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Register a new userHigh-Dimensional Probability Estimation with Deep Density Models
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One of the fundamental problems in machine learning is the estimation of a probability distribution from data. Many techniques have been proposed to study the structure of data, most often building around the assumption that observations lie on a lower-dimensional manifold of high probability. It has been more difficult, however, to exploit this insight to build explicit, tractable density models for high-dimensional data. In this paper, we introduce the deep density model (DDM), a new approach to density estimation. We exploit insights from deep learning to construct a bijective map to a representation space, under which the transformation of the distribution of the data is approximately factorized and has identical and known marginal densities. The simplicity of the latent distribution under the model allows us to feasibly explore it, and the invertibility of the map to characterize contraction of measure across it. This enables us to compute normalized densities for out-of-sample data. This combination of tractability and flexibility allows us to tackle a variety of probabilistic tasks on high-dimensional datasets, including: rapid computation of normalized densities at test-time without evaluating a partition function; generation of samples without MCMC; and characterization of the joint entropy of the data.
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A common setting for scientific inference is the ability to sample from a high-fidelity forward model (simulation) without having an explicit probability density of the data. We propose a simulation-based maximum likelihood deconvolution approach in this setting called OmniFold. Deep learning enables this approach to be naturally unbinned and (variable-, and) high-dimensional. In contrast to model parameter estimation, the goal of deconvolution is to remove detector distortions in order to enable a variety of down-stream inference tasks. Our approach is the deep learning generalization of the common Richardson-Lucy approach that is also called Iterative Bayesian Unfolding in particle physics. We show how OmniFold can not only remove detector distortions, but it can also account for noise processes and acceptance effects.
In this paper, a nonparametric maximum likelihood (ML) estimator for band-limited (BL) probability density functions (pdfs) is proposed. The BLML estimator is consistent and computationally efficient. To compute the BLML estimator, three approximate algorithms are presented: a binary quadratic programming (BQP) algorithm for medium scale problems, a Trivial algorithm for large-scale problems that yields a consistent estimate if the underlying pdf is strictly positive and BL, and a fast implementation of the Trivial algorithm that exploits the band-limited assumption and the Nyquist sampling theorem (BLMLQuick). All three BLML estimators outperform kernel density estimation (KDE) algorithms (adaptive and higher order KDEs) with respect to the mean integrated squared error for data generated from both BL and infinite-band pdfs. Further, the BLMLQuick estimate is remarkably faster than the KD algorithms. Finally, the BLML method is applied to estimate the conditional intensity function of a neuronal spike train (point process) recorded from a rats entorhinal cortex grid cell, for which it outperforms state-of-the-art estimators used in neuroscience.
We develop a general method for estimating a finite mixture of non-normalized models. Here, a non-normalized model is defined to be a parametric distribution with an intractable normalization constant. Existing methods for estimating non-normalized models without computing the normalization constant are not applicable to mixture models because they contain more than one intractable normalization constant. The proposed method is derived by extending noise contrastive estimation (NCE), which estimates non-normalized models by discriminating between the observed data and some artificially generated noise. We also propose an extension of NCE with multiple noise distributions. Then, based on the observation that conventional classification learning with neural networks is implicitly assuming an exponential family as a generative model, we introduce a method for clustering unlabeled data by estimating a finite mixture of distributions in an exponential family. Estimation of this mixture model is attained by the proposed extensions of NCE where the training data of neural networks are used as noise. Thus, the proposed method provides a probabilistically principled clustering method that is able to utilize a deep representation. Application to image clustering using a deep neural network gives promising results.
In this work, we study the transfer learning problem under high-dimensional generalized linear models (GLMs), which aim to improve the fit on target data by borrowing information from useful source data. Given which sources to transfer, we propose an oracle algorithm and derive its $ell_2$-estimation error bounds. The theoretical analysis shows that under certain conditions, when the target and source are sufficiently close to each other, the estimation error bound could be improved over that of the classical penalized estimator using only target data. When we dont know which sources to transfer, an algorithm-free transferable source detection approach is introduced to detect informative sources. The detection consistency is proved under the high-dimensional GLM transfer learning setting. Extensive simulations and a real-data experiment verify the effectiveness of our algorithms.
Short-term forecasting is an important tool in understanding environmental processes. In this paper, we incorporate machine learning algorithms into a conditional distribution estimator for the purposes of forecasting tropical cyclone intensity. Many machine learning techniques give a single-point prediction of the conditional distribution of the target variable, which does not give a full accounting of the prediction variability. Conditional distribution estimation can provide extra insight on predicted response behavior, which could influence decision-making and policy. We propose a technique that simultaneously estimates the entire conditional distribution and flexibly allows for machine learning techniques to be incorporated. A smooth model is fit over both the target variable and covariates, and a logistic transformation is applied on the model output layer to produce an expression of the conditional density function. We provide two examples of machine learning models that can be used, polynomial regression and deep learning models. To achieve computational efficiency we propose a case-control sampling approximation to the conditional distribution. A simulation study for four different data distributions highlights the effectiveness of our method compared to other machine learning-based conditional distribution estimation techniques. We then demonstrate the utility of our approach for forecasting purposes using tropical cyclone data from the Atlantic Seaboard. This paper gives a proof of concept for the promise of our method, further computational developments can fully unlock its insights in more complex forecasting and other applications.
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