Learning parameters from voluminous data can be prohibitive in terms of memory and computational requirements. We propose a "compressive learning" framework where we estimate model parameters from a sketch of the training data. This sketch is a collection of generalized moments of the underlying probability distribution of the data. It can be computed in a single pass on the training set, and is easily computable on streams or distributed datasets. The proposed framework shares similarities with compressive sensing, which aims at drastically reducing the dimension of high-dimensional signals while preserving the ability to reconstruct them. To perform the estimation task, we derive an iterative algorithm analogous to sparse reconstruction algorithms in the context of linear inverse problems. We exemplify our framework with the compressive estimation of a Gaussian Mixture Model (GMM), providing heuristics on the choice of the sketching procedure and theoretical guarantees of reconstruction. We experimentally show on synthetic data that the proposed algorithm yields results comparable to the classical Expectation-Maximization (EM) technique while requiring significantly less memory and fewer computations when the number of database elements is large. We further demonstrate the potential of the approach on real large-scale data (over 10 8 training samples) for the task of model-based speaker verification. Finally, we draw some connections between the proposed framework and approximate Hilbert space embedding of probability distributions using random features. We show that the proposed sketching operator can be seen as an innovative method to design translation-invariant kernels adapted to the analysis of GMMs. We also use this theoretical framework to derive information preservation guarantees, in the spirit of infinite-dimensional compressive sensing.
Embedding of probability distributions in RKHS with the Mean Map has been successfully used for a large variety of tasks, such as two-sample test @cite_71 , classification @cite_91 or even performing algebraic operations on distributions @cite_92 . In @cite_97 , the estimation of a mixture model with respect to the metric of the RKHS is considered with a greedy algorithm. The proposed algorithm is however designed to approximate the target distribution by a large mixture with many components, resulting in an approximation error that decreases as the number of components increases, while our approach considers as a sparse'' combination of a fixed, limited number of components which we aim at identifying. Furthermore, unlike our method that uses RFFs to obtain an efficient algorithm, the algorithm proposed in @cite_97 does not seem to be directly implementable.
@cite_92 @cite_97 @cite_91 @cite_71
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This paper proposes an efficient mixture model for establishing robust point correspondences between two sets of points under multi-layer motion. Our algorithm starts by creating a set of putative correspondences which can contain a number of false correspondences, or outliers, in addition to the true correspondences (inliers). Next we solve for correspondence by interpolating a set of spatial transformations on the putative correspondence set based on a mixture model, which involves estimating a consensus of inlier points whose matching follows a non-parametric geometrical constraint. We formulate this as a maximum a posteriori (MAP) estimation of a Bayesian model with hidden latent variables indicating whether matches in the putative set are outliers or inliers. We impose non-parametric geometrical constraints on the correspondence, as a prior distribution, in a reproducing kernel Hilbert space (RKHS). MAP estimation is performed by the EM algorithm which by also estimating the variance of the prior model (initialized to a large value) is able to obtain good estimates very quickly (e.g., avoiding many of the local minima inherent in this formulation). We further provide a fast implementation based on sparse approximation which can achieve a significant speed-up without much performance degradation. We illustrate the proposed method on 2D and 3D real images for sparse feature correspondence, as well as a public available dataset for shape matching. The quantitative results demonstrate that our method is robust to non-rigid deformation and multi-layer large discontinuous motion. We analyze mixture density approximation and estimation. We form a convex set of density functions by taking the convex hull of a parametric family, e.g. mixtures of the Gaussian location family. A sequence of finite mixture densities is formulated to provide a parsimonious approximation for the target density. If the target density itself is in the convex hull, we show that the approximation error goes to zero with a rate of 1 k, where k is the number of components in the approximation. If the target density is outside of the convex hull, the approximation error is equal to the best achievable error plus a term that goes to zero with a rate of 1 k. A greedy algorithm that introduces one component at each step is shown to achieve such an error rate. Similarly, a greedy estimation algorithm is provided to find such approximation for data from an arbitrary density. This algorithm estimates one mixture component at one time. We prove that such an algorithm achieves a likelihood nearly as good as the MLE (maximum likelihood estimate) over the whole convex hull. And we identify the difference as being bounded by order O(1 k), where k is the number of components in the estimate. Risks of such estimators are shown to be bounded by a sum of approximation error and estimation error. The error terms are identified. An optimal choice of k can be derived by minimizing the risk bound. Acting as a similar role as the bandwidth in non-parainetric density estimation, k controls two error terms in opposite directions. A large k reduces approximation error and increases estimation error. A MDL (minimum description length) principle is derived to provide an estimation method for k. And the estimated k is shown to achieve the risk bound as if we know the best k in advance. A new information projection theory is derived to expand the approximating class to include its information closure. We prove the existence and uniqueness of a f* in the closure of the convex hull C (in a sense we identify), such that D ( fpf* ) = infg∈CD fpg , where Dfpg is the Kullback-Leibler divergence. And log(fk) → log(f*) in L1 (f) for any sequence fk in C with Dfpfk→ infg∈CD fpg. Other characterizing properties of f* are also given. This paper proposes an unsupervised algorithm for learning a finite mixture model from multivariate data. The adjective "unsupervised" is justified by two properties of the algorithm: 1) it is capable of selecting the number of components and 2) unlike the standard expectation-maximization (EM) algorithm, it does not require careful initialization. The proposed method also avoids another drawback of EM for mixture fitting: the possibility of convergence toward a singular estimate at the boundary of the parameter space. The novelty of our approach is that we do not use a model selection criterion to choose one among a set of preestimated candidate models; instead, we seamlessly integrate estimation and model selection in a single algorithm. Our technique can be applied to any type of parametric mixture model for which it is possible to write an EM algorithm; in this paper, we illustrate it with experiments involving Gaussian mixtures. These experiments testify for the good performance of our approach. A Hilbert space embedding of a distribution---in short, a kernel mean embedding---has recently emerged as a powerful tool for machine learning and inference. The basic idea behind this framework is to map distributions into a reproducing kernel Hilbert space (RKHS) in which the whole arsenal of kernel methods can be extended to probability measures. It can be viewed as a generalization of the original "feature map" common to support vector machines (SVMs) and other kernel methods. While initially closely associated with the latter, it has meanwhile found application in fields ranging from kernel machines and probabilistic modeling to statistical inference, causal discovery, and deep learning. The goal of this survey is to give a comprehensive review of existing work and recent advances in this research area, and to discuss the most challenging issues and open problems that could lead to new research directions. The survey begins with a brief introduction to the RKHS and positive definite kernels which forms the backbone of this survey, followed by a thorough discussion of the Hilbert space embedding of marginal distributions, theoretical guarantees, and a review of its applications. The embedding of distributions enables us to apply RKHS methods to probability measures which prompts a wide range of applications such as kernel two-sample testing, independent testing, and learning on distributional data. Next, we discuss the Hilbert space embedding for conditional distributions, give theoretical insights, and review some applications. The conditional mean embedding enables us to perform sum, product, and Bayes' rules---which are ubiquitous in graphical model, probabilistic inference, and reinforcement learning---in a non-parametric way. We then discuss relationships between this framework and other related areas. Lastly, we give some suggestions on future research directions. In this paper, a novel algorithm to blindly separate an instantaneous linear underdetermined mixture of nonstationary sources is proposed. It means that the number of sources exceeds the number of channels of the available data. The separation is based on the working assumption that the sources are piecewise stationary with a different variance in each block. It proceeds in two steps: 1) estimating the mixing matrix, and 2) computing the optimum beamformer in each block to maximize the signal-to-interference ratio of each separated signal with respect to the remaining signals. Estimating the mixing matrix is accomplished through a specialized tensor decomposition of the set of sample covariance matrices of the received mixture in each block. It utilizes optimum weighting, which allows statistically efficient (CRB attaining) estimation provided that the data obey the assumed Gaussian piecewise stationary model. In simulations, performance of the algorithm is successfully tested on blind separation of 16 speech signals from nine linear instantaneous mixtures of these signals. A Hilbert space embedding for probability measures has recently been proposed, with applications including dimensionality reduction, homogeneity testing, and independence testing. This embedding represents any probability measure as a mean element in a reproducing kernel Hilbert space (RKHS). A pseudometric on the space of probability measures can be defined as the distance between distribution embeddings: we denote this as γk, indexed by the kernel function k that defines the inner product in the RKHS. We present three theoretical properties of γk. First, we consider the question of determining the conditions on the kernel k for which γk is a metric: such k are denoted characteristic kernels. Unlike pseudometrics, a metric is zero only when two distributions coincide, thus ensuring the RKHS embedding maps all distributions uniquely (i.e., the embedding is injective). While previously published conditions may apply only in restricted circumstances (e.g., on compact domains), and are difficult to check, our conditions are straightforward and intuitive: integrally strictly positive definite kernels are characteristic. Alternatively, if a bounded continuous kernel is translation-invariant on ℜd, then it is characteristic if and only if the support of its Fourier transform is the entire ℜd. Second, we show that the distance between distributions under γk results from an interplay between the properties of the kernel and the distributions, by demonstrating that distributions are close in the embedding space when their differences occur at higher frequencies. Third, to understand the nature of the topology induced by γk, we relate γk to other popular metrics on probability measures, and present conditions on the kernel k under which γk metrizes the weak topology. In previous work on "transformed mixtures of Gaussians" and "transformed hidden Markov models", we showed how the EM algorithm in a discrete latent variable model can be used to jointly normalize data (e.g., center images, pitch-normalize spectrograms) and learn a mixture model of the normalized data. The only input to the algorithm is the data, a list of possible transformations, and the number of clusters to find. The main criticism of this work was that the exhaustive computation of the posterior probabilities over transformations would make scaling up to large feature vectors and large sets of transformations intractable. Here, we describe how a tremendous speed-up is acheived through the use of a variational technique for decoupling transformations, and a fast Fourier transform method for computing posterior probabilities. For N × N images, learning C clusters under N rotations, N scales, N x-translations and N y-translations takes only (C + 2 log N)N2 scalar operations per iteration. In contrast, the original algorithm takes CN6 operations to account for these transformations. We give results on learning a 4-component mixture model from a video sequence with frames of size 320×240. The model accounts for 360 rotations and 76,800 translations. Each iteration of EM takes only 10 seconds per frame in MATLAB, which is over 5 million times faster than the original algorithm. We propose a method to forecast a vehicle’s ego-motion as a distribution over spatiotemporal paths, conditioned on features (e.g., from LIDAR and images) embedded in an overhead map. The method learns a policy inducing a distribution over simulated trajectories that is both “diverse” (produces most of the likely paths) and “precise” (mostly produces likely paths). This balance is achieved through minimization of a symmetrized cross-entropy between the distribution and demonstration data. By viewing the simulated-outcome distribution as the pushforward of a simple distribution under a simulation operator, we obtain expressions for the cross-entropy metrics that can be efficiently evaluated and differentiated, enabling stochastic-gradient optimization. We propose concrete policy architectures for this model, discuss our evaluation metrics relative to previously-used degenerate metrics, and demonstrate the superiority of our method relative to state-of-the-art methods in both the Kitti dataset and a similar but novel and larger real-world dataset explicitly designed for the vehicle forecasting domain. In recent years analysis of complexity of learning Gaussian mixture models from sampled data has received significant attention in computational machine learning and theory communities. In this paper we present the first result showing that polynomial time learning of multidimensional Gaussian Mixture distributions is possible when the separation between the component means is arbitrarily small. Specifically, we present an algorithm for learning the parameters of a mixture of k identical spherical Gaussians in n-dimensional space with an arbitrarily small separation between the components, which is polynomial in dimension, inverse component separation and other input parameters for a fixed number of components k. The algorithm uses a projection to k dimensions and then a reduction to the 1-dimensional case. It relies on a theoretical analysis showing that two 1-dimensional mixtures whose densities are close in the L norm must have similar means and mixing coefficients. To produce the necessary lower bound for the L norm in terms of the distances between the corresponding means, we analyze the behavior of the Fourier transform of a mixture of Gaussians in one dimension around the origin, which turns out to be closely related to the properties of the Vandermonde matrix obtained from the component means. Analysis of minors of the Vandermonde matrix together with basic function approximation results allows us to provide a lower bound for the norm of the mixture in the Fourier domain and hence a bound in the original space. Additionally, we present a separate argument for reconstructing variance. We introduce and investigate a new model of learning probability distributions from independent draws. Our model is inspired by the popular Probably Approximately Correct (PAC) model for learning boolean functions from labeled examples [24], in the sense that we emphasize efficient and approximate learning, and we study the learnability of restricted classes of target distributions. The dist ribut ion classes we examine are often defined by some simple computational mechanism for transforming a truly random string of input bits (which is not visible to the learning algorithm) into the stochastic observation (output) seen by the learning algorithm. In this paper, we concentrate on discrete distributions over O, I n. The problem of inferring an approximation to an unknown probability distribution on the basis of independent draws has a long and complex history in the pattern recognition and statistics literature. For instance, the problem of estimating the parameters of a Gaussian density in highdimensional space is one of the most studied statistical problems. Distribution learning problems have often been investigated in the context of unsupervised learning, in which a linear mixture of two or more distributions is generating the observations, and the final goal is not to model the distributions themselves, but to predict from which distribution each observation was drawn. Data clustering methods are a common tool here. There is also a large literature on nonpararnetric density estimation, in which no assumptions are made on the unknown target density. Nearest-neighbor approaches to the unsupervised learning problem often arise in the nonparametric setting. While we obviously cannot do justice to these areas here, the books of Duda and Hart [9] and Vapnik [25] provide excellent overviews and introductions to the pattern recognition work, as well as many pointers for further reading. See also Izenman’s recent survey article [16]. Roughly speaking, our work departs from the traditional statistical and pattern recognition approaches in two ways. First, we place explicit emphasis on the comput ationrd complexity of distribution learning. It seems fair to say that while previous research has provided an excellent understanding of the information-theoretic issues involved in dis- Given a set of points @math , the k-means clustering problem is to find a set of k centers @math , such that the objective function ? x?P e(x,C)2, where e(x,C) denotes the Euclidean distance between x and the closest center in C, is minimized. This is one of the most prominent objective functions that has been studied with respect to clustering. D 2-sampling (Arthur and Vassilvitskii, Proceedings of the Eighteenth Annual ACM-SIAM Symposium on Discrete Algorithms, SODA'07, pp. 1027---1035, SIAM, Philadelphia, 2007) is a simple non-uniform sampling technique for choosing points from a set of points. It works as follows: given a set of points @math , the first point is chosen uniformly at random from P. Subsequently, a point from P is chosen as the next sample with probability proportional to the square of the distance of this point to the nearest previously sampled point. D 2-sampling has been shown to have nice properties with respect to the k-means clustering problem. Arthur and Vassilvitskii (Proceedings of the Eighteenth Annual ACM-SIAM Symposium on Discrete Algorithms, SODA'07, pp. 1027---1035, SIAM, Philadelphia, 2007) show that k points chosen as centers from P using D 2-sampling give an O(logk) approximation in expectation. (NIPS, pp. 10---18, 2009) and (Approximation, Randomization, and Combinatorial Optimization. Algorithms and Techniques, pp. 15---28, Springer, Berlin, 2009) extended results of Arthur and Vassilvitskii (Proceedings of the Eighteenth Annual ACM-SIAM Symposium on Discrete Algorithms, SODA'07, pp. 1027---1035, SIAM, Philadelphia, 2007) to show that O(k) points chosen as centers using D 2-sampling give an O(1) approximation to the k-means objective function with high probability. In this paper, we further demonstrate the power of D 2-sampling by giving a simple randomized (1+∈)-approximation algorithm that uses the D 2-sampling in its core. Given data drawn from a mixture of multivariate Gaussians, a basic problem is to accurately estimate the mixture parameters. We give an algorithm for this problem that has running time and data requirements polynomial in the dimension and the inverse of the desired accuracy, with provably minimal assumptions on the Gaussians. As a simple consequence of our learning algorithm, we we give the first polynomial time algorithm for proper density estimation for mixtures of k Gaussians that needs no assumptions on the mixture. It was open whether proper density estimation was even statistically possible (with no assumptions) given only polynomially many samples, let alone whether it could be computationally efficient. The building blocks of our algorithm are based on the work (Kalai , STOC 2010) that gives an efficient algorithm for learning mixtures of two Gaussians by considering a series of projections down to one dimension, and applying the method of moments to each univariate projection. A major technical hurdle in the previous work is showing that one can efficiently learn univariate mixtures of two Gaussians. In contrast, because pathological scenarios can arise when considering projections of mixtures of more than two Gaussians, the bulk of the work in this paper concerns how to leverage a weaker algorithm for learning univariate mixtures (of many Gaussians) to learn in high dimensions. Our algorithm employs hierarchical clustering and rescaling, together with methods for backtracking and recovering from the failures that can occur in our univariate algorithm. Finally, while the running time and data requirements of our algorithm depend exponentially on the number of Gaussians in the mixture, we prove that such a dependence is necessary. We study the compressed sensing reconstruction problem for a broad class of random, band-diagonal sensing matrices. This construction is inspired by the idea of spatial coupling in coding theory. As demonstrated heuristically and numerically by Krzakala [30], message passing algorithms can effectively solve the reconstruction problem for spatially coupled measurements with undersampling rates close to the fraction of nonzero coordinates. We use an approximate message passing (AMP) algorithm and analyze it through the state evolution method. We give a rigorous proof that this approach is successful as soon as the undersampling rate δ exceeds the (upper) Renyi information dimension of the signal, d(pX). More precisely, for a sequence of signals of diverging dimension n whose empirical distribution converges to pX, reconstruction is with high probability successful from d(pX) n+o(n) measurements taken according to a band diagonal matrix. For sparse signals, i.e., sequences of dimension n and k(n) nonzero entries, this implies reconstruction from k(n)+o(n) measurements. For “discrete” signals, i.e., signals whose coordinates take a fixed finite set of values, this implies reconstruction from o(n) measurements. The result is robust with respect to noise, does not apply uniquely to random signals, but requires the knowledge of the empirical distribution of the signal pX. We give an algorithm for learning a mixture of unstructured distributions. This problem arises in various unsupervised learning scenarios, for example in learning topic models from a corpus of documents spanning several topics. We show how to learn the constituents of a mixture of k arbitrary distributions over a large discrete domain [n]= 1, 2, ...,n and the mixture weights, using O(n polylog n) samples. (In the topic-model learning setting, the mixture constituents correspond to the topic distributions.) This task is information-theoretically impossible for k > 1 under the usual sampling process from a mixture distribution. However, there are situations (such as the above-mentioned topic model case) in which each sample point consists of several observations from the same mixture constituent. This number of observations, which we call the "sampling aperture", is a crucial parameter of the problem. We obtain the first bounds for this mixture-learning problem without imposing any assumptions on the mixture constituents. We show that efficient learning is possible exactly at the information-theoretically least-possible aperture of 2k-1. Thus, we achieve near-optimal dependence on n and optimal aperture. While the sample-size required by our algorithm depends exponentially on k, we prove that such a dependence is unavoidable when one considers general mixtures. A sequence of tools contribute to the algorithm, such as concentration results for random matrices, dimension reduction, moment estimations, and sensitivity analysis. This article concerns the greedy learning of gaussian mixtures. In the greedy approach, mixture components are inserted into the mixture one after the other. We propose a heuristic for searching for the optimal component to insert. In a randomized manner, a set of candidate new components is generated. For each of these candidates, we find the locally optimal new component and insert it into the existing mixture. The resulting algorithm resolves the sensitivity to initialization of state-of-the-art methods, like expectation maximization, and has running time linear in the number of data points and quadratic in the (final) number of mixture components. Due to its greedy nature, the algorithm can be particularly useful when the optimal number of mixture components is unknown. Experimental results comparing the proposed algorithm to other methods on density estimation and texture segmentation are provided. Motivated by an application to unsupervised part-of-speech tagging, we present an algorithm for the Euclidean embedding of large sets of categorical data based on co-occurrence statistics. We use the CODE model of but constrain the embedding to lie on a high-dimensional unit sphere. This constraint allows for efficient optimization, even in the case of large datasets and high embedding dimensionality. Using k-means clustering of the embedded data, our approach efficiently produces state-of-the-art results. We analyze the reasons why the sphere constraint is beneficial in this application, and conjecture that these reasons might apply quite generally to other large-scale tasks. Given a real matrix A∈Rm×n of rank r, and an integer k<r, the sum of the outer products of top k singular vectors scaled by the corresponding singular values provide the best rank-k approximation Ak to A. When the columns of A have specific meaning, it might be desirable to find good approximations to Ak which use a small number of columns of A. This paper provides a simple greedy algorithm for this problem in Frobenius norm, with guarantees on the performance and the number of columns chosen. The algorithm selects c columns from A with c=O(klogkϵ2η2(A)) such that ‖A−ΠCA‖F≤(1+ϵ)‖A−Ak‖F, where C is the matrix composed of the c columns, ΠC is the matrix projecting the columns of A onto the space spanned by C and η(A) is a measure related to the coherence in the normalized columns of A. The algorithm is quite intuitive and is obtained by combining a greedy solution to the generalization of the well known sparse approximation problem and an existence result on the possibility of sparse approximation. We provide empirical results on various specially constructed matrices comparing our algorithm with the previous deterministic approaches based on QR factorizations and a recently proposed randomized algorithm. The results indicate that in practice, the performance of the algorithm can be significantly better than the bounds suggest. A nonparametric kernel-based method for realizing Bayes' rule is proposed, based on representations of probabilities in reproducing kernel Hilbert spaces. Probabilities are uniquely characterized by the mean of the canonical map to the RKHS. The prior and conditional probabilities are expressed in terms of RKHS functions of an empirical sample: no explicit parametric model is needed for these quantities. The posterior is likewise an RKHS mean of a weighted sample. The estimator for the expectation of a function of the posterior is derived, and rates of consistency are shown. Some representative applications of the kernel Bayes' rule are presented, including Baysian computation without likelihood and filtering with a nonparametric state-space model. We report on a novel technique called spatial coupling and its application in the analysis of random constraint satisfaction problems (CSP). Spatial coupling was invented as an engineering construction in the area of error correcting codes where it has resulted in efficient capacity-achieving codes for a wide range of channels. However, this technique is not limited to problems in communications, and can be applied in the much broader context of graphical models. We describe here a general methodology for applying spatial coupling to random constraint satisfaction problems and obtain lower bounds for their (rough) satisfiability threshold. The main idea is to construct a distribution of geometrically structured random K-SAT instances - namely the spatially coupled ensemble - which has the same (rough) satisfiability threshold, and is at the same time algorithmically easier to solve. Then by running well-known algorithms on the spatially coupled ensemble we obtain a lower bound on the (rough) satisfiability threshold of the original ensemble. The method is versatile because one can choose the CSP, there is a certain amount of freedom in the construction of the spatially coupled ensemble, and also in the choice of the algorithm. In this work we focus on random K-SAT but we have also checked that the method is successful for Coloring, NAE-SAT and XOR-SAT. We choose Unit Clause propagation for the algorithm which is analyzed over the spatially coupled instances. For K = 3, for instance, our lower bound is equal to 3.67 which is better than the current bounds in the literature. Similarly, for graph 3-colorability we get a bound of 2.22 which is also better than the current bounds in the literature. In this paper, we propose a density-based clusters' representatives selection algorithm that identifies the most central patterns from the dense regions in the dataset. The method, which has been implemented using two different strategies, is applicable to input spaces with no trivial geometry. Our approach exploits a probability density function built through the Parzen estimator, which relies on a (not necessarily metric) dissimilarity measure. Being a representatives extractor a general-purpose algorithm, our method is obviously applicable in different contexts. However, to test the proposed procedure, we specifically consider the problem of initializing the k-means algorithm. We face problems defined on standard real-valued vectors, labeled graphs, and finally sequences of real-valued vectors and sequences of characters. The obtained results demonstrate the effectiveness of the proposed representative selection method with respect to other state-of-the-art solutions.