Abstract: The existence of a transport map from the standard Gaussian leads to succinct​representations for, potentially complicated, measures.​ Inspired by result from optimal transport, we introduce the Brownian transport map that pushes forward the Wiener measure to a target measure in a finite-dimensional Euclidean space. Using tools from Ito's and Malliavin's calculus, we show that the map is Lipschitz…

Abstract:   In this talk, we are going to discuss a new polynomial-time algorithmic framework for inference problems, based on the celebrated Lenstra-Lenstra-Lovasz lattice basis reduction algorithm. Potentially surprisingly, this algorithmic framework is able to successfully bypass multiple suggested notions of “computational hardness for inference” for various noiseless settings. Such settings include 1) sparse regression,…

Abstract:   The prediction accuracy of machine learning methods is steadily increasing, but the calibration of their uncertainty predictions poses a significant challenge. Numerous works focus on obtaining well-calibrated predictive models, but less is known about reliably assessing model calibration. This limits our ability to know when algorithms for improving calibration have a real effect,…