We derive a novel variational expectation maximization approach based on truncated variational distributions. Truncated distributions are proportional to exact posteriors within a subset of a discrete state space and equal zero otherwise. The novel variational approach is realized by first generalizing the standard variational EM framework to include variational distributions with exact (`hard') zeros. A fully variational treatment of truncated distributions then allows for deriving novel and mathematically grounded results, which in turn can be used to formulate novel efficient algorithms to optimize the parameters of probabilistic generative models. We find the free energies which correspond to truncated distributions to be given by concise and efficiently computable expressions, while update equations for model parameters (M-steps) remain in their standard form. Furthermore, we obtain generic expressions for expectation values w.r.t. truncated distributions. Based on these observations, we show how efficient and easily applicable meta-algorithms can be formulated that guarantee a monotonic increase of the free energy. Example applications of the here derived framework provide novel theoretical results and learning procedures for latent variable models as well as mixture models including procedures to tightly couple sampling and variational optimization approaches. Furthermore, by considering a special case of truncated variational distributions, we can cleanly and fully embed the well-known `hard EM' approaches into the variational EM framework, and we show that `hard EM' (for models with discrete latents) provably optimizes a lower free energy bound of the data log-likelihood.

This work investigates training Conditional Random Fields (CRF) by Stochastic Dual Coordinate Ascent (SDCA). SDCA enjoys a linear convergence rate and a strong empirical performance for independent classification problems. However, it has never been used to train CRF. Yet it benefits from an exact line search with a single marginalization oracle call, unlike previous approaches. In this paper, we adapt SDCA to train CRF and we enhance it with an adaptive non-uniform sampling strategy. Our preliminary experiments suggest that this method matches state-of-the-art CRF optimization techniques.

We propose a novel approach for using unsupervised boosting to create an ensemble of generative models, where models are trained in sequence to correct earlier mistakes. Our meta-algorithmic framework can leverage any existing base learner that permits likelihood evaluation, including recent deep expressive models. Further, our approach allows the ensemble to include discriminative models trained to distinguish real data from model-generated data. We show theoretical conditions under which incorporating a new model in the ensemble will improve the fit and empirically demonstrate the effectiveness of our black-box boosting algorithms on density estimation, classification, and sample generation on benchmark datasets for a wide range of generative models.

We propose two novel methods for simplifying Gaussian process (GP) models by examining the predictions of a full model in the vicinity of the training points and thereby ordering the covariates based on their predictive relevance. Our results on synthetic and real world data sets demonstrate improved variable selection compared to automatic relevance determination (ARD) in terms of consistency and predictive performance. We expect our proposed methods to be useful in interpreting and understanding complex Gaussian process models.

In recent years, the inverse Ising problem, i.e. the reconstruction of couplings and external fields of an Ising model from samples of spin configurations, has attracted considerable interest in the physics community [1]. This is due to the fact that Ising models play an important role for data modeling with applications to neural spike data [2, 3], protein structure determination [4], and gene expression analysis [5]. Much effort has been devoted to the development of algorithms for the static inverse Ising problem. This is a nontrivial task, because statistically efficient, likelihood based methods become computationally infeasible by the intractability of the partition function of the model. Hence one has to resort to either approximate inference methods or to other statistical estimators such as pseudo-likelihood methods [6], or the interaction screening algorithm [7]. The situation is somewhat simpler for the dynamical inverse Ising problem, which recently attracted attention [8-13]. If one assumes a Markovian dynamics, the exact normalisation of the spin transition probabilities allows for an explicit computation of the likelihood if one has a complete set of observed data over time. Nevertheless, the model parameters enter the likelihood in a fairly complex way, and the application of more advanced statistical approaches such as Bayesian inference again becomes a nontrivial task. This is especially true for the continuous time kinetic Ising model where the spins are governed by Glauber dynamics [14].

Dynamic networks are a general language for describing time-evolving complex systems, and discrete time network models provide an emerging statistical technique for various applications. It is a fundamental research question to detect the community structure in time-evolving networks. However, due to significant computational challenges and difficulties in modeling communities of time-evolving networks, there is little progress in the current literature to effectively find communities in time-evolving networks. In this work, we propose a novel model-based clustering framework for time-evolving networks based on discrete time exponential-family random graph models. To choose the number of communities, we use conditional likelihood to construct an effective model selection criterion. Furthermore, we propose an efficient variational expectation-maximization (EM) algorithm to find approximate maximum likelihood estimates of network parameters and mixing proportions. By using variational methods and minorization-maximization (MM) techniques, our method has appealing scalability for large-scale time-evolving networks. The power of our method is demonstrated in simulation studies and empirical applications to international trade networks and the collaboration networks of a large American research university.

Monte Carlo methods are essential tools for Bayesian inference. Gibbs sampling is a well-known Markov chain Monte Carlo (MCMC) algorithm, extensively used in signal processing, machine learning, and statistics, employed to draw samples from complicated high-dimensional posterior distributions. The key point for the successful application of the Gibbs sampler is the ability to draw efficiently samples from the full-conditional probability density functions. Since in the general case this is not possible, in order to speed up the convergence of the chain, it is required to generate auxiliary samples whose information is eventually disregarded. In this work, we show that these auxiliary samples can be recycled within the Gibbs estimators, improving their efficiency with no extra cost. This novel scheme arises naturally after pointing out the relationship between the standard Gibbs sampler and the chain rule used for sampling purposes. Numerical simulations involving simple and real inference problems confirm the excellent performance of the proposed scheme in terms of accuracy and computational efficiency. In particular we give empirical evidence of performance in a toy example, inference of Gaussian processes hyperparameters, and learning dependence graphs through regression.

Convolutional Neural Network is known as ConvNet have been extensively used in many complex machine learning tasks. However, hyperparameters optimization is one of a crucial step in developing ConvNet architectures, since the accuracy and performance are totally reliant on the hyperparameters. This multilayered architecture parameterized by a set of hyperparameters such as the number of convolutional layers, number of fully connected dense layers & neurons, the probability of dropout implementation, learning rate. Hence the searching the hyperparameter over the hyperparameter space are highly difficult to build such complex hierarchical architecture. Many methods have been proposed over the decade to explore the hyperparameter space and find the optimum set of hyperparameter values. Reportedly, Gird search and Random search are said to be inefficient and extremely expensive, due to a large number of hyperparameters of the architecture. Hence, Sequential model-based Bayesian Optimization is a promising alternative technique to address the extreme of the unknown cost function. The recent study on Bayesian Optimization by Snoek in nine convolutional network parameters is achieved the lowerest error report in the CIFAR-10 benchmark. This article is intended to provide the overview of the mathematical concept behind the Bayesian Optimization over a Gaussian prior.

We propose an efficient algorithm for approximate computation of the profile maximum likelihood (PML), a variant of maximum likelihood maximizing the probability of observing a sufficient statistic rather than the empirical sample. The PML has appealing theoretical properties, but is difficult to compute exactly. Inspired by observations gleaned from exactly solvable cases, we look for an approximate PML solution, which, intuitively, clumps comparably frequent symbols into one symbol. This amounts to lower-bounding a certain matrix permanent by summing over a subgroup of the symmetric group rather than the whole group during the computation. We extensively experiment with the approximate solution, and find the empirical performance of our approach is competitive and sometimes significantly better than state-of-the-art performance for various estimation problems.

In this paper we develop a method for learning nonlinear systems with multiple outputs and inputs. We begin by modelling the errors of a nominal predictor of the system using a latent variable framework. Then using the maximum likelihood principle we derive a criterion for learning the model. The resulting optimization problem is tackled using a majorization-minimization approach. Finally, we develop a convex majorization technique and show that it enables a recursive identification method. The method learns parsimonious predictive models and is tested on both synthetic and real nonlinear systems.