5,736 research outputs found
Guaranteed bounds on the Kullback-Leibler divergence of univariate mixtures using piecewise log-sum-exp inequalities
Information-theoretic measures such as the entropy, cross-entropy and the
Kullback-Leibler divergence between two mixture models is a core primitive in
many signal processing tasks. Since the Kullback-Leibler divergence of mixtures
provably does not admit a closed-form formula, it is in practice either
estimated using costly Monte-Carlo stochastic integration, approximated, or
bounded using various techniques. We present a fast and generic method that
builds algorithmically closed-form lower and upper bounds on the entropy, the
cross-entropy and the Kullback-Leibler divergence of mixtures. We illustrate
the versatile method by reporting on our experiments for approximating the
Kullback-Leibler divergence between univariate exponential mixtures, Gaussian
mixtures, Rayleigh mixtures, and Gamma mixtures.Comment: 20 pages, 3 figure
On a generalization of the Jensen-Shannon divergence and the JS-symmetrization of distances relying on abstract means
The Jensen-Shannon divergence is a renown bounded symmetrization of the
unbounded Kullback-Leibler divergence which measures the total Kullback-Leibler
divergence to the average mixture distribution. However the Jensen-Shannon
divergence between Gaussian distributions is not available in closed-form. To
bypass this problem, we present a generalization of the Jensen-Shannon (JS)
divergence using abstract means which yields closed-form expressions when the
mean is chosen according to the parametric family of distributions. More
generally, we define the JS-symmetrizations of any distance using generalized
statistical mixtures derived from abstract means. In particular, we first show
that the geometric mean is well-suited for exponential families, and report two
closed-form formula for (i) the geometric Jensen-Shannon divergence between
probability densities of the same exponential family, and (ii) the geometric
JS-symmetrization of the reverse Kullback-Leibler divergence. As a second
illustrating example, we show that the harmonic mean is well-suited for the
scale Cauchy distributions, and report a closed-form formula for the harmonic
Jensen-Shannon divergence between scale Cauchy distributions. We also define
generalized Jensen-Shannon divergences between matrices (e.g., quantum
Jensen-Shannon divergences) and consider clustering with respect to these novel
Jensen-Shannon divergences.Comment: 30 page
Optimal Kullback-Leibler Aggregation via Information Bottleneck
In this paper, we present a method for reducing a regular, discrete-time
Markov chain (DTMC) to another DTMC with a given, typically much smaller number
of states. The cost of reduction is defined as the Kullback-Leibler divergence
rate between a projection of the original process through a partition function
and a DTMC on the correspondingly partitioned state space. Finding the reduced
model with minimal cost is computationally expensive, as it requires an
exhaustive search among all state space partitions, and an exact evaluation of
the reduction cost for each candidate partition. Our approach deals with the
latter problem by minimizing an upper bound on the reduction cost instead of
minimizing the exact cost; The proposed upper bound is easy to compute and it
is tight if the original chain is lumpable with respect to the partition. Then,
we express the problem in the form of information bottleneck optimization, and
propose using the agglomerative information bottleneck algorithm for searching
a sub-optimal partition greedily, rather than exhaustively. The theory is
illustrated with examples and one application scenario in the context of
modeling bio-molecular interactions.Comment: 13 pages, 4 figure
Reduction of Markov Chains using a Value-of-Information-Based Approach
In this paper, we propose an approach to obtain reduced-order models of
Markov chains. Our approach is composed of two information-theoretic processes.
The first is a means of comparing pairs of stationary chains on different state
spaces, which is done via the negative Kullback-Leibler divergence defined on a
model joint space. Model reduction is achieved by solving a
value-of-information criterion with respect to this divergence. Optimizing the
criterion leads to a probabilistic partitioning of the states in the high-order
Markov chain. A single free parameter that emerges through the optimization
process dictates both the partition uncertainty and the number of state groups.
We provide a data-driven means of choosing the `optimal' value of this free
parameter, which sidesteps needing to a priori know the number of state groups
in an arbitrary chain.Comment: Submitted to Entrop
Estimating Mixture Entropy with Pairwise Distances
Mixture distributions arise in many parametric and non-parametric settings --
for example, in Gaussian mixture models and in non-parametric estimation. It is
often necessary to compute the entropy of a mixture, but, in most cases, this
quantity has no closed-form expression, making some form of approximation
necessary. We propose a family of estimators based on a pairwise distance
function between mixture components, and show that this estimator class has
many attractive properties. For many distributions of interest, the proposed
estimators are efficient to compute, differentiable in the mixture parameters,
and become exact when the mixture components are clustered. We prove this
family includes lower and upper bounds on the mixture entropy. The Chernoff
-divergence gives a lower bound when chosen as the distance function,
with the Bhattacharyya distance providing the tightest lower bound for
components that are symmetric and members of a location family. The
Kullback-Leibler divergence gives an upper bound when used as the distance
function. We provide closed-form expressions of these bounds for mixtures of
Gaussians, and discuss their applications to the estimation of mutual
information. We then demonstrate that our bounds are significantly tighter than
well-known existing bounds using numeric simulations. This estimator class is
very useful in optimization problems involving maximization/minimization of
entropy and mutual information, such as MaxEnt and rate distortion problems.Comment: Corrects several errata in published version, in particular in
Section V (bounds on mutual information
Optimal projection of observations in a Bayesian setting
Optimal dimensionality reduction methods are proposed for the Bayesian
inference of a Gaussian linear model with additive noise in presence of
overabundant data. Three different optimal projections of the observations are
proposed based on information theory: the projection that minimizes the
Kullback-Leibler divergence between the posterior distributions of the original
and the projected models, the one that minimizes the expected Kullback-Leibler
divergence between the same distributions, and the one that maximizes the
mutual information between the parameter of interest and the projected
observations. The first two optimization problems are formulated as the
determination of an optimal subspace and therefore the solution is computed
using Riemannian optimization algorithms on the Grassmann manifold. Regarding
the maximization of the mutual information, it is shown that there exists an
optimal subspace that minimizes the entropy of the posterior distribution of
the reduced model; a basis of the subspace can be computed as the solution to a
generalized eigenvalue problem; an a priori error estimate on the mutual
information is available for this particular solution; and that the
dimensionality of the subspace to exactly conserve the mutual information
between the input and the output of the models is less than the number of
parameters to be inferred. Numerical applications to linear and nonlinear
models are used to assess the efficiency of the proposed approaches, and to
highlight their advantages compared to standard approaches based on the
principal component analysis of the observations
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