We propose a novel class of algorithms for low rank matrix completion. Our approach builds on novel penalty functions on the singular values of the low rank matrix. By exploiting a mixture model representation of this penalty, we show that a suitably chosen set of latent variables enables to derive an Expectation-Maximization algorithm to obtain a Maximum A Posteriori estimate of the completed low rank matrix. The resulting algorithm is an iterative soft-thresholded algorithm which iteratively adapts the shrinkage coefficients associated to the singular values. The algorithm is simple to implement and can scale to large matrices. We provide numerical comparisons between our approach and recent alternatives showing the interest of the proposed approach for low rank matrix completion.

We consider the sensor selection problem on multivariate Gaussian distributions where only a \emph{subset} of latent variables is of inferential interest. For pairs of vertices connected by a unique path in the graph, we show that there exist decompositions of nonlocal mutual information into local information measures that can be computed efficiently from the output of message passing algorithms. We integrate these decompositions into a computationally efficient greedy selector where the computational expense of quantification can be distributed across nodes in the network. Experimental results demonstrate the comparative efficiency of our algorithms for sensor selection in high-dimensional distributions. We additionally derive an online-computable performance bound based on augmentations of the relevant latent variable set that, when such a valid augmentation exists, is applicable for \emph{any} distribution with nuisances.

Learning dynamic models from observed data has been a central issue in many scientific studies or engineering tasks. The usual setting is that data are collected sequentially from trajectories of some dynamical system operation. In quite a few modern scientific modeling tasks, however, it turns out that reliable sequential data are rather difficult to gather, whereas out-of-order snapshots are much easier to obtain. Examples include the modeling of galaxies, chronic diseases such Alzheimer's, or certain biological processes. Existing methods for learning dynamic model from non-sequence data are mostly based on Expectation-Maximization, which involves non-convex optimization and is thus hard to analyze. Inspired by recent advances in spectral learning methods, we propose to study this problem from a different perspective: moment matching and spectral decomposition. Under that framework, we identify reasonable assumptions on the generative process of non-sequence data, and propose learning algorithms based on the tensor decomposition method \cite{anandkumar2012tensor} to \textit{provably} recover first-order Markov models and hidden Markov models. To the best of our knowledge, this is the first formal guarantee on learning from non-sequence data. Preliminary simulation results confirm our theoretical findings.

With simultaneous measurements from ever increasing populations of neurons, there is a growing need for sophisticated tools to recover signals from individual neurons. In electrophysiology experiments, this classically proceeds in a two-step process: (i) threshold the waveforms to detect putative spikes and (ii) cluster the waveforms into single units (neurons). We extend previous Bayesian nonparamet- ric models of neural spiking to jointly detect and cluster neurons using a Gamma process model. Importantly, we develop an online approximate inference scheme enabling real-time analysis, with performance exceeding the previous state-of-the- art. Via exploratory data analysis—using data with partial ground truth as well as two novel data sets—we find several features of our model collectively contribute to our improved performance including: (i) accounting for colored noise, (ii) de- tecting overlapping spikes, (iii) tracking waveform dynamics, and (iv) using mul- tiple channels. We hope to enable novel experiments simultaneously measuring many thousands of neurons and possibly adapting stimuli dynamically to probe ever deeper into the mysteries of the brain.

Natural actor-critics are a popular class of policy search algorithms for finding locally optimal policies for Markov decision processes. In this paper we address a drawback of natural actor-critics that limits their real-world applicability - their lack of safety guarantees. We present a principled algorithm for performing natural gradient descent over a constrained domain. In the context of reinforcement learning, this allows for natural actor-critic algorithms that are guaranteed to remain within a known safe region of policy space. While deriving our class of constrained natural actor-critic algorithms, which we call Projected Natural Actor-Critics (PNACs), we also elucidate the relationship between natural gradient descent and mirror descent.

Kernel embedding of distributions has led to many recent advances in machine learning. However, latent and low rank structures prevalent in real world distributions have rarely been taken into account in this setting. Furthermore, no prior work in kernel embedding literature has addressed the issue of robust embedding when the latent and low rank information are misspecified. In this paper, we propose a hierarchical low rank decomposition of kernels embeddings which can exploit such low rank structures in data while being robust to model misspecification. We also illustrate with empirical evidence that the estimated low rank embeddings lead to improved performance in density estimation.

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning in nonlinear nonparametric state-space models. We place a Gaussian process prior over the transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. However, to enable efficient inference, we marginalize over the dynamics of the model and instead infer directly the joint smoothing distribution through the use of specially tailored Particle Markov Chain Monte Carlo samplers. Once an approximation of the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. We make use of sparse Gaussian process models to greatly reduce the computational complexity of the approach.

We show that either explicitly or implicitly, various well-known graph-based models exhibit a common significant \emph{harmonic} structure in its target function -- the value of a vertex is approximately the weighted average of the values of its adjacent neighbors. Understanding of such structure and analysis of the loss defined over such structure help reveal important properties of the target function over a graph. In this paper, we show that the variation of the target function across a cut can be upper and lower bounded by the ratio of its harmonic loss and the cut cost. We use this to develop an analytical tool and analyze 5 popular models in graph-based learning: absorbing random walks, partially absorbing random walks, hitting times, pseudo-inverse of graph Laplacian, and eigenvectors of the Laplacian matrices. Our analysis well explains several open questions of these models reported in the literature. Furthermore, it provides theoretical justifications and guidelines for their practical use. Simulations on synthetic and real datasets support our analysis.

In this paper we investigate the use of Langevin Monte Carlo methods on the probability simplex and propose a new method, Stochastic gradient Riemannian Langevin dynamics, which is simple to implement and can be applied to large scale data. We apply this method to latent Dirichlet allocation in an online minibatch setting,and demonstrate that it achieves substantial performance improvements overthe state of the art online variational Bayesian methods.

We describe a class of algorithms for amortized inference in Bayesian networks. In this setting, we invest computation upfront to support rapid online inference for a wide range of queries. Our approach is based on learning an inverse factorization of a model's joint distribution: a factorization that turns observations into root nodes. Our algorithms accumulate information to estimate the local conditional distributions that constitute such a factorization. These stochastic inverses can be used to invert each of the computation steps leading to an observation, sampling backwards in order to quickly find a likely explanation. We show that estimated inverses converge asymptotically in number of (prior or posterior) training samples. To make use of inverses before convergence, we describe the Inverse MCMC algorithm, which uses stochastic inverses to make block proposals for a Metropolis-Hastings sampler. We explore the efficiency of this sampler for a variety of parameter regimes and Bayes nets.