17,917 research outputs found
Large-scale Nonlinear Variable Selection via Kernel Random Features
We propose a new method for input variable selection in nonlinear regression.
The method is embedded into a kernel regression machine that can model general
nonlinear functions, not being a priori limited to additive models. This is the
first kernel-based variable selection method applicable to large datasets. It
sidesteps the typical poor scaling properties of kernel methods by mapping the
inputs into a relatively low-dimensional space of random features. The
algorithm discovers the variables relevant for the regression task together
with learning the prediction model through learning the appropriate nonlinear
random feature maps. We demonstrate the outstanding performance of our method
on a set of large-scale synthetic and real datasets.Comment: Final version for proceedings of ECML/PKDD 201
Hamiltonian Monte Carlo Acceleration Using Surrogate Functions with Random Bases
For big data analysis, high computational cost for Bayesian methods often
limits their applications in practice. In recent years, there have been many
attempts to improve computational efficiency of Bayesian inference. Here we
propose an efficient and scalable computational technique for a
state-of-the-art Markov Chain Monte Carlo (MCMC) methods, namely, Hamiltonian
Monte Carlo (HMC). The key idea is to explore and exploit the structure and
regularity in parameter space for the underlying probabilistic model to
construct an effective approximation of its geometric properties. To this end,
we build a surrogate function to approximate the target distribution using
properly chosen random bases and an efficient optimization process. The
resulting method provides a flexible, scalable, and efficient sampling
algorithm, which converges to the correct target distribution. We show that by
choosing the basis functions and optimization process differently, our method
can be related to other approaches for the construction of surrogate functions
such as generalized additive models or Gaussian process models. Experiments
based on simulated and real data show that our approach leads to substantially
more efficient sampling algorithms compared to existing state-of-the art
methods
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