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When evaluating and comparing models using leave-one-out cross-validation (LOO-CV), the uncertainty of the estimate is typically assessed using the variance of the sampling distribution. Considering the uncertainty is important, as the variability of the estimate can be high in some cases. An important result by Bengio and Grandvalet (2004) states that no general unbiased variance estimator can be constructed, that would apply for any utility or loss measure and any model. We show that it is possible to construct an unbiased estimator considering a specific predictive performance measure and model. We demonstrate an unbiased sampling distribution variance estimator for the Bayesian normal model with fixed model variance using the expected log pointwise predictive density (elpd) utility score. This example demonstrates that it is possible to obtain improved, problem-specific, unbiased estimators for assessing the uncertainty in LOO-CV estimation.

Federated learning (FL) that enables distributed clients to collaboratively learn a shared statistical model while keeping their training data locally has received great attention recently and can improve privacy and communication efficiency in comparison with traditional centralized machine learning paradigm. However, sensitive information about the training data can still be inferred from model updates shared in FL. Differential privacy (DP) is the state-of-the-art technique to defend against those attacks. The key challenge to achieve DP in FL lies in the adverse impact of DP noise on model accuracy, particularly for deep learning models with large numbers of model parameters. This paper develops a novel differentially-private FL scheme named Fed-SMP that provides client-level DP guarantee while maintaining high model accuracy. To mitigate the impact of privacy protection on model accuracy, Fed-SMP leverages a new technique called Sparsified Model Perturbation (SMP), where local models are sparsified first before being perturbed with additive Gaussian noise. Two sparsification strategies are considered in Fed-SMP: random sparsification and top-$k$ sparsification. We also apply R{\'e}nyi differential privacy to providing a tight analysis for the end-to-end DP guarantee of Fed-SMP and prove the convergence of Fed-SMP with general loss functions. Extensive experiments on real-world datasets are conducted to demonstrate the effectiveness of Fed-SMP in largely improving model accuracy with the same level of DP guarantee and saving communication cost simultaneously.

Replication analysis is widely used in many fields of study. Once a research is published, many other researchers will conduct the same or very similar analysis to confirm the reliability of the published research. However, what if the data is confidential? In particular, if the data sets used for the studies are confidential, we cannot release the results of replication analyses to any entity without the permission to access the data sets, otherwise it may result in serious privacy leakage especially when the published study and replication studies are using similar or common data sets. For example, examining the influence of the treatment on outliers can cause serious leakage of the information about outliers. In this paper, we build two frameworks for replication analysis by a differentially private Bayesian approach. We formalize our questions of interest and illustrates the properties of our methods by a combination of theoretical analysis and simulation to show the feasibility of our approach. We also provide some guidance on the choice of parameters and interpretation of the results.

In recent years, large-scale Bayesian learning draws a great deal of attention. However, in big-data era, the amount of data we face is growing much faster than our ability to deal with it. Fortunately, it is observed that large-scale datasets usually own rich internal structure and is somewhat redundant. In this paper, we attempt to simplify the Bayesian posterior via exploiting this structure. Specifically, we restrict our interest to the so-called well-clustered datasets and construct an \emph{approximate posterior} according to the clustering information. Fortunately, the clustering structure can be efficiently obtained via a particular clustering algorithm. When constructing the approximate posterior, the data points in the same cluster are all replaced by the centroid of the cluster. As a result, the posterior can be significantly simplified. Theoretically, we show that under certain conditions the approximate posterior we construct is close (measured by KL divergence) to the exact posterior. Furthermore, thorough experiments are conducted to validate the fact that the constructed posterior is a good approximation to the true posterior and much easier to sample from.

Within the framework of parameter dependent PDEs, we develop a constructive approach based on Deep Neural Networks for the efficient approximation of the parameter-to-solution map. The research is motivated by the limitations and drawbacks of state-of-the-art algorithms, such as the Reduced Basis method, when addressing problems that show a slow decay in the Kolmogorov n-width. Our work is based on the use of deep autoencoders, which we employ for encoding and decoding a high fidelity approximation of the solution manifold. To provide guidelines for the design of deep autoencoders, we consider a nonlinear version of the Kolmogorov n-width over which we base the concept of a minimal latent dimension. We show that the latter is intimately related to the topological properties of the solution manifold, and we provide theoretical results with particular emphasis on second order elliptic PDEs, characterizing the minimal dimension and the approximation errors of the proposed approach. The theory presented is further supported by numerical experiments, where we compare the proposed approach with classical POD-Galerkin reduced order models. In particular, we consider parametrized advection-diffusion PDEs, and we test the methodology in the presence of strong transport fields, singular terms and stochastic coefficients.

In this paper, a general framework is formalised to characterise the value of information (VoI) in hidden Markov models. Specifically, the VoI is defined as the mutual information between the current, unobserved status at the source and a sequence of observed measurements at the receiver, which can be interpreted as the reduction in the uncertainty of the current status given that we have noisy past observations of a hidden Markov process. We explore the VoI in the context of the noisy Ornstein-Uhlenbeck process and derive its closed-form expressions. Moreover, we investigate the effect of different sampling policies on VoI, deriving simplified expressions in different noise regimes and analysing statistical properties of the VoI in the worst case. We also study the optimal sampling policy to maximise the average information value under the sampling rate constraint. In simulations, the validity of theoretical results is verified, and the performance of VoI in Markov and hidden Markov models is also analysed. Numerical results further illustrate that the proposed VoI framework can support timely transmission in status update systems, and it can also capture the correlation properties of the underlying random process and the noise in the transmission environment.

Gaussian Graphical Models (GGMs) are widely used for exploratory data analysis in various fields such as genomics, ecology, psychometry. In a high-dimensional setting, when the number of variables exceeds the number of observations by several orders of magnitude, the estimation of GGM is a difficult and unstable optimization problem. Clustering of variables or variable selection is often performed prior to GGM estimation. We propose a new method allowing to simultaneously infer a hierarchical clustering structure and the graphs describing the structure of independence at each level of the hierarchy. This method is based on solving a convex optimization problem combining a graphical lasso penalty with a fused type lasso penalty. Results on real and synthetic data are presented.

Partially linear additive models generalize linear ones since they model the relation between a response variable and covariates by assuming that some covariates have a linear relation with the response but each of the others enter through unknown univariate smooth functions. The harmful effect of outliers either in the residuals or in the covariates involved in the linear component has been described in the situation of partially linear models, that is, when only one nonparametric component is involved in the model. When dealing with additive components, the problem of providing reliable estimators when atypical data arise, is of practical importance motivating the need of robust procedures. Hence, we propose a family of robust estimators for partially linear additive models by combining $B-$splines with robust linear regression estimators. We obtain consistency results, rates of convergence and asymptotic normality for the linear components, under mild assumptions. A Monte Carlo study is carried out to compare the performance of the robust proposal with its classical counterpart under different models and contamination schemes. The numerical experiments show the advantage of the proposed methodology for finite samples. We also illustrate the usefulness of the proposed approach on a real data set.

Stochastic gradient Markov chain Monte Carlo (SGMCMC) has become a popular method for scalable Bayesian inference. These methods are based on sampling a discrete-time approximation to a continuous time process, such as the Langevin diffusion. When applied to distributions defined on a constrained space, such as the simplex, the time-discretisation error can dominate when we are near the boundary of the space. We demonstrate that while current SGMCMC methods for the simplex perform well in certain cases, they struggle with sparse simplex spaces; when many of the components are close to zero. However, most popular large-scale applications of Bayesian inference on simplex spaces, such as network or topic models, are sparse. We argue that this poor performance is due to the biases of SGMCMC caused by the discretization error. To get around this, we propose the stochastic CIR process, which removes all discretization error and we prove that samples from the stochastic CIR process are asymptotically unbiased. Use of the stochastic CIR process within a SGMCMC algorithm is shown to give substantially better performance for a topic model and a Dirichlet process mixture model than existing SGMCMC approaches.

This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as positive-semidefiniteness, and they can produce approximations with a user-specified rank. The algorithms are simple, accurate, numerically stable, and provably correct. Moreover, each method is accompanied by an informative error bound that allows users to select parameters a priori to achieve a given approximation quality. These claims are supported by numerical experiments with real and synthetic data.