In this paper we address the problem of estimating the ratio @math where @math is a density function and @math is another density, or, more generally an arbitrary function. Knowing or approximating this ratio is needed in various problems of inference and integration, in particular, when one needs to average a function with respect to one probability distribution, given a sample from another. It is often referred as importance sampling in statistical inference and is also closely related to the problem of covariate shift in transfer learning as well as to various MCMC methods. It may also be useful for separating the underlying geometry of a space, say a manifold, from the density function defined on it. Our approach is based on reformulating the problem of estimating @math as an inverse problem in terms of an integral operator corresponding to a kernel, and thus reducing it to an integral equation, known as the Fredholm problem of the first kind. This formulation, combined with the techniques of regularization and kernel methods, leads to a principled kernel-based framework for constructing algorithms and for analyzing them theoretically. The resulting family of algorithms (FIRE, for Fredholm Inverse Regularized Estimator) is flexible, simple and easy to implement. We provide detailed theoretical analysis including concentration bounds and convergence rates for the Gaussian kernel in the case of densities defined on @math , compact domains in @math and smooth @math -dimensional sub-manifolds of the Euclidean space. We also show experimental results including applications to classification and semi-supervised learning within the covariate shift framework and demonstrate some encouraging experimental comparisons. We also show how the parameters of our algorithms can be chosen in a completely unsupervised manner.
The algorithm most closely related to our approach is Kernel Mean Matching (KMM) @cite_16 . KMM is based on the observation that @math , where @math is the feature map corresponding to an RKHS @math . It is rewritten as an optimization problem The quantity on the right can be estimated given a sample from @math and a sample from @math and the minimization becomes a quadratic optimization problem over the values of @math at the points sampled from @math . Writing down the feature map explicitly, i.e., recalling that @math , we see that the equality @math is equivalent to the integral equation Eq. considered as an identity in the Hilbert space @math . Thus the problem of KMM can be viewed within our setting Type I (see the Remark 2 in the introduction), with a RKHS norm but a different optimization algorithm.
@cite_16
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We describe several families of k-mer based string kernels related to the recently presented mismatch kernel and designed for use with support vector machines (SVMs) for classification of protein sequence data. These new kernels -- restricted gappy kernels, substitution kernels, and wildcard kernels -- are based on feature spaces indexed by k-length subsequences ("k-mers") from the string alphabet &#931. However, for all kernels we define here, the kernel value K(x,y) can be computed in O(cK(|x|+|y|)) time, where the constant cK depends on the parameters of the kernel but is independent of the size |&#931| of the alphabet. Thus the computation of these kernels is linear in the length of the sequences, like the mismatch kernel, but we improve upon the parameter-dependent constant cK = km+1|&#931|m of the (k,m)-mismatch kernel. We compute the kernels efficiently using a trie data structure and relate our new kernels to the recently described transducer formalism. In protein classification experiments on two benchmark SCOP data sets, we show that our new faster kernels achieve SVM classification performance comparable to the mismatch kernel and the Fisher kernel derived from profile hidden Markov models, and we investigate the dependence of the kernels on parameter choice. We present a geometric formulation of the Multiple Kernel Learning (MKL) problem. To do so, we reinterpret the problem of learning kernel weights as searching for a kernel that maximizes the minimum (kernel) distance between two convex polytopes. This interpretation combined with novel structural insights from our geometric formulation allows us to reduce the MKL problem to a simple optimization routine that yields provable convergence as well as quality guarantees. As a result our method scales efficiently to much larger data sets than most prior methods can handle. Empirical evaluation on eleven datasets shows that we are significantly faster and even compare favorably with a uniform unweighted combination of kernels. In real supervised learning scenarios, it is not uncommon that the training and test sample follow different probability distributions, thus rendering the necessity to correct the sampling bias. Focusing on a particular covariate shift problem, we derive high probability confidence bounds for the kernel mean matching (KMM) estimator, whose convergence rate turns out to depend on some regularity measure of the regression function and also on some capacity measure of the kernel. By comparing KMM with the natural plug-in estimator, we establish the superiority of the former hence provide concrete evidence understanding to the effectiveness of KMM under covariate shift. We give efficient algorithms for volume sampling, i.e., for picking @math -subsets of the rows of any given matrix with probabilities proportional to the squared volumes of the simplices defined by them and the origin (or the squared volumes of the parallelepipeds defined by these subsets of rows). In other words, we can efficiently sample @math -subsets of @math with probabilities proportional to the corresponding @math by @math principal minors of any given @math by @math positive semi definite matrix. This solves an open problem from the monograph on spectral algorithms by Kannan and Vempala (see Section @math of KV , also implicit in BDM, DRVW ). Our first algorithm for volume sampling @math -subsets of rows from an @math -by- @math matrix runs in @math arithmetic operations (where @math is the exponent of matrix multiplication) and a second variant of it for @math -approximate volume sampling runs in @math arithmetic operations, which is almost linear in the size of the input (i.e., the number of entries) for small @math . Our efficient volume sampling algorithms imply the following results for low-rank matrix approximation: (1) Given @math , in @math arithmetic operations we can find @math of its rows such that projecting onto their span gives a @math -approximation to the matrix of rank @math closest to @math under the Frobenius norm. This improves the @math -approximation of Boutsidis, Drineas and Mahoney BDM and matches the lower bound shown in DRVW . The method of conditional expectations gives a algorithm with the same complexity. The running time can be improved to @math at the cost of losing an extra @math in the approximation factor. (2) The same rows and projection as in the previous point give a @math -approximation to the matrix of rank @math closest to @math under the spectral norm. In this paper, we show an almost matching lower bound of @math , even for @math .