Alexandros E. Tzikas

Liam A. Kruse, Alexandros E. Tzikas, Harrison Delecki et al. · stanford

Importance sampling is a rare event simulation technique used in Monte Carlo simulations to bias the sampling distribution towards the rare event of interest. By assigning appropriate weights to sampled points, importance sampling allows for more efficient estimation of rare events or tails of distributions. However, importance sampling can fail when the proposal distribution does not effectively cover the target distribution. In this work, we propose a method for more efficient sampling by updating the proposal distribution in the latent space of a normalizing flow. Normalizing flows learn an invertible mapping from a target distribution to a simpler latent distribution. The latent space can be more easily explored during the search for a proposal distribution, and samples from the proposal distribution are recovered in the space of the target distribution via the invertible mapping. We empirically validate our methodology on simulated robotics applications such as autonomous racing and aircraft ground collision avoidance.

Alexandros E. Tzikas, Licio Romao, Mert Pilanci et al. · stanford

Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may prevent gathering the entire dataset in a central unit. In this paper, we propose a distributed sampling scheme based on the alternating direction method of multipliers, which is commonly used in the optimization literature due to its fast convergence. In contrast to distributed optimization, distributed sampling allows for uncertainty quantification in Bayesian inference tasks. We provide both theoretical guarantees of our algorithm's convergence and experimental evidence of its superiority to the state-of-the-art. For our theoretical results, we use convex optimization tools to establish a fundamental inequality on the generated local sample iterates. This inequality enables us to show convergence of the distribution associated with these iterates to the underlying target distribution in Wasserstein distance. In simulation, we deploy our algorithm on linear and logistic regression tasks and illustrate its fast convergence compared to existing gradient-based methods.

Alexandros E. Tzikas, Mykel J. Kochenderfer · stanford

We tackle the problem of system identification, where we select inputs, observe the corresponding outputs from the true system, and optimize the parameters of our model to best fit the data. We propose a practical and computationally tractable methodology that is compatible with any system and parametric family of models. Our approach only requires input-output data from the system and first-order information of the model with respect to the parameters. Our approach consists of two modules. First, we formulate the problem of system identification from a Bayesian perspective and use a linear Gaussian model approximation to iteratively optimize the model's parameters. In each iteration, we propose to use the input-output data to tune the covariance of the linear Gaussian model. This online covariance calibration stabilizes fitting and signals model inaccuracy. Secondly, we define a Gaussian-based uncertainty measure for the model parameters, which we can then minimize with respect to the next selected input. We test our method with linear and nonlinear dynamics.