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Mathematical Methods Of Statistics

Uncertainty quantification (UQ) plays a pivotal role in reduction of uncertainties during both optimization and decision making processes. It can be applied to solve a variety of real-world applications in science and engineering. Bayesian approximation and ensemble learning techniques are two most widely-used UQ methods in the literature. In this regard, researchers have proposed different UQ methods and examined their performance in a variety of applications such as computer vision (e.g., self-driving cars and object detection), image processing (e.g., image restoration), medical image analysis (e.g., medical image classification and segmentation), natural language processing (e.g., text classification, social media texts and recidivism risk-scoring), bioinformatics, etc. This study reviews recent advances in UQ methods used in deep learning. Moreover, we also investigate the application of these methods in reinforcement learning (RL). Then, we outline a few important applications of UQ methods. Finally, we briefly highlight the fundamental research challenges faced by UQ methods and discuss the future research directions in this field.

A Review of Uncertainty Quantification in Deep Learning: Techniques, Applications and Challenges

: Scientific learning is an iterative process employing Criticism and Estimation. Correspondingly the formulated model factors into two complimentary parts - a predictive part allowing model criticism, and a Bayes posterior part allowing estimation. Implications for significance tests, the theory of precise measurement, and for ridge estimates are considered. Predictive checking functions for transformation, serial correlation, bad values, and their relation with Bayesian options are considered. Robustness is seen from a Bayesian viewpoint and examples are given. For the bad value problem a comparison with M estimators is made. (Author)

Sampling and Bayes' inference in scientific modelling and robustness

Being able to replicate scientific findings is crucial for scientific progress. We replicate 21 systematically selected experimental studies in the social sciences published in Nature and Science between 2010 and 2015. The replications follow analysis plans reviewed by the original authors and pre-registered prior to the replications. The replications are high powered, with sample sizes on average about five times higher than in the original studies. We find a significant effect in the same direction as the original study for 13 (62%) studies, and the effect size of the replications is on average about 50% of the original effect size. Replicability varies between 12 (57%) and 14 (67%) studies for complementary replicability indicators. Consistent with these results, the estimated true-positive rate is 67% in a Bayesian analysis. The relative effect size of true positives is estimated to be 71%, suggesting that both false positives and inflated effect sizes of true positives contribute to imperfect reproducibility. Furthermore, we find that peer beliefs of replicability are strongly related to replicability, suggesting that the research community could predict which results would replicate and that failures to replicate were not the result of chance alone.

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Evaluating the replicability of social science experiments in Nature and Science between 2010 and 2015

In psychology, attempts to replicate published findings are less successful than expected. For properly powered studies replication rate should be around 80%, whereas in practice less than 40% of the studies selected from different areas of psychology can be replicated. Researchers in cognitive psychology are hindered in estimating the power of their studies, because the designs they use present a sample of stimulus materials to a sample of participants, a situation not covered by most power formulas. To remedy the situation, we review the literature related to the topic and introduce recent software packages, which we apply to the data of two masked priming studies with high power. We checked how we could estimate the power of each study and how much they could be reduced to remain powerful enough. On the basis of this analysis, we recommend that a properly powered reaction time experiment with repeated measures has at least 1,600 word observations per condition (e.g., 40 participants, 40 stimuli). This is considerably more than current practice. We also show that researchers must include the number of observations in meta-analyses because the effect sizes currently reported depend on the number of stimuli presented to the participants. Our analyses can easily be applied to new datasets gathered.

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Power Analysis and Effect Size in Mixed Effects Models: A Tutorial

Main article included invited and contributed discussions: https://dx.doi.org/10.1214/17-BA1091 (Bayesian Analysis 13:3 (2018), pages 917-1007).

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Discussion of "Using Stacking to Average Bayesian Predictive Distributions" by Yao et. al

The widely recommended procedure of Bayesian model averaging is flawed in the M-open setting in which the true data-generating process is not one of the candidate models being fit. We take the idea of stacking from the point estimation literature and generalize to the combination of predictive distributions, extending the utility function to any proper scoring rule, using Pareto smoothed importance sampling to efficiently compute the required leave-one-out posterior distributions and regularization to get more stability. We compare stacking of predictive distributions to several alternatives: stacking of means, Bayesian model averaging (BMA), pseudo-BMA using AIC-type weighting, and a variant of pseudo-BMA that is stabilized using the Bayesian bootstrap. Based on simulations and real-data applications, we recommend stacking of predictive distributions, with BB-pseudo-BMA as an approximate alternative when computation cost is an issue.

Using stacking to average Bayesian predictive distributions

Efficient Leave-One-Out Cross-Validation and WAIC for Bayesian Models [R package loo version 2.4.1]

The Bayesian approach to data analysis provides a powerful way to handle uncertainty in all observations, model parameters, and model structure using probability theory. Probabilistic programming languages make it easier to specify and fit Bayesian models, but this still leaves us with many options regarding constructing, evaluating, and using these models, along with many remaining challenges in computation. Using Bayesian inference to solve real-world problems requires not only statistical skills, subject matter knowledge, and programming, but also awareness of the decisions made in the process of data analysis. All of these aspects can be understood as part of a tangled workflow of applied Bayesian statistics. Beyond inference, the workflow also includes iterative model building, model checking, validation and troubleshooting of computational problems, model understanding, and model comparison. We review all these aspects of workflow in the context of several examples, keeping in mind that in practice we will be fitting many models for any given problem, even if only a subset of them will ultimately be relevant for our conclusions.

Bayesian Workflow.

While it's always possible to compute a variational approximation to a posterior distribution, it can be difficult to discover problems with this approximation. We propose two diagnostic algorithms to alleviate this problem. The Pareto-smoothed importance sampling (PSIS) diagnostic gives a goodness of fit measurement for joint distributions, while simultaneously improving the error in the estimate. The variational simulation-based calibration (VSBC) assesses the average performance of point estimates.

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Yuling Yao

Papers

Discussion of "Using Stacking to Average Bayesian Predictive Distributions" by Yao et. al

Using stacking to average Bayesian predictive distributions

Efficient Leave-One-Out Cross-Validation and WAIC for Bayesian Models [R package loo version 2.4.1]

Bayesian Workflow.

Yes, but did it work?: Evaluating variational inference