Nonparametric Estimation of Multi-View Latent Variable Models

Spectral methods have greatly advanced the estimation of latent variable models, generating a sequence of novel and efficient algorithms with strong theoretical guarantees. However, current spectral algorithms are largely restricted to mixtures of discrete or Gaussian distributions. In this paper, we propose a kernel method for learning multi-view latent variable models, allowing each mixture component to be nonparametric. The key idea of the method is to embed the joint distribution of a multi-view latent variable into a reproducing kernel Hilbert space, and then the latent parameters are recovered using a robust tensor power method. We establish that the sample complexity for the proposed method is quadratic in the number of latent components and is a low order polynomial in the other relevant parameters. Thus, our non-parametric tensor approach to learning latent variable models enjoys good sample and computational efficiencies. Moreover, the non-parametric tensor power method compares favorably to EM algorithm and other existing spectral algorithms in our experiments

Tensor decompositions for learning latent variable models

This work considers a computationally and statistically efficient parameter estimation method for a wide class of latent variable models---including Gaussian mixture models, hidden Markov models, and latent Dirichlet allocation---which exploits a certain tensor structure in their low-order observable moments (typically, of second- and third-order). Specifically, parameter estimation is reduced to the problem of extracting a certain (orthogonal) decomposition of a symmetric tensor derived from the moments; this decomposition can be viewed as a natural generalization of the singular value decomposition for matrices. Although tensor decompositions are generally intractable to compute, the decomposition of these specially structured tensors can be efficiently obtained by a variety of approaches, including power iterations and maximization approaches (similar to the case of matrices). A detailed analysis of a robust tensor power method is provided, establishing an analogue of Wedin's perturbation theorem for the singular vectors of matrices. This implies a robust and computationally tractable estimation approach for several popular latent variable models

A sparse decomposition of low rank symmetric positive semi-definite matrices

Suppose that $A \in \mathbb{R}^{N \times N}$ is symmetric positive semidefinite with rank $K \le N$. Our goal is to decompose $A$ into $K$ rank-one matrices $\sum_{k=1}^K g_k g_k^T$ where the modes $\{g_{k}\}_{k=1}^K$ are required to be as sparse as possible. In contrast to eigen decomposition, these sparse modes are not required to be orthogonal. Such a problem arises in random field parametrization where $A$ is the covariance function and is intractable to solve in general. In this paper, we partition the indices from 1 to $N$ into several patches and propose to quantify the sparseness of a vector by the number of patches on which it is nonzero, which is called patch-wise sparseness. Our aim is to find the decomposition which minimizes the total patch-wise sparseness of the decomposed modes. We propose a domain-decomposition type method, called intrinsic sparse mode decomposition (ISMD), which follows the "local-modes-construction + patching-up" procedure. The key step in the ISMD is to construct local pieces of the intrinsic sparse modes by a joint diagonalization problem. Thereafter a pivoted Cholesky decomposition is utilized to glue these local pieces together. Optimal sparse decomposition, consistency with different domain decomposition and robustness to small perturbation are proved under the so called regular-sparse assumption (see Definition 1.2). We provide simulation results to show the efficiency and robustness of the ISMD. We also compare the ISMD to other existing methods, e.g., eigen decomposition, pivoted Cholesky decomposition and convex relaxation of sparse principal component analysis [25] and [40]

Fast and accurate con-eigenvalue algorithm for optimal rational approximations

The need to compute small con-eigenvalues and the associated con-eigenvectors of positive-definite Cauchy matrices naturally arises when constructing rational approximations with a (near) optimally small $L^{\infty}$ error. Specifically, given a rational function with $n$ poles in the unit disk, a rational approximation with $m\ll n$ poles in the unit disk may be obtained from the $m$th con-eigenvector of an $n\times n$ Cauchy matrix, where the associated con-eigenvalue $\lambda_{m}>0$ gives the approximation error in the $L^{\infty}$ norm. Unfortunately, standard algorithms do not accurately compute small con-eigenvalues (and the associated con-eigenvectors) and, in particular, yield few or no correct digits for con-eigenvalues smaller than the machine roundoff. We develop a fast and accurate algorithm for computing con-eigenvalues and con-eigenvectors of positive-definite Cauchy matrices, yielding even the tiniest con-eigenvalues with high relative accuracy. The algorithm computes the $m$th con-eigenvalue in $\mathcal{O}(m^{2}n)$ operations and, since the con-eigenvalues of positive-definite Cauchy matrices decay exponentially fast, we obtain (near) optimal rational approximations in $\mathcal{O}(n(\log\delta^{-1})^{2})$ operations, where $\delta$ is the approximation error in the $L^{\infty}$ norm. We derive error bounds demonstrating high relative accuracy of the computed con-eigenvalues and the high accuracy of the unit con-eigenvectors. We also provide examples of using the algorithm to compute (near) optimal rational approximations of functions with singularities and sharp transitions, where approximation errors close to machine precision are obtained. Finally, we present numerical tests on random (complex-valued) Cauchy matrices to show that the algorithm computes all the con-eigenvalues and con-eigenvectors with nearly full precision