2,899 research outputs found
Model Selection for Support Vector Machine Classification
We address the problem of model selection for Support Vector Machine (SVM)
classification. For fixed functional form of the kernel, model selection
amounts to tuning kernel parameters and the slack penalty coefficient . We
begin by reviewing a recently developed probabilistic framework for SVM
classification. An extension to the case of SVMs with quadratic slack penalties
is given and a simple approximation for the evidence is derived, which can be
used as a criterion for model selection. We also derive the exact gradients of
the evidence in terms of posterior averages and describe how they can be
estimated numerically using Hybrid Monte Carlo techniques. Though
computationally demanding, the resulting gradient ascent algorithm is a useful
baseline tool for probabilistic SVM model selection, since it can locate maxima
of the exact (unapproximated) evidence. We then perform extensive experiments
on several benchmark data sets. The aim of these experiments is to compare the
performance of probabilistic model selection criteria with alternatives based
on estimates of the test error, namely the so-called ``span estimate'' and
Wahba's Generalized Approximate Cross-Validation (GACV) error. We find that all
the ``simple'' model criteria (Laplace evidence approximations, and the Span
and GACV error estimates) exhibit multiple local optima with respect to the
hyperparameters. While some of these give performance that is competitive with
results from other approaches in the literature, a significant fraction lead to
rather higher test errors. The results for the evidence gradient ascent method
show that also the exact evidence exhibits local optima, but these give test
errors which are much less variable and also consistently lower than for the
simpler model selection criteria
Detecting Communities under Differential Privacy
Complex networks usually expose community structure with groups of nodes
sharing many links with the other nodes in the same group and relatively few
with the nodes of the rest. This feature captures valuable information about
the organization and even the evolution of the network. Over the last decade, a
great number of algorithms for community detection have been proposed to deal
with the increasingly complex networks. However, the problem of doing this in a
private manner is rarely considered. In this paper, we solve this problem under
differential privacy, a prominent privacy concept for releasing private data.
We analyze the major challenges behind the problem and propose several schemes
to tackle them from two perspectives: input perturbation and algorithm
perturbation. We choose Louvain method as the back-end community detection for
input perturbation schemes and propose the method LouvainDP which runs Louvain
algorithm on a noisy super-graph. For algorithm perturbation, we design
ModDivisive using exponential mechanism with the modularity as the score. We
have thoroughly evaluated our techniques on real graphs of different sizes and
verified their outperformance over the state-of-the-art
Bayesian emulation for optimization in multi-step portfolio decisions
We discuss the Bayesian emulation approach to computational solution of
multi-step portfolio studies in financial time series. "Bayesian emulation for
decisions" involves mapping the technical structure of a decision analysis
problem to that of Bayesian inference in a purely synthetic "emulating"
statistical model. This provides access to standard posterior analytic,
simulation and optimization methods that yield indirect solutions of the
decision problem. We develop this in time series portfolio analysis using
classes of economically and psychologically relevant multi-step ahead portfolio
utility functions. Studies with multivariate currency, commodity and stock
index time series illustrate the approach and show some of the practical
utility and benefits of the Bayesian emulation methodology.Comment: 24 pages, 7 figures, 2 table
- …