An effective strategy to exploit the supervising side information for discovering predictive topic representations is to impose discriminative constraints induced by such information on the posterior distributions under a topic model. This strategy has been adopted by a number of supervised topic models, such as MedLDA, which employs max-margin posterior constraints. However, unlike the likelihoodbased supervised topic models, of which posterior inference can be carried out using the Bayes' rule, the max-margin posterior constraints have made Monte Carlo methods infeasible or at least not directly applicable, thereby limited the choice of inference algorithms to be based on variational approximation with strict mean field assumptions. In this paper, we develop two efficient Monte Carlo methods under much weaker assumptions for max-margin supervised topic models based on an importance sampler and a collapsed Gibbs sampler, respectively, in a convex dual formulation. We report thorough experimental results that compare our approach favorably against existing alternatives in both accuracy and efficiency.

Hierarchical Hidden Markov Models (HHMMs) are sophisticated stochastic models that enable us to capture a hierarchical context characterization of sequence data.

Discrete mixtures are used routinely in broad sweeping applications ranging from unsupervised settings to fully supervised multi-task learning. Indeed, finite mixtures and infinite mixtures, relying on Dirichlet processes and modifications, have become a standard tool. One important issue that arises in using discrete mixtures is low separation in the components; in particular, different components can be introduced that are very similar and hence redundant. Such redundancy leads to too many clusters that are too similar, degrading performance in unsupervised learning and leading to computational problems and an unnecessarily complex model in supervised settings. Redundancy can arise in the absence of a penalty on components placed close together even when a Bayesian approach is used to learn the number of components. To solve this problem, we propose a novel prior that generates components from a repulsive process, automatically penalizing redundant components. We characterize this repulsive prior theoretically and propose a Markov chain Monte Carlo sampling algorithm for posterior computation. The methods are illustrated using synthetic examples and an iris data set.

We consider infinite-horizon stationary γ-discounted Markov Decision Processes, for which it is known that there exists a stationary optimal policy.

We present a new formulation for binary classification. Instead of relying on convex losses and regularizers such as in SVMs, logistic regression and boosting, or instead non-convex but continuous formulations such as those encountered in neural networks and deep belief networks, our framework entails a non-convex but discrete formulation, where estimation amounts to finding a MAP configuration in a graphical model whose potential functions are low-dimensional discrete surrogates for the misclassification loss. We argue that such a discrete formulation can naturally account for a number of issues that are typically encountered in either the convex or the continuous non-convex approaches, or both. By reducing the learning problem to a MAP inference problem, we can immediately translate the guarantees available for many inference settings to the learning problem itself. We empirically demonstrate in a number of experiments that this approach is promising in dealing with issues such as severe label noise, while still having global optimality guarantees.

We present a Bayesian nonparametric model for genetic sequence data in which a set of genetic sequences is modelled using a Markov model of partitions. The partitions at consecutive locations in the genome are related by the splitting and merging of their clusters. Our model can be thought of as a discrete analogue of the continuous fragmentation-coagulation process [Teh et al 2011], preserving the important properties of projectivity, exchangeability and reversibility, while being more scalable. We apply this model to the problem of genotype imputation, showing improved computational efficiency while maintaining accuracies comparable to other state-of-the-art genotype imputation methods.

Variational methods provide a computationally scalable alternative to Monte Carlo methods for large-scale, Bayesian nonparametric learning. In practice, however, conventional batch and online variational methods quickly become trapped in local optima. In this paper, we consider a nonparametric topic model based on the hierarchical Dirichlet process (HDP), and develop a novel online variational inference algorithm based on split-merge topic updates. We derive a simpler and faster variational approximation of the HDP, and show that by intelligently splitting and merging components of the variational posterior, we can achieve substantially better predictions of test data than conventional online and batch variational algorithms. For streaming analysis of large datasets where batch analysis is infeasible, we show that our split-merge updates better capture the nonparametric properties of the underlying model, allowing continual learning of new topics.

We propose a multiresolution Gaussian process to capture long-range, non-Markovian dependencies while allowing for abrupt changes and non-stationarity. The multiresolution GP hierarchically couples a collection of smooth GPs, each defined over an element of a random nested partition. Long-range dependencies are captured by the top-level GP while the partition points define the abrupt changes. Due to the inherent conjugacy of the GPs, one can analytically marginalize the GPs and compute the marginal likelihood of the observations given the partition tree. This property allows for efficient inference of the partition itself, for which we employ graph-theoretic techniques. We apply the multiresolution GP to the analysis of magnetoencephalography (MEG) recordings of brain activity.

In many large economic markets, goods are sold through sequential auctions. Examples include eBay, online ad auctions, wireless spectrum auctions, and the Dutch flower auctions. In this paper, we combine methods from game theory and decision theory to search for approximate equilibria in sequential auction domains, in which bidders do not know their opponents' values for goods, bidders only partially observe the actions of their opponents', and bidders demand multiple goods. We restrict attention to two-phased strategies: first predict (i.e., learn); second, optimize. We use best-reply dynamics [4] for prediction (i.e., to predict other bidders' strategies), and then assuming fixed other-bidder strategies, we estimate and solve the ensuing Markov decision processes (MDP) [18] for optimization. We exploit auction properties to represent the MDP in a more compact state space, and we use Monte Carlo simulation to make estimating the MDP tractable. We show how equilibria found using our search procedure compare to known equilibria for simpler auction domains, and we approximate an equilibrium for a more complex auction domain where analytical solutions are unknown.

We develop a Bayesian nonparametric extension of the popular Plackett-Luce choice model that can handle an infinite number of choice items. Our framework is based on the theory of random atomic measures, with the prior specified by a gamma process. We derive a posterior characterization and a simple and effective Gibbs sampler for posterior simulation. We develop a time-varying extension of our model, and apply it to the New York Times lists of weekly bestselling books.