Uncertainty

Uncertainty Estimation in Deep Learning

Twitter @tarantulae 4. Uncertainty in Deep Learning - Christian S. Perone (2019) Uncertainties Bayesian Inference Deep Learning Variational Inference Ensembles Q&A Section I Uncertainties 5. Uncertainty in Deep Learning - Christian S. Perone (2019) Uncertainties Bayesian Inference Deep Learning Variational Inference Ensembles Q&A Knowing what you don't know It is correct, somebody might say, that (...) Socrates did not know anything; and it was indeed wisdom that they recognized their own lack of knowledge, (...).

Hands On Bayesian Statistics with Python, PyMC3 & ArviZ

It is obvious that there are significant differences between groups (i.e.

Birth of Error Functions in Artificial Neural Networks – ML-DAWN

In this talk we learn about what Artificial Neural Networks (ANNs) are, and find out how in general, Maximum Likelihood Estimations and Bayes' Rule help us develop our error functions in ANNs, namely, cross-entropy error function! We will derive the binary-cross entropy from scratch, step by step. Below you can see the video of this talk, however, the slides and some code is available. I would highly recommend you to follow the talk through these slides. The slides are available here! The link to the post regarding the Demo is available in here!

On The Radon--Nikodym Spectral Approach With Optimal Clustering

Problems of interpolation, classification, and clustering are considered. In the tenets of Radon--Nikodym approach $\langle f(\mathbf{x})\psi^2 \rangle / \langle\psi^2\rangle$, where the $\psi(\mathbf{x})$ is a linear function on input attributes, all the answers are obtained from a generalized eigenproblem $|f|\psi^{[i]}\rangle = \lambda^{[i]} |\psi^{[i]}\rangle$. The solution to the interpolation problem is a regular Radon-Nikodym derivative. The solution to the classification problem requires prior and posterior probabilities that are obtained using the Lebesgue quadrature[1] technique. Whereas in a Bayesian approach new observations change only outcome probabilities, in the Radon-Nikodym approach not only outcome probabilities but also the probability space $|\psi^{[i]}\rangle$ change with new observations. This is a remarkable feature of the approach: both the probabilities and the probability space are constructed from the data. The Lebesgue quadrature technique can be also applied to the optimal clustering problem. The problem is solved by constructing a Gaussian quadrature on the Lebesgue measure. A distinguishing feature of the Radon-Nikodym approach is the knowledge of the invariant group: all the answers are invariant relatively any non-degenerated linear transform of input vector $\mathbf{x}$ components. A software product implementing the algorithms of interpolation, classification, and optimal clustering is available from the authors.

The Broad Optimality of Profile Maximum Likelihood

We study three fundamental statistical-learning problems: distribution estimation, property estimation, and property testing. We establish the profile maximum likelihood (PML) estimator as the first unified sample-optimal approach to a wide range of learning tasks. In particular, for every alphabet size $k$ and desired accuracy $\varepsilon$: $\textbf{Distribution estimation}$ Under $\ell_1$ distance, PML yields optimal $\Theta(k/(\varepsilon^2\log k))$ sample complexity for sorted-distribution estimation, and a PML-based estimator empirically outperforms the Good-Turing estimator on the actual distribution; $\textbf{Additive property estimation}$ For a broad class of additive properties, the PML plug-in estimator uses just four times the sample size required by the best estimator to achieve roughly twice its error, with exponentially higher confidence; $\boldsymbol{\alpha}\textbf{-R\'enyi entropy estimation}$ For integer $\alpha>1$, the PML plug-in estimator has optimal $k^{1-1/\alpha}$ sample complexity; for non-integer $\alpha>3/4$, the PML plug-in estimator has sample complexity lower than the state of the art; $\textbf{Identity testing}$ In testing whether an unknown distribution is equal to or at least $\varepsilon$ far from a given distribution in $\ell_1$ distance, a PML-based tester achieves the optimal sample complexity up to logarithmic factors of $k$. With minor modifications, most of these results also hold for a near-linear-time computable variant of PML.

Bayesian inverse regression for supervised dimension reduction with small datasets

We consider supervised dimension reduction problems, namely to identify a low dimensional projection of the predictors $\-x$ which can retain the statistical relationship between $\-x$ and the response variable $y$. We follow the idea of the sliced inverse regression (SIR) class of methods, which is to use the statistical information of the conditional distribution $\pi(\-x|y)$ to identify the dimension reduction (DR) space and in particular we focus on the task of computing this conditional distribution. We propose a Bayesian framework to compute the conditional distribution where the likelihood function is obtained using the Gaussian process regression model. The conditional distribution $\pi(\-x|y)$ can then be obtained directly by assigning weights to the original data points. We then can perform DR by considering certain moment functions (e.g. the first moment) of the samples of the posterior distribution. With numerical examples, we demonstrate that the proposed method is especially effective for small data problems.

Differentiable probabilistic models of scientific imaging with the Fourier slice theorem

Scientific imaging techniques such as optical and electron microscopy and computed tomography (CT) scanning are used to study the 3D structure of an object through 2D observations. These observations are related to the original 3D object through orthogonal integral projections. For common 3D reconstruction algorithms, computational efficiency requires the modeling of the 3D structures to take place in Fourier space by applying the Fourier slice theorem. At present, it is unclear how to differentiate through the projection operator, and hence current learning algorithms can not rely on gradient based methods to optimize 3D structure models. In this paper we show how back-propagation through the projection operator in Fourier space can be achieved. We demonstrate the validity of the approach with experiments on 3D reconstruction of proteins. We further extend our approach to learning probabilistic models of 3D objects. This allows us to predict regions of low sampling rates or estimate noise. A higher sample efficiency can be reached by utilizing the learned uncertainties of the 3D structure as an unsupervised estimate of the model fit. Finally, we demonstrate how the reconstruction algorithm can be extended with an amortized inference scheme on unknown attributes such as object pose. Through empirical studies we show that joint inference of the 3D structure and the object pose becomes more difficult when the ground truth object contains more symmetries. Due to the presence of for instance (approximate) rotational symmetries, the pose estimation can easily get stuck in local optima, inhibiting a fine-grained high-quality estimate of the 3D structure.

Stochastic Runge-Kutta Accelerates Langevin Monte Carlo and Beyond

Sampling with Markov chain Monte Carlo methods typically amounts to discretizing some continuous-time dynamics with numerical integration. In this paper, we establish the convergence rate of sampling algorithms obtained by discretizing smooth It\^o diffusions exhibiting fast Wasserstein-$2$ contraction, based on local deviation properties of the integration scheme. In particular, we study a sampling algorithm constructed by discretizing the overdamped Langevin diffusion with the method of stochastic Runge-Kutta. For strongly convex potentials that are smooth up to a certain order, its iterates converge to the target distribution in $2$-Wasserstein distance in $\tilde{\mathcal{O}}(d\epsilon^{-2/3})$ iterations. This improves upon the best-known rate for strongly log-concave sampling based on the overdamped Langevin equation using only the gradient oracle without adjustment. In addition, we extend our analysis of stochastic Runge-Kutta methods to uniformly dissipative diffusions with possibly non-convex potentials and show they achieve better rates compared to the Euler-Maruyama scheme in terms of the dependence on tolerance $\epsilon$. Numerical studies show that these algorithms lead to better stability and lower asymptotic errors.

Introduction to Bayesian Modeling with PyMC3 - Dr. Juan Camilo Orduz

We can also see this visually. We can verify the convergence of the chains formally using the Gelman Rubin test. Values close to 1.0 mean convergence. We can also test for correlation between samples in the chains. We are aiming for zero auto-correlation to get "random" samples from the posterior distribution. From these plots we see that the auto-correlation is not problematic.

Bayesian Optimization with Binary Auxiliary Information

This paper presents novel mixed-type Bayesian optimization (BO) algorithms to accelerate the optimization of a target objective function by exploiting correlated auxiliary information of binary type that can be more cheaply obtained, such as in policy search for reinforcement learning and hyperparameter tuning of machine learning models with early stopping. To achieve this, we first propose a mixed-type multi-output Gaussian process (MOGP) to jointly model the continuous target function and binary auxiliary functions. Then, we propose information-based acquisition functions such as mixed-type entropy search (MT-ES) and mixed-type predictive ES (MT-PES) for mixed-type BO based on the MOGP predictive belief of the target and auxiliary functions. The exact acquisition functions of MT-ES and MT-PES cannot be computed in closed form and need to be approximated. We derive an efficient approximation of MT-PES via a novel mixed-type random features approximation of the MOGP model whose cross-correlation structure between the target and auxiliary functions can be exploited for improving the belief of the global target maximizer using observations from evaluating these functions. We propose new practical constraints to relate the global target maximizer to the binary auxiliary functions. We empirically evaluate the performance of MT-ES and MT-PES with synthetic and real-world experiments.