Parameter inference in ordinary differential equations is an important problem in many applied sciences and in engineering, especially in a data-scarce setting. In this work, we introduce a novel generative modeling approach based on constrained Gaussian processes and leverage it to build a computationally and data efficient algorithm for state and parameter inference. In an extensive set of experiments, our approach outperforms the current state of the art for parameter inference both in terms of accuracy and computational cost. It also shows promising results for the much more challenging problem of model selection.

Stochastic differential equations are an important modeling class in many disciplines. Consequently, there exist many methods relying on various discretization and numerical integration schemes. In this paper, we propose a novel, probabilistic model for estimating the drift and diffusion given noisy observations of the underlying stochastic system. Using state-of-the-art adversarial and moment matching inference techniques, we avoid the discretization schemes of classical approaches. This leads to significant improvements in parameter accuracy and robustness given random initial guesses. On four established benchmark systems, we compare the performance of our algorithms to state-of-the-art solutions based on extended Kalman filtering and Gaussian processes.

Recently there has been a significant interest in learning disentangled representations, as they promise increased interpretability, generalization to unseen scenarios and faster learning on downstream tasks. In this paper, we investigate the usefulness of different notions of disentanglement for improving the fairness of downstream prediction tasks based on representations. We consider the setting where the goal is to predict a target variable based on the learned representation of high-dimensional observations (such as images) that depend on both the target variable and an unobserved sensitive variable. We show that in this setting both the optimal and empirical predictions can be unfair, even if the target variable and the sensitive variable are independent. Analyzing the representations of more than 12600 trained state-of-the-art disentangled models, we observe that several disentanglement scores are consistently correlated with increased fairness, suggesting that disentanglement may be a useful property to encourage fairness when sensitive variables are not observed.

Gradient-based optimization and Markov Chain Monte Carlo sampling can be found at the heart of several machine learning methods. In high-dimensional settings, well-known issues such as slow-mixing, non-convexity and correlations can hinder the algorithms’ efficiency. In order to overcome these difficulties, we propose AdaGeo, a preconditioning framework for adaptively learning the geometry of the parameter space during optimization or sampling. In particular, we use the Gaussian process latent variable model (GP-LVM) to represent a lower-dimensional embedding of the parameters, identifying the underlying Riemannian manifold on which the optimization or sampling is taking place. Samples or optimization steps are consequently proposed based on the geometry of the manifold. We apply our framework to stochastic gradient descent, stochastic gradient Langevin dynamics, and stochastic gradient Riemannian Langevin dynamics, and show performance improvements for both optimization and sampling.