Bounding errors of Expectation-Propagation

Expectation Propagation is a very popular algorithm for variational inference, but comes with few theoretical guarantees. In this article, we prove that the approximation errors made by EP can be bounded. Our bounds have an asymptotic interpretation in the number $n$ of datapoints, which allows us to study EP's convergence with respect to the true posterior. In particular, we show that EP converges at a rate of $\mathcal{0}(n^{-2})$ for the mean, up to an order of magnitude faster than the traditional Gaussian approximation at the mode. We also give similar asymptotic expansions for moments of order 2 to 4, as well as excess Kullback-Leibler cost (defined as the additional KL cost incurred by using EP rather than the ideal Gaussian approximation). All these expansions highlight the superior convergence properties of EP. Our approach for deriving those results is likely applicable to many similar approximate inference methods. In addition, we introduce bounds on the moments of log-concave distributions that may be of independent interest.Comment: Accepted and published at NIPS 201

A Theory of Regularized Markov Decision Processes

Many recent successful (deep) reinforcement learning algorithms make use of regularization, generally based on entropy or Kullback-Leibler divergence. We propose a general theory of regularized Markov Decision Processes that generalizes these approaches in two directions: we consider a larger class of regularizers, and we consider the general modified policy iteration approach, encompassing both policy iteration and value iteration. The core building blocks of this theory are a notion of regularized Bellman operator and the Legendre-Fenchel transform, a classical tool of convex optimization. This approach allows for error propagation analyses of general algorithmic schemes of which (possibly variants of) classical algorithms such as Trust Region Policy Optimization, Soft Q-learning, Stochastic Actor Critic or Dynamic Policy Programming are special cases. This also draws connections to proximal convex optimization, especially to Mirror Descent.Comment: ICML 201

Fuzzy-based Propagation of Prior Knowledge to Improve Large-Scale Image Analysis Pipelines

Many automatically analyzable scientific questions are well-posed and offer a variety of information about the expected outcome a priori. Although often being neglected, this prior knowledge can be systematically exploited to make automated analysis operations sensitive to a desired phenomenon or to evaluate extracted content with respect to this prior knowledge. For instance, the performance of processing operators can be greatly enhanced by a more focused detection strategy and the direct information about the ambiguity inherent in the extracted data. We present a new concept for the estimation and propagation of uncertainty involved in image analysis operators. This allows using simple processing operators that are suitable for analyzing large-scale 3D+t microscopy images without compromising the result quality. On the foundation of fuzzy set theory, we transform available prior knowledge into a mathematical representation and extensively use it enhance the result quality of various processing operators. All presented concepts are illustrated on a typical bioimage analysis pipeline comprised of seed point detection, segmentation, multiview fusion and tracking. Furthermore, the functionality of the proposed approach is validated on a comprehensive simulated 3D+t benchmark data set that mimics embryonic development and on large-scale light-sheet microscopy data of a zebrafish embryo. The general concept introduced in this contribution represents a new approach to efficiently exploit prior knowledge to improve the result quality of image analysis pipelines. Especially, the automated analysis of terabyte-scale microscopy data will benefit from sophisticated and efficient algorithms that enable a quantitative and fast readout. The generality of the concept, however, makes it also applicable to practically any other field with processing strategies that are arranged as linear pipelines.Comment: 39 pages, 12 figure

Sampling-based Approximations with Quantitative Performance for the Probabilistic Reach-Avoid Problem over General Markov Processes

This article deals with stochastic processes endowed with the Markov (memoryless) property and evolving over general (uncountable) state spaces. The models further depend on a non-deterministic quantity in the form of a control input, which can be selected to affect the probabilistic dynamics. We address the computation of maximal reach-avoid specifications, together with the synthesis of the corresponding optimal controllers. The reach-avoid specification deals with assessing the likelihood that any finite-horizon trajectory of the model enters a given goal set, while avoiding a given set of undesired states. This article newly provides an approximate computational scheme for the reach-avoid specification based on the Fitted Value Iteration algorithm, which hinges on random sample extractions, and gives a-priori computable formal probabilistic bounds on the error made by the approximation algorithm: as such, the output of the numerical scheme is quantitatively assessed and thus meaningful for safety-critical applications. Furthermore, we provide tighter probabilistic error bounds that are sample-based. The overall computational scheme is put in relationship with alternative approximation algorithms in the literature, and finally its performance is practically assessed over a benchmark case study