Priors over Recurrent Continuous Time Processes

Neural Information Processing Systems

We introduce the Gamma-Exponential Process (GEP), a prior over a large family ofcontinuous time stochastic processes. A hierarchical version of this prior (HGEP; the Hierarchical GEP) yields a useful model for analyzing complex time series. Models based on HGEPs display many attractive properties: conjugacy, exchangeability and closed-form predictive distribution for the waiting times, and exact Gibbs updates for the time scale parameters. After establishing these properties, weshow how posterior inference can be carried efficiently using Particle MCMC methods [1]. This yields a MCMC algorithm that can resample entire sequences atomicallywhile avoiding the complications of introducing slice and stick auxiliary variables of the beam sampler [2]. We applied our model to the problem of estimating the disease progression in multiple sclerosis [3], and to RNA evolutionary modeling[4]. In both domains, we found that our model outperformed the standard rate matrix estimation approach.


Bayesian Inference of Individualized Treatment Effects using Multi-task Gaussian Processes

Neural Information Processing Systems

Predicated on the increasing abundance of electronic health records, we investigate the problem of inferring individualized treatment effects using observational data. Stemming from the potential outcomes model, we propose a novel multi-task learning framework in which factual and counterfactual outcomes are modeled as the outputs of a function in a vector-valued reproducing kernel Hilbert space (vvRKHS). We develop a nonparametric Bayesian method for learning the treatment effects using a multi-task Gaussian process (GP) with a linear coregionalization kernel as a prior over the vvRKHS. The Bayesian approach allows us to compute individualized measures of confidence in our estimates via pointwise credible intervals, which are crucial for realizing the full potential of precision medicine. The impact of selection bias is alleviated via a risk-based empirical Bayes method for adapting the multi-task GP prior, which jointly minimizes the empirical error in factual outcomes and the uncertainty in (unobserved) counterfactual outcomes. We conduct experiments on observational datasets for an interventional social program applied to premature infants, and a left ventricular assist device applied to cardiac patients wait-listed for a heart transplant. In both experiments, we show that our method significantly outperforms the state-of-the-art.


Sparse Instrumental Variables (SPIV) for Genome-Wide Studies

Neural Information Processing Systems

This paper describes a probabilistic framework for studying associations between multiple genotypes, biomarkers, and phenotypic traits in the presence of noise and unobserved confounders for large genetic studies. The framework builds on sparse linear methods developed for regression and modified here for inferring causal structures of richer networks with latent variables. The method is motivated by the use of genotypes as ``instruments'' to infer causal associations between phenotypic biomarkers and outcomes, without making the common restrictive assumptions of instrumental variable methods. The method may be used for an effective screening of potentially interesting genotype phenotype and biomarker-phenotype associations in genome-wide studies, which may have important implications for validating biomarkers as possible proxy endpoints for early stage clinical trials. Where the biomarkers are gene transcripts, the method can be used for fine mapping of quantitative trait loci (QTLs) detected in genetic linkage studies. The method is applied for examining effects of gene transcript levels in the liver on plasma HDL cholesterol levels for a sample of sequenced mice from a heterogeneous stock, with $\sim 10^5$ genetic instruments and $\sim 47 \times 10^3$ gene transcripts.


Variational Bayes approach for model aggregation in unsupervised classification with Markovian dependency

arXiv.org Machine Learning

We consider a binary unsupervised classification problem where each observation is associated with an unobserved label that we want to retrieve. More precisely, we assume that there are two groups of observation: normal and abnormal. The `normal' observations are coming from a known distribution whereas the distribution of the `abnormal' observations is unknown. Several models have been developed to fit this unknown distribution. In this paper, we propose an alternative based on a mixture of Gaussian distributions. The inference is done within a variational Bayesian framework and our aim is to infer the posterior probability of belonging to the class of interest. To this end, it makes no sense to estimate the mixture component number since each mixture model provides more or less relevant information to the posterior probability estimation. By computing a weighted average (named aggregated estimator) over the model collection, Bayesian Model Averaging (BMA) is one way of combining models in order to account for information provided by each model. The aim is then the estimation of the weights and the posterior probability for one specific model. In this work, we derive optimal approximations of these quantities from the variational theory and propose other approximations of the weights. To perform our method, we consider that the data are dependent (Markovian dependency) and hence we consider a Hidden Markov Model. A simulation study is carried out to evaluate the accuracy of the estimates in terms of classification. We also present an application to the analysis of public health surveillance systems.


Causal Inference through a Witness Protection Program

arXiv.org Machine Learning

One of the most fundamental problems in causal inference is the estimation of a causal effect when variables are confounded. This is difficult in an observational study, because one has no direct evidence that all confounders have been adjusted for. We introduce a novel approach for estimating causal effects that exploits observational conditional independencies to suggest "weak" paths in a unknown causal graph. The widely used faithfulness condition of Spirtes et al. is relaxed to allow for varying degrees of "path cancellations" that imply conditional independencies but do not rule out the existence of confounding causal paths. The outcome is a posterior distribution over bounds on the average causal effect via a linear programming approach and Bayesian inference. We claim this approach should be used in regular practice along with other default tools in observational studies.