A Factor Graph Approach to Automated Design of Bayesian Signal Processing Algorithms

The benefits of automating design cycles for Bayesian inference-based algorithms are becoming increasingly recognized by the machine learning community. As a result, interest in probabilistic programming frameworks has much increased over the past few years. This paper explores a specific probabilistic programming paradigm, namely message passing in Forney-style factor graphs (FFGs), in the context of automated design of efficient Bayesian signal processing algorithms. To this end, we developed "ForneyLab" (https://github.com/biaslab/ForneyLab.jl) as a Julia toolbox for message passing-based inference in FFGs. We show by example how ForneyLab enables automatic derivation of Bayesian signal processing algorithms, including algorithms for parameter estimation and model comparison. Crucially, due to the modular makeup of the FFG framework, both the model specification and inference methods are readily extensible in ForneyLab. In order to test this framework, we compared variational message passing as implemented by ForneyLab with automatic differentiation variational inference (ADVI) and Monte Carlo methods as implemented by state-of-the-art tools "Edward" and "Stan". In terms of performance, extensibility and stability issues, ForneyLab appears to enjoy an edge relative to its competitors for automated inference in state-space models.Comment: Accepted for publication in the International Journal of Approximate Reasonin

Mondrian Forests for Large-Scale Regression when Uncertainty Matters

Many real-world regression problems demand a measure of the uncertainty associated with each prediction. Standard decision forests deliver efficient state-of-the-art predictive performance, but high-quality uncertainty estimates are lacking. Gaussian processes (GPs) deliver uncertainty estimates, but scaling GPs to large-scale data sets comes at the cost of approximating the uncertainty estimates. We extend Mondrian forests, first proposed by Lakshminarayanan et al. (2014) for classification problems, to the large-scale non-parametric regression setting. Using a novel hierarchical Gaussian prior that dovetails with the Mondrian forest framework, we obtain principled uncertainty estimates, while still retaining the computational advantages of decision forests. Through a combination of illustrative examples, real-world large-scale datasets, and Bayesian optimization benchmarks, we demonstrate that Mondrian forests outperform approximate GPs on large-scale regression tasks and deliver better-calibrated uncertainty assessments than decision-forest-based methods.Comment: Proceedings of the 19th International Conference on Artificial Intelligence and Statistics (AISTATS) 2016, Cadiz, Spain. JMLR: W&CP volume 5

Fixed-Form Variational Posterior Approximation through Stochastic Linear Regression

We propose a general algorithm for approximating nonstandard Bayesian posterior distributions. The algorithm minimizes the Kullback-Leibler divergence of an approximating distribution to the intractable posterior distribution. Our method can be used to approximate any posterior distribution, provided that it is given in closed form up to the proportionality constant. The approximation can be any distribution in the exponential family or any mixture of such distributions, which means that it can be made arbitrarily precise. Several examples illustrate the speed and accuracy of our approximation method in practice

A factor graph description of deep temporal active inference

Active inference is a corollary of the Free Energy Principle that prescribes how self-organizing biological agents interact with their environment. The study of active inference processes relies on the definition of a generative probabilistic model and a description of how a free energy functional is minimized by neuronal message passing under thatmodel. This paper presents a tutorial introduction to specifying active inference processes by Forney-style factor graphs (FFG). The FFG framework provides both an insightful representation of the probabilistic model and a biologically plausible inference scheme that, in principle, can be automatically executed in a computer simulation. As an illustrative example, we present an FFG for a deep temporal active inference process. The graph clearly shows how policy selection by expected free energy minimization results from free energy minimization per se, in an appropriate generative policy model

Nonparametric enrichment in computational and biological representations of distributions

This thesis proposes nonparametric techniques to enhance unsupervised learning methods in computational or biological contexts. Representations of intractable distributions and their relevant statistics are enhanced by nonparametric components trained to handle challenging estimation problems. The first part introduces a generic algorithm for learning generative latent variable models. In contrast to traditional variational learning, no representation for the intractable posterior distributions are computed, making it agnostic to the model structure and the support of latent variables. Kernel ridge regression is used to consistently estimate the gradient for learning. In many unsupervised tasks, this approach outperforms advanced alternatives based on the expectation-maximisation algorithm and variational approximate inference. In the second part, I train a model of data known as the kernel exponential family density. The kernel, used to describe smooth functions, is augmented by a parametric component trained using an efficient meta-learning procedure; meta-learning prevents overfitting as would occur using conventional routines. After training, the contours of the kernel become adaptive to the local geometry of the underlying density. Compared to maximum-likelihood learning, our method better captures the shape of the density, which is the desired quantity in many downstream applications. The final part sees how nonparametric ideas contribute to understanding uncertainty computation in the brain. First, I show that neural networks can learn to represent uncertainty using the distributed distributional code (DDC), a representation similar to the nonparametric kernel mean embedding. I then derive several DDC-based message-passing algorithms, including computations of filtering and real-time smoothing. The latter is a common neural computation embodied in many postdictive phenomena of perception in multiple modalities. The main idea behind these algorithms is least-squares regression, where the training data are simulated from an internal model. The internal model can be concurrently updated to follow the statistics in sensory stimuli, enabling adaptive inference