Ann B. Lee

Biprateep Dey, David Zhao, Brett H. Andrews et al.

Key science questions, such as galaxy distance estimation and weather forecasting, often require knowing the full predictive distribution of a target variable $y$ given complex inputs $\mathbf{x}$. Despite recent advances in machine learning and physics-based models, it remains challenging to assess whether an initial model is calibrated for all $\mathbf{x}$, and when needed, to reshape the densities of $y$ toward "instance-wise" calibration. This paper introduces the LADaR (Local Amortized Diagnostics and Reshaping of Conditional Densities) framework and proposes a new computationally efficient algorithm ($\texttt{Cal-PIT}$) that produces interpretable local diagnostics and provides a mechanism for adjusting conditional density estimates (CDEs). $\texttt{Cal-PIT}$ learns a single interpretable local probability--probability map from calibration data that identifies where and how the initial model is miscalibrated across feature space, which can be used to morph CDEs such that they are well-calibrated. We illustrate the LADaR framework on synthetic examples, including probabilistic forecasting from image sequences, akin to predicting storm wind speed from satellite imagery. Our main science application involves estimating the probability density functions of galaxy distances given photometric data, where $\texttt{Cal-PIT}$ achieves better instance-wise calibration than all 11 other literature methods in a benchmark data challenge, demonstrating its utility for next-generation cosmological analyses.

Niccolò Dalmasso, Luca Masserano, David Zhao et al.

Many areas of science rely on simulators that implicitly encode intractable likelihood functions of complex systems. Classical statistical methods are poorly suited for these so-called likelihood-free inference (LFI) settings, especially outside asymptotic and low-dimensional regimes. At the same time, popular LFI methods - such as Approximate Bayesian Computation or more recent machine learning techniques - do not necessarily lead to valid scientific inference because they do not guarantee confidence sets with nominal coverage in general settings. In addition, LFI currently lacks practical diagnostic tools to check the actual coverage of computed confidence sets across the entire parameter space. In this work, we propose a modular inference framework that bridges classical statistics and modern machine learning to provide (i) a practical approach for constructing confidence sets with near finite-sample validity at any value of the unknown parameters, and (ii) interpretable diagnostics for estimating empirical coverage across the entire parameter space. We refer to this framework as likelihood-free frequentist inference (LF2I). Any method that defines a test statistic can leverage LF2I to create valid confidence sets and diagnostics without costly Monte Carlo or bootstrap samples at fixed parameter settings. We study two likelihood-based test statistics (ACORE and BFF) and demonstrate their performance on high-dimensional complex data. Code is available at https://github.com/lee-group-cmu/lf2i.

Niccolò Dalmasso, Rafael Izbicki, Ann B. Lee

Parameter estimation, statistical tests and confidence sets are the cornerstones of classical statistics that allow scientists to make inferences about the underlying process that generated the observed data. A key question is whether one can still construct hypothesis tests and confidence sets with proper coverage and high power in a so-called likelihood-free inference (LFI) setting; that is, a setting where the likelihood is not explicitly known but one can forward-simulate observable data according to a stochastic model. In this paper, we present $\texttt{ACORE}$ (Approximate Computation via Odds Ratio Estimation), a frequentist approach to LFI that first formulates the classical likelihood ratio test (LRT) as a parametrized classification problem, and then uses the equivalence of tests and confidence sets to build confidence regions for parameters of interest. We also present a goodness-of-fit procedure for checking whether the constructed tests and confidence regions are valid. $\texttt{ACORE}$ is based on the key observation that the LRT statistic, the rejection probability of the test, and the coverage of the confidence set are conditional distribution functions which often vary smoothly as a function of the parameters of interest. Hence, instead of relying solely on samples simulated at fixed parameter settings (as is the convention in standard Monte Carlo solutions), one can leverage machine learning tools and data simulated in the neighborhood of a parameter to improve estimates of quantities of interest. We demonstrate the efficacy of $\texttt{ACORE}$ with both theoretical and empirical results. Our implementation is available on Github.

Taylor Pospisil, Ann B. Lee

Random forests is a common non-parametric regression technique which performs well for mixed-type data and irrelevant covariates, while being robust to monotonic variable transformations. Existing random forest implementations target regression or classification. We introduce the RFCDE package for fitting random forest models optimized for nonparametric conditional density estimation, including joint densities for multiple responses. This enables analysis of conditional probability distributions which is useful for propagating uncertainty and of joint distributions that describe relationships between multiple responses and covariates. RFCDE is released under the MIT open-source license and can be accessed at https://github.com/tpospisi/rfcde . Both R and Python versions, which call a common C++ library, are available.

Elizabeth Cucuzzella, Tria McNeely, Kimberly Wood et al.

Accurate tropical cyclone (TC) short-term intensity forecasting with a 24-hour lead time is essential for disaster mitigation in the Atlantic TC basin. Since most TCs evolve far from land-based observing networks, satellite imagery is critical to monitoring these storms; however, these complex and high-resolution spatial structures can be challenging to qualitatively interpret in real time by forecasters. Here we propose a concise, interpretable, and descriptive approach to quantify fine TC structures with a multi-resolution analysis (MRA) by the discrete wavelet transform, enabling data analysts to identify physically meaningful structural features that strongly correlate with rapid intensity change. Furthermore, deep-learning techniques can build on this MRA for short-term intensity guidance.

Luca Masserano, Alex Shen, Michele Doro et al.

An open scientific challenge is how to classify events with reliable measures of uncertainty, when we have a mechanistic model of the data-generating process but the distribution over both labels and latent nuisance parameters is different between train and target data. We refer to this type of distributional shift as generalized label shift (GLS). Direct classification using observed data $\mathbf{X}$ as covariates leads to biased predictions and invalid uncertainty estimates of labels $Y$. We overcome these biases by proposing a new method for robust uncertainty quantification that casts classification as a hypothesis testing problem under nuisance parameters. The key idea is to estimate the classifier's receiver operating characteristic (ROC) across the entire nuisance parameter space, which allows us to devise cutoffs that are invariant under GLS. Our method effectively endows a pre-trained classifier with domain adaptation capabilities and returns valid prediction sets while maintaining high power. We demonstrate its performance on two challenging scientific problems in biology and astroparticle physics with data from realistic mechanistic models.

Trey McNeely, Galen Vincent, Kimberly M. Wood et al.

Our goal is to quantify whether, and if so how, spatio-temporal patterns in tropical cyclone (TC) satellite imagery signal an upcoming rapid intensity change event. To address this question, we propose a new nonparametric test of association between a time series of images and a series of binary event labels. We ask whether there is a difference in distribution between (dependent but identically distributed) 24-h sequences of images preceding an event versus a non-event. By rewriting the statistical test as a regression problem, we leverage neural networks to infer modes of structural evolution of TC convection that are representative of the lead-up to rapid intensity change events. Dependencies between nearby sequences are handled by a bootstrap procedure that estimates the marginal distribution of the label series. We prove that type I error control is guaranteed as long as the distribution of the label series is well-estimated, which is made easier by the extensive historical data for binary TC event labels. We show empirical evidence that our proposed method identifies archetypes of infrared imagery associated with elevated rapid intensification risk, typically marked by deep or deepening core convection over time. Such results provide a foundation for improved forecasts of rapid intensification.

Biprateep Dey, Jeffrey A. Newman, Brett H. Andrews et al.

Many astrophysical analyses depend on estimates of redshifts (a proxy for distance) determined from photometric (i.e., imaging) data alone. Inaccurate estimates of photometric redshift uncertainties can result in large systematic errors. However, probability distribution outputs from many photometric redshift methods do not follow the frequentist definition of a Probability Density Function (PDF) for redshift -- i.e., the fraction of times the true redshift falls between two limits $z_{1}$ and $z_{2}$ should be equal to the integral of the PDF between these limits. Previous works have used the global distribution of Probability Integral Transform (PIT) values to re-calibrate PDFs, but offsetting inaccuracies in different regions of feature space can conspire to limit the efficacy of the method. We leverage a recently developed regression technique that characterizes the local PIT distribution at any location in feature space to perform a local re-calibration of photometric redshift PDFs. Though we focus on an example from astrophysics, our method can produce PDFs which are calibrated at all locations in feature space for any use case.

Trey McNeely, Galen Vincent, Rafael Izbicki et al.

Tropical cyclone (TC) intensity forecasts are issued by human forecasters who evaluate spatio-temporal observations (e.g., satellite imagery) and model output (e.g., numerical weather prediction, statistical models) to produce forecasts every 6 hours. Within these time constraints, it can be challenging to draw insight from such data. While high-capacity machine learning methods are well suited for prediction problems with complex sequence data, extracting interpretable scientific information with such methods is difficult. Here we leverage powerful AI prediction algorithms and classical statistical inference to identify patterns in the evolution of TC convective structure leading up to the rapid intensification of a storm, hence providing forecasters and scientists with key insight into TC behavior.

Lorenzo Tomaselli, Coty Jen, Ann B. Lee

Prescribed burns are currently the most effective method of reducing the risk of widespread wildfires, but a largely missing component in forest management is knowing which fuels one can safely burn to minimize exposure to toxic smoke. Here we show how machine learning, such as spectral clustering and manifold learning, can provide interpretable representations and powerful tools for differentiating between smoke types, hence providing forest managers with vital information on effective strategies to reduce climate-induced wildfires while minimizing production of harmful smoke.

Niccolò Dalmasso, Galen Vincent, Dorit Hammerling et al.

Climate models play a crucial role in understanding the effect of environmental and man-made changes on climate to help mitigate climate risks and inform governmental decisions. Large global climate models such as the Community Earth System Model (CESM), developed by the National Center for Atmospheric Research, are very complex with millions of lines of code describing interactions of the atmosphere, land, oceans, and ice, among other components. As development of the CESM is constantly ongoing, simulation outputs need to be continuously controlled for quality. To be able to distinguish a "climate-changing" modification of the code base from a true climate-changing physical process or intervention, there needs to be a principled way of assessing statistical reproducibility that can handle both spatial and temporal high-dimensional simulation outputs. Our proposed work uses probabilistic classifiers like tree-based algorithms and deep neural networks to perform a statistically rigorous goodness-of-fit test of high-dimensional spatio-temporal data.

Trey McNeely, Niccolò Dalmasso, Kimberly M. Wood et al.

Tropical cyclone (TC) intensity forecasts are ultimately issued by human forecasters. The human in-the-loop pipeline requires that any forecasting guidance must be easily digestible by TC experts if it is to be adopted at operational centers like the National Hurricane Center. Our proposed framework leverages deep learning to provide forecasters with something neither end-to-end prediction models nor traditional intensity guidance does: a powerful tool for monitoring high-dimensional time series of key physically relevant predictors and the means to understand how the predictors relate to one another and to short-term intensity changes.

Niccolò Dalmasso, Ann B. Lee, Rafael Izbicki et al.

Complex phenomena in engineering and the sciences are often modeled with computationally intensive feed-forward simulations for which a tractable analytic likelihood does not exist. In these cases, it is sometimes necessary to estimate an approximate likelihood or fit a fast emulator model for efficient statistical inference; such surrogate models include Gaussian synthetic likelihoods and more recently neural density estimators such as autoregressive models and normalizing flows. To date, however, there is no consistent way of quantifying the quality of such a fit. Here we propose a statistical framework that can distinguish any arbitrary misspecified model from the target likelihood, and that in addition can identify with statistical confidence the regions of parameter as well as feature space where the fit is inadequate. Our validation method applies to settings where simulations are extremely costly and generated in batches or "ensembles" at fixed locations in parameter space. At the heart of our approach is a two-sample test that quantifies the quality of the fit at fixed parameter values, and a global test that assesses goodness-of-fit across simulation parameters. While our general framework can incorporate any test statistic or distance metric, we specifically argue for a new two-sample test that can leverage any regression method to attain high power and provide diagnostics in complex data settings.

Rafael Izbicki, Ann B. Lee, Taylor Pospisil

Approximate Bayesian Computation (ABC) is typically used when the likelihood is either unavailable or intractable but where data can be simulated under different parameter settings using a forward model. Despite the recent interest in ABC, high-dimensional data and costly simulations still remain a bottleneck in some applications. There is also no consensus as to how to best assess the performance of such methods without knowing the true posterior. We show how a nonparametric conditional density estimation (CDE) framework, which we refer to as ABC-CDE, help address three nontrivial challenges in ABC: (i) how to efficiently estimate the posterior distribution with limited simulations and different types of data, (ii) how to tune and compare the performance of ABC and related methods in estimating the posterior itself, rather than just certain properties of the density, and (iii) how to efficiently choose among a large set of summary statistics based on a CDE surrogate loss. We provide theoretical and empirical evidence that justify ABC-CDE procedures that {\em directly} estimate and assess the posterior based on an initial ABC sample, and we describe settings where standard ABC and regression-based approaches are inadequate.

Rafael Izbicki, Ann B. Lee

There is a growing demand for nonparametric conditional density estimators (CDEs) in fields such as astronomy and economics. In astronomy, for example, one can dramatically improve estimates of the parameters that dictate the evolution of the Universe by working with full conditional densities instead of regression (i.e., conditional mean) estimates. More generally, standard regression falls short in any prediction problem where the distribution of the response is more complex with multi-modality, asymmetry or heteroscedastic noise. Nevertheless, much of the work on high-dimensional inference concerns regression and classification only, whereas research on density estimation has lagged behind. Here we propose FlexCode, a fully nonparametric approach to conditional density estimation that reformulates CDE as a non-parametric orthogonal series problem where the expansion coefficients are estimated by regression. By taking such an approach, one can efficiently estimate conditional densities and not just expectations in high dimensions by drawing upon the success in high-dimensional regression. Depending on the choice of regression procedure, our method can adapt to a variety of challenging high-dimensional settings with different structures in the data (e.g., a large number of irrelevant components and nonlinear manifold structure) as well as different data types (e.g., functional data, mixed data types and sample sets). We study the theoretical and empirical performance of our proposed method, and we compare our approach with traditional conditional density estimators on simulated as well as real-world data, such as photometric galaxy data, Twitter data, and line-of-sight velocities in a galaxy cluster.

Ann B. Lee, Rafael Izbicki

A key question in modern statistics is how to make fast and reliable inferences for complex, high-dimensional data. While there has been much interest in sparse techniques, current methods do not generalize well to data with nonlinear structure. In this work, we present an orthogonal series estimator for predictors that are complex aggregate objects, such as natural images, galaxy spectra, trajectories, and movies. Our series approach ties together ideas from kernel machine learning, and Fourier methods. We expand the unknown regression on the data in terms of the eigenfunctions of a kernel-based operator, and we take advantage of orthogonality of the basis with respect to the underlying data distribution, P, to speed up computations and tuning of parameters. If the kernel is appropriately chosen, then the eigenfunctions adapt to the intrinsic geometry and dimension of the data. We provide theoretical guarantees for a radial kernel with varying bandwidth, and we relate smoothness of the regression function with respect to P to sparsity in the eigenbasis. Finally, using simulated and real-world data, we systematically compare the performance of the spectral series approach with classical kernel smoothing, k-nearest neighbors regression, kernel ridge regression, and state-of-the-art manifold and local regression methods.