Collaborating Authors

Deep Gaussian Mixture Models Machine Learning

Deep learning is a hierarchical inference method formed by subsequent multiple layers of learning able to more efficiently describe complex relationships. In this work, Deep Gaussian Mixture Models are introduced and discussed. A Deep Gaussian Mixture model (DGMM) is a network of multiple layers of latent variables, where, at each layer, the variables follow a mixture of Gaussian distributions. Thus, the deep mixture model consists of a set of nested mixtures of linear models, which globally provide a nonlinear model able to describe the data in a very flexible way. In order to avoid overparameterized solutions, dimension reduction by factor models can be applied at each layer of the architecture thus resulting in deep mixtures of factor analysers.

Image restoration with generalized Gaussian mixture model patch priors Machine Learning

Patch priors have became an important component of image restoration. A powerful approach in this category of restoration algorithms is the popular Expected Patch Log-likelihood (EPLL) algorithm. EPLL uses a Gaussian mixture model (GMM) prior learned on clean image patches as a way to regularize degraded patches. In this paper, we show that a generalized Gaussian mixture model (GGMM) captures the underlying distribution of patches better than a GMM. Even though GGMM is a powerful prior to combine with EPLL, the non-Gaussianity of its components presents major challenges to be applied to a computationally intensive process of image restoration. Specifically, each patch has to undergo a patch classification step and a shrinkage step. These two steps can be efficiently solved with a GMM prior but are computationally impractical when using a GGMM prior. In this paper, we provide approximations and computational recipes for fast evaluation of these two steps, so that EPLL can embed a GGMM prior on an image with more than tens of thousands of patches. Our main contribution is to analyze the accuracy of our approximations based on thorough theoretical analysis. Our evaluations indicate that the GGMM prior is consistently a better fit for modeling image patch distribution and performs better on average in image denoising task.

Constrained Mixture Models for Asset Returns Modelling Machine Learning

The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian distributions, to provide an accurate description of price trends as being clearly positive, negative or ranging while accounting for heavy tails and high kurtosis. The model is estimated in the Expectation Maximisation framework and model order estimation also respects the model's constraints.

Mixture Model Averaging for Clustering Machine Learning

In mixture model-based clustering applications, it is common to fit several models from a family and report clustering results from only the `best' one. In such circumstances, selection of this best model is achieved using a model selection criterion, most often the Bayesian information criterion. Rather than throw away all but the best model, we average multiple models that are in some sense close to the best one, thereby producing a weighted average of clustering results. Two (weighted) averaging approaches are considered: averaging the component membership probabilities and averaging models. In both cases, Occam's window is used to determine closeness to the best model and weights are computed within a Bayesian model averaging paradigm. In some cases, we need to merge components before averaging; we introduce a method for merging mixture components based on the adjusted Rand index. The effectiveness of our model-based clustering averaging approaches is illustrated using a family of Gaussian mixture models on real and simulated data.

How to code Gaussian Mixture Models from scratch in Python


In the realm of unsupervised learning algorithms, Gaussian Mixture Models or GMMs are special citizens. GMMs are based on the assumption that all data points come from a fine mixture of Gaussian distributions with unknown parameters. They are parametric generative models that attempt to learn the true data distribution. Hence, once we learn the Gaussian parameters, we can generate data from the same distribution as the source. We can think of GMMs as the soft generalization of the K-Means clustering algorithm.