Shreya Sinha-Roy | Search arXiv

arXiv2026

Shrinkage prior for implicit generative models

Implicit generative models based on deep neural networks have revolutionized many scientific fields, from weather research to language generation. They successfully model complex random objects arising in real-world problems. In this work, we propose a sample-efficient training mechanism for these models. Our approach leverages regularized inference with shrinkage priors and generalized Bayes. In the large $p$ (parameter dimension) and small $n$ (sample size) setting, sparsity-inducing priors have been successfully used for linear regression when $p \gg n$. However, their application to implicit generative models remains challenging due to the intractability of the likelihood function. To address this, we adapt a scoring rule posterior based on a strictly proper scoring rule, following the generalized Bayes framework. We then propose a block SGMCMC within Gibbs sampling mechanism. This enables efficient exploration of high-dimensional parameter spaces by identifying a sparse representation of neural implicit generative models. We demonstrate the performance of our proposed method through experiments on $p \gg n$ linear regression and an application of neural generative models.

cs.LG↗

arXiv2026

Prequential posteriors

Data assimilation is a fundamental task in updating forecasting models upon observing new data, with applications ranging from weather prediction to online reinforcement learning. Deep generative forecasting models (DGFMs) have shown excellent performance in these areas, but assimilating data into such models is challenging due to their intractable likelihood functions. This limitation restricts the use of standard Bayesian data assimilation methodologies for DGFMs. To overcome this, we introduce prequential posteriors, based upon a predictive-sequential (prequential) loss function; an approach naturally suited for temporally dependent data which is the focus of forecasting tasks. Since the true data-generating process often lies outside the assumed model class, we adopt an alternative notion of consistency and prove that, under mild conditions, both the prequential loss minimizer and the prequential posterior concentrate around parameters with optimal predictive performance. For scalable inference, we employ easily parallelizable wastefree sequential Monte Carlo (SMC) samplers with preconditioned gradient-based kernels, enabling efficient exploration of high-dimensional parameter spaces such as those in DGFMs. We validate our method on both a synthetic multi-dimensional time series and a real-world meteorological dataset; highlighting its practical utility for data assimilation for complex dynamical systems.

stat.ML↗