5,485 research outputs found

    Submodularity in Batch Active Learning and Survey Problems on Gaussian Random Fields

    Full text link
    Many real-world datasets can be represented in the form of a graph whose edge weights designate similarities between instances. A discrete Gaussian random field (GRF) model is a finite-dimensional Gaussian process (GP) whose prior covariance is the inverse of a graph Laplacian. Minimizing the trace of the predictive covariance Sigma (V-optimality) on GRFs has proven successful in batch active learning classification problems with budget constraints. However, its worst-case bound has been missing. We show that the V-optimality on GRFs as a function of the batch query set is submodular and hence its greedy selection algorithm guarantees an (1-1/e) approximation ratio. Moreover, GRF models have the absence-of-suppressor (AofS) condition. For active survey problems, we propose a similar survey criterion which minimizes 1'(Sigma)1. In practice, V-optimality criterion performs better than GPs with mutual information gain criteria and allows nonuniform costs for different nodes

    A Probabilistic Interpretation of Sampling Theory of Graph Signals

    Full text link
    We give a probabilistic interpretation of sampling theory of graph signals. To do this, we first define a generative model for the data using a pairwise Gaussian random field (GRF) which depends on the graph. We show that, under certain conditions, reconstructing a graph signal from a subset of its samples by least squares is equivalent to performing MAP inference on an approximation of this GRF which has a low rank covariance matrix. We then show that a sampling set of given size with the largest associated cut-off frequency, which is optimal from a sampling theoretic point of view, minimizes the worst case predictive covariance of the MAP estimate on the GRF. This interpretation also gives an intuitive explanation for the superior performance of the sampling theoretic approach to active semi-supervised classification.Comment: 5 pages, 2 figures, To appear in International Conference on Acoustics, Speech, and Signal Processing (ICASSP) 201

    A Tutorial on Bayesian Optimization of Expensive Cost Functions, with Application to Active User Modeling and Hierarchical Reinforcement Learning

    Full text link
    We present a tutorial on Bayesian optimization, a method of finding the maximum of expensive cost functions. Bayesian optimization employs the Bayesian technique of setting a prior over the objective function and combining it with evidence to get a posterior function. This permits a utility-based selection of the next observation to make on the objective function, which must take into account both exploration (sampling from areas of high uncertainty) and exploitation (sampling areas likely to offer improvement over the current best observation). We also present two detailed extensions of Bayesian optimization, with experiments---active user modelling with preferences, and hierarchical reinforcement learning---and a discussion of the pros and cons of Bayesian optimization based on our experiences

    Metamodel-based importance sampling for structural reliability analysis

    Full text link
    Structural reliability methods aim at computing the probability of failure of systems with respect to some prescribed performance functions. In modern engineering such functions usually resort to running an expensive-to-evaluate computational model (e.g. a finite element model). In this respect simulation methods, which may require 103610^{3-6} runs cannot be used directly. Surrogate models such as quadratic response surfaces, polynomial chaos expansions or kriging (which are built from a limited number of runs of the original model) are then introduced as a substitute of the original model to cope with the computational cost. In practice it is almost impossible to quantify the error made by this substitution though. In this paper we propose to use a kriging surrogate of the performance function as a means to build a quasi-optimal importance sampling density. The probability of failure is eventually obtained as the product of an augmented probability computed by substituting the meta-model for the original performance function and a correction term which ensures that there is no bias in the estimation even if the meta-model is not fully accurate. The approach is applied to analytical and finite element reliability problems and proves efficient up to 100 random variables.Comment: 20 pages, 7 figures, 2 tables. Preprint submitted to Probabilistic Engineering Mechanic

    Revisiting loss-specific training of filter-based MRFs for image restoration

    Full text link
    It is now well known that Markov random fields (MRFs) are particularly effective for modeling image priors in low-level vision. Recent years have seen the emergence of two main approaches for learning the parameters in MRFs: (1) probabilistic learning using sampling-based algorithms and (2) loss-specific training based on MAP estimate. After investigating existing training approaches, it turns out that the performance of the loss-specific training has been significantly underestimated in existing work. In this paper, we revisit this approach and use techniques from bi-level optimization to solve it. We show that we can get a substantial gain in the final performance by solving the lower-level problem in the bi-level framework with high accuracy using our newly proposed algorithm. As a result, our trained model is on par with highly specialized image denoising algorithms and clearly outperforms probabilistically trained MRF models. Our findings suggest that for the loss-specific training scheme, solving the lower-level problem with higher accuracy is beneficial. Our trained model comes along with the additional advantage, that inference is extremely efficient. Our GPU-based implementation takes less than 1s to produce state-of-the-art performance.Comment: 10 pages, 2 figures, appear at 35th German Conference, GCPR 2013, Saarbr\"ucken, Germany, September 3-6, 2013. Proceeding

    High-dimensional Sparse Inverse Covariance Estimation using Greedy Methods

    Full text link
    In this paper we consider the task of estimating the non-zero pattern of the sparse inverse covariance matrix of a zero-mean Gaussian random vector from a set of iid samples. Note that this is also equivalent to recovering the underlying graph structure of a sparse Gaussian Markov Random Field (GMRF). We present two novel greedy approaches to solving this problem. The first estimates the non-zero covariates of the overall inverse covariance matrix using a series of global forward and backward greedy steps. The second estimates the neighborhood of each node in the graph separately, again using greedy forward and backward steps, and combines the intermediate neighborhoods to form an overall estimate. The principal contribution of this paper is a rigorous analysis of the sparsistency, or consistency in recovering the sparsity pattern of the inverse covariance matrix. Surprisingly, we show that both the local and global greedy methods learn the full structure of the model with high probability given just O(dlog(p))O(d\log(p)) samples, which is a \emph{significant} improvement over state of the art 1\ell_1-regularized Gaussian MLE (Graphical Lasso) that requires O(d2log(p))O(d^2\log(p)) samples. Moreover, the restricted eigenvalue and smoothness conditions imposed by our greedy methods are much weaker than the strong irrepresentable conditions required by the 1\ell_1-regularization based methods. We corroborate our results with extensive simulations and examples, comparing our local and global greedy methods to the 1\ell_1-regularized Gaussian MLE as well as the Neighborhood Greedy method to that of nodewise 1\ell_1-regularized linear regression (Neighborhood Lasso).Comment: Accepted to AI STAT 2012 for Oral Presentatio

    Sequential Design with Mutual Information for Computer Experiments (MICE): Emulation of a Tsunami Model

    Get PDF
    Computer simulators can be computationally intensive to run over a large number of input values, as required for optimization and various uncertainty quantification tasks. The standard paradigm for the design and analysis of computer experiments is to employ Gaussian random fields to model computer simulators. Gaussian process models are trained on input-output data obtained from simulation runs at various input values. Following this approach, we propose a sequential design algorithm, MICE (Mutual Information for Computer Experiments), that adaptively selects the input values at which to run the computer simulator, in order to maximize the expected information gain (mutual information) over the input space. The superior computational efficiency of the MICE algorithm compared to other algorithms is demonstrated by test functions, and a tsunami simulator with overall gains of up to 20% in that case
    corecore