arXiv Machine Learning By Chlo\'e Hashimoto-Cullen, Ghislain Agoua, Benjamin Guedj, Sylvain Le Corff

PAC-Bayesian Reconstruction Guarantees for Time Series Variational Autoencoders

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The paper presents PAC‑Bayesian reconstruction guarantees for Variational Autoencoders applied to time‑series data. It extends existing bounds, which were limited to i.i.d. settings, to Markovian latent structures, allowing temporal dependencies to be captured without the bounds growing with trajectory length. The authors also provide an example framework showing that the required assumptions are not overly restrictive.

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arXiv Machine Learning
Aug 31

Prequential posteriors

The paper introduces prequential posteriors, a Bayesian approach that uses a predictive‑sequential loss function to update deep generative forecasting models (DGFMs) when new data arrive. By adopting a consistency notion suitable for model misspecification, the authors prove that both the loss minimizer and the posterior concentrate on parameters with optimal predictive performance. Scalable inference is achieved with parallelisable waste‑free sequential Monte Carlo samplers that employ preconditioned gradient kernels, and the method is validated on synthetic and real meteorological time‑series data.

By Shreya Sinha-Roy, Richard G. Everitt, Christian P. Robert, Ritabrata Dutta