction model, called Deep Extended Kalman Filter (DeepEKF), in which a sequence-to-sequence architecture is used to predict entity trajectories in latent space. DeepEKF utilizes a learned image embedding along with an attention mechanism trained to weight the importance of areas in an image to predict future states. For the visual scoring, we experiment with different similarity measures to calculate distance based on entity appearances, including a convolutional neural network (CNN) encoder, pre-trained using Siamese networks. In initial evaluation experiments, we show that our method, combining scoring structure of the kinematic and visual models within a MHT framework, has improved performance especially in edge cases where entity motion is unpredictable, or the data presents frames with significant gaps.

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