2,515 research outputs found
High-Dimensional Density Ratio Estimation with Extensions to Approximate Likelihood Computation
The ratio between two probability density functions is an important component
of various tasks, including selection bias correction, novelty detection and
classification. Recently, several estimators of this ratio have been proposed.
Most of these methods fail if the sample space is high-dimensional, and hence
require a dimension reduction step, the result of which can be a significant
loss of information. Here we propose a simple-to-implement, fully nonparametric
density ratio estimator that expands the ratio in terms of the eigenfunctions
of a kernel-based operator; these functions reflect the underlying geometry of
the data (e.g., submanifold structure), often leading to better estimates
without an explicit dimension reduction step. We show how our general framework
can be extended to address another important problem, the estimation of a
likelihood function in situations where that function cannot be
well-approximated by an analytical form. One is often faced with this situation
when performing statistical inference with data from the sciences, due the
complexity of the data and of the processes that generated those data. We
emphasize applications where using existing likelihood-free methods of
inference would be challenging due to the high dimensionality of the sample
space, but where our spectral series method yields a reasonable estimate of the
likelihood function. We provide theoretical guarantees and illustrate the
effectiveness of our proposed method with numerical experiments.Comment: With supplementary materia
Calculation of Generalized Polynomial-Chaos Basis Functions and Gauss Quadrature Rules in Hierarchical Uncertainty Quantification
Stochastic spectral methods are efficient techniques for uncertainty
quantification. Recently they have shown excellent performance in the
statistical analysis of integrated circuits. In stochastic spectral methods,
one needs to determine a set of orthonormal polynomials and a proper numerical
quadrature rule. The former are used as the basis functions in a generalized
polynomial chaos expansion. The latter is used to compute the integrals
involved in stochastic spectral methods. Obtaining such information requires
knowing the density function of the random input {\it a-priori}. However,
individual system components are often described by surrogate models rather
than density functions. In order to apply stochastic spectral methods in
hierarchical uncertainty quantification, we first propose to construct
physically consistent closed-form density functions by two monotone
interpolation schemes. Then, by exploiting the special forms of the obtained
density functions, we determine the generalized polynomial-chaos basis
functions and the Gauss quadrature rules that are required by a stochastic
spectral simulator. The effectiveness of our proposed algorithm is verified by
both synthetic and practical circuit examples.Comment: Published by IEEE Trans CAD in May 201
Hashing-Based-Estimators for Kernel Density in High Dimensions
Given a set of points and a kernel , the Kernel
Density Estimate at a point is defined as
. We study the problem
of designing a data structure that given a data set and a kernel function,
returns *approximations to the kernel density* of a query point in *sublinear
time*. We introduce a class of unbiased estimators for kernel density
implemented through locality-sensitive hashing, and give general theorems
bounding the variance of such estimators. These estimators give rise to
efficient data structures for estimating the kernel density in high dimensions
for a variety of commonly used kernels. Our work is the first to provide
data-structures with theoretical guarantees that improve upon simple random
sampling in high dimensions.Comment: A preliminary version of this paper appeared in FOCS 201
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