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AReS and MaRS - Adversarial and MMD-Minimizing Regression for SDEs
Gabriele Abbati · Philippe Wenk · Michael A Osborne · Andreas Krause · Bernhard Schölkopf · Stefan Bauer

Wed Jun 12 06:30 PM -- 09:00 PM (PDT) @ Pacific Ballroom #216

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.

Author Information

Gabriele Abbati (University of Oxford)
Philippe Wenk (ETH Zurich)
Michael A Osborne (U Oxford)
Andreas Krause (ETH Zurich)

Andreas Krause is a Professor of Computer Science at ETH Zurich, where he leads the Learning & Adaptive Systems Group. He also serves as Academic Co-Director of the Swiss Data Science Center. Before that he was an Assistant Professor of Computer Science at Caltech. He received his Ph.D. in Computer Science from Carnegie Mellon University (2008) and his Diplom in Computer Science and Mathematics from the Technical University of Munich, Germany (2004). He is a Microsoft Research Faculty Fellow and a Kavli Frontiers Fellow of the US National Academy of Sciences. He received ERC Starting Investigator and ERC Consolidator grants, the Deutscher Mustererkennungspreis, an NSF CAREER award, the Okawa Foundation Research Grant recognizing top young researchers in telecommunications as well as the ETH Golden Owl teaching award. His research on machine learning and adaptive systems has received awards at several premier conferences and journals, including the ACM SIGKDD Test of Time award 2019 and the ICML Test of Time award 2020. Andreas Krause served as Program Co-Chair for ICML 2018, and is regularly serving as Area Chair or Senior Program Committee member for ICML, NeurIPS, AAAI and IJCAI, and as Action Editor for the Journal of Machine Learning Research.

Bernhard Schölkopf (Max Planck Institute for Intelligent Systems)
Stefan Bauer (MPI for Intelligent Systems)

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