Preconditioning Kernel Matrices

The computational and storage complexity of kernel machines presents the primary barrier to their scaling to large, modern, datasets. A common way to tackle the scalability issue is to use the conjugate gradient algorithm, which relieves the constraints on both storage (the kernel matrix need not be stored) and computation (both stochastic gradients and parallelization can be used). Even so, conjugate gradient is not without its own issues: the conditioning of kernel matrices is often such that conjugate gradients will have poor convergence in practice. Preconditioning is a common approach to alleviating this issue. Here we propose preconditioned conjugate gradients for kernel machines, and develop a broad range of preconditioners particularly useful for kernel matrices. We describe a scalable approach to both solving kernel machines and learning their hyperparameters. We show this approach is exact in the limit of iterations and outperforms state-of-the-art approximations for a given computational budget

Inconsistency of Bayesian Inference for Misspecified Linear Models, and a Proposal for Repairing It

We empirically show that Bayesian inference can be inconsistent under misspecification in simple linear regression problems, both in a model averaging/selection and in a Bayesian ridge regression setting. We use the standard linear model, which assumes homoskedasticity, whereas the data are heteroskedastic, and observe that the posterior puts its mass on ever more high-dimensional models as the sample size increases. To remedy the problem, we equip the likelihood in Bayes' theorem with an exponent called the learning rate, and we propose the Safe Bayesian method to learn the learning rate from the data. SafeBayes tends to select small learning rates as soon the standard posterior is not `cumulatively concentrated', and its results on our data are quite encouraging.Comment: 70 pages, 20 figure

Hyperspectral Unmixing Overview: Geometrical, Statistical, and Sparse Regression-Based Approaches

Imaging spectrometers measure electromagnetic energy scattered in their instantaneous field view in hundreds or thousands of spectral channels with higher spectral resolution than multispectral cameras. Imaging spectrometers are therefore often referred to as hyperspectral cameras (HSCs). Higher spectral resolution enables material identification via spectroscopic analysis, which facilitates countless applications that require identifying materials in scenarios unsuitable for classical spectroscopic analysis. Due to low spatial resolution of HSCs, microscopic material mixing, and multiple scattering, spectra measured by HSCs are mixtures of spectra of materials in a scene. Thus, accurate estimation requires unmixing. Pixels are assumed to be mixtures of a few materials, called endmembers. Unmixing involves estimating all or some of: the number of endmembers, their spectral signatures, and their abundances at each pixel. Unmixing is a challenging, ill-posed inverse problem because of model inaccuracies, observation noise, environmental conditions, endmember variability, and data set size. Researchers have devised and investigated many models searching for robust, stable, tractable, and accurate unmixing algorithms. This paper presents an overview of unmixing methods from the time of Keshava and Mustard's unmixing tutorial [1] to the present. Mixing models are first discussed. Signal-subspace, geometrical, statistical, sparsity-based, and spatial-contextual unmixing algorithms are described. Mathematical problems and potential solutions are described. Algorithm characteristics are illustrated experimentally.Comment: This work has been accepted for publication in IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensin

Kernel conditional quantile estimation via reduction revisited

Quantile regression refers to the process of estimating the quantiles of a conditional distribution and has many important applications within econometrics and data mining, among other domains. In this paper, we show how to estimate these conditional quantile functions within a Bayes risk minimization framework using a Gaussian process prior. The resulting non-parametric probabilistic model is easy to implement and allows non-crossing quantile functions to be enforced. Moreover, it can directly be used in combination with tools and extensions of standard Gaussian Processes such as principled hyperparameter estimation, sparsification, and quantile regression with input-dependent noise rates. No existing approach enjoys all of these desirable properties. Experiments on benchmark datasets show that our method is competitive with state-of-the-art approaches.

Unsupervised feature learning with discriminative encoder

In recent years, deep discriminative models have achieved extraordinary performance on supervised learning tasks, significantly outperforming their generative counterparts. However, their success relies on the presence of a large amount of labeled data. How can one use the same discriminative models for learning useful features in the absence of labels? We address this question in this paper, by jointly modeling the distribution of data and latent features in a manner that explicitly assigns zero probability to unobserved data. Rather than maximizing the marginal probability of observed data, we maximize the joint probability of the data and the latent features using a two step EM-like procedure. To prevent the model from overfitting to our initial selection of latent features, we use adversarial regularization. Depending on the task, we allow the latent features to be one-hot or real-valued vectors and define a suitable prior on the features. For instance, one-hot features correspond to class labels and are directly used for the unsupervised and semi-supervised classification task, whereas real-valued feature vectors are fed as input to simple classifiers for auxiliary supervised discrimination tasks. The proposed model, which we dub discriminative encoder (or DisCoder), is flexible in the type of latent features that it can capture. The proposed model achieves state-of-the-art performance on several challenging tasks.Comment: 10 pages, 4 figures, International Conference on Data Mining, 201

A simple preconditioned domain decomposition method for electromagnetic scattering problems

We present a domain decomposition method (DDM) devoted to the iterative solution of time-harmonic electromagnetic scattering problems, involving large and resonant cavities. This DDM uses the electric field integral equation (EFIE) for the solution of Maxwell problems in both interior and exterior subdomains, and we propose a simple preconditioner for the global method, based on the single layer operator restricted to the fictitious interface between the two subdomains.Comment: 23 page