Variable selection in Gaussian processes (GPs) is typically undertaken by thresholding the inverse lengthscales of `automatic relevance determination' kernels, but in high-dimensional datasets this approach can be unreliable. A more probabilistically principled alternative is to use spike and slab priors and infer a posterior probability of variable inclusion. However, existing implementations in GPs are extremely costly to run in both high-dimensional and large-$n$ datasets, or are intractable for most kernels. As such, we develop a fast and scalable variational inference algorithm for the spike and slab GP that is tractable with arbitrary differentiable kernels. We improve our algorithm's ability to adapt to the sparsity of relevant variables by Bayesian model averaging over hyperparameters, and achieve substantial speed ups using zero temperature posterior restrictions, dropout pruning and nearest neighbour minibatching. In experiments our method consistently outperforms vanilla and sparse variational GPs whilst retaining similar runtimes (even when $n=10^6$) and performs competitively with a spike and slab GP using MCMC but runs up to $1000$ times faster.
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Bayesian mixture models are widely used for clustering of high-dimensional data with appropriate uncertainty quantification, but as the dimension increases, posterior inference often tends to favor too many or too few clusters. This article explains this behavior by studying the random partition posterior in a non-standard setting with a fixed sample size and increasing data dimensionality. We show conditions under which the finite sample posterior tends to either assign every observation to a different cluster or all observations to the same cluster as the dimension grows. Interestingly, the conditions do not depend on the choice of clustering prior, as long as all possible partitions of observations into clusters have positive prior probabilities, and hold irrespective of the true data-generating model. We then propose a class of latent mixtures for Bayesian clustering (Lamb) on a set of low-dimensional latent variables inducing a partition on the observed data. The model is amenable to scalable posterior inference and we show that it avoids the pitfalls of high-dimensionality under reasonable and mild assumptions. The proposed approach is shown to have good performance in simulation studies and an application to inferring cell types based on scRNAseq.
Machine learning algorithms perform well on identifying patterns in many different datasets due to their versatility. However, as one increases the size of the dataset, the computation time for training and using these statistical models grows quickly. Quantum computing offers a new paradigm which may have the ability to overcome these computational difficulties. Here, we propose a quantum analogue to K-means clustering, implement it on simulated superconducting qubits, and compare it to a previously developed quantum support vector machine. We find the algorithm's accuracy comparable to the classical K-means algorithm for clustering and classification problems, and find that it has asymptotic complexity $O(N^{3/2}K^{1/2}\log{P})$, where $N$ is the number of data points, $K$ is the number of clusters, and $P$ is the dimension of the data points, giving a significant speedup over the classical analogue.
When the data are sparse, optimization of hyperparameters of the kernel in Gaussian process regression by the commonly used maximum likelihood estimation (MLE) criterion often leads to overfitting. We show that choosing hyperparameters (in this case, kernel length parameter and regularization parameter) based on a criterion of the completeness of the basis in the corresponding linear regression problem is superior to MLE. We show that this is facilitated by the use of high-dimensional model representation (HDMR) whereby a low-order HDMR representation can provide reliable reference functions and large synthetic test data sets needed for basis parameter optimization even when the original data are few.
Surrogate modeling based on Gaussian processes (GPs) has received increasing attention in the analysis of complex problems in science and engineering. Despite extensive studies on GP modeling, the developments for functional inputs are scarce. Motivated by an inverse scattering problem in which functional inputs representing the support and material properties of the scatterer are involved in the partial differential equations, a new class of kernel functions for functional inputs is introduced for GPs. Based on the proposed GP models, the asymptotic convergence properties of the resulting mean squared prediction errors are derived and the finite sample performance is demonstrated by numerical examples. In the application to inverse scattering, a surrogate model is constructed with functional inputs, which is crucial to recover the reflective index of an inhomogeneous isotropic scattering region of interest for a given far-field pattern.
High-dimensional mean vector testing problem for two or more groups remain a very active research area. In these setting, traditional tests are not applicable because they involve the inversion of rank deficient group covariance matrix. In current approaches, this problem is addressed by simply looking at a test assuming a sparse or diagonal covariance matrix potentially ignoring complex dependency between features. In this paper, we develop a Bayes factor (BF) based testing procedure for comparing two or more population means in (very) high dimensional settings. Two versions of the Bayes factor based test statistics are considered which are based on a Random projection (RP) approach. RPs are appealing since they make not assumption about the form of the dependency across features in the data. The final test statistic is based on an ensemble of Bayes factors corresponding to multiple replications of randomly projected data. Both proposed test statistics are compared through a battery of simulation settings. Finally they are applied to the analysis of a publicly available genomic single cell RNA-seq (scRNA-seq) dataset.
We study the problem of exact support recovery for high-dimensional sparse linear regression when the signals are weak, rare and possibly heterogeneous. Specifically, we fix the minimum signal magnitude at the information-theoretic optimal rate and investigate the asymptotic selection accuracy of best subset selection (BSS) and marginal screening (MS) procedures under independent Gaussian design. Despite of the ideal setup, somewhat surprisingly, marginal screening can fail to achieve exact recovery with probability converging to one in the presence of heterogeneous signals, whereas BSS enjoys model consistency whenever the minimum signal strength is above the information-theoretic threshold. To mitigate the computational issue of BSS, we also propose a surrogate two-stage algorithm called ETS (Estimate Then Screen) based on iterative hard thresholding and gradient coordinate screening, and we show that ETS shares exactly the same asymptotic optimality in terms of exact recovery as BSS. Finally, we present a simulation study comparing ETS with LASSO and marginal screening. The numerical results echo with our asymptotic theory even for realistic values of the sample size, dimension and sparsity.
The covariance structure of multivariate functional data can be highly complex, especially if the multivariate dimension is large, making extensions of statistical methods for standard multivariate data to the functional data setting challenging. For example, Gaussian graphical models have recently been extended to the setting of multivariate functional data by applying multivariate methods to the coefficients of truncated basis expansions. However, a key difficulty compared to multivariate data is that the covariance operator is compact, and thus not invertible. The methodology in this paper addresses the general problem of covariance modeling for multivariate functional data, and functional Gaussian graphical models in particular. As a first step, a new notion of separability for the covariance operator of multivariate functional data is proposed, termed partial separability, leading to a novel Karhunen-Lo\`eve-type expansion for such data. Next, the partial separability structure is shown to be particularly useful in order to provide a well-defined functional Gaussian graphical model that can be identified with a sequence of finite-dimensional graphical models, each of identical fixed dimension. This motivates a simple and efficient estimation procedure through application of the joint graphical lasso. Empirical performance of the method for graphical model estimation is assessed through simulation and analysis of functional brain connectivity during a motor task. %Empirical performance of the method for graphical model estimation is assessed through simulation and analysis of functional brain connectivity during a motor task.
This paper proposes a method for modeling human driver interactions that relies on multi-output gaussian processes. The proposed method is developed as a refinement of the game theoretical hierarchical reasoning approach called "level-k reasoning" which conventionally assigns discrete levels of behaviors to agents. Although it is shown to be an effective modeling tool, the level-k reasoning approach may pose undesired constraints for predicting human decision making due to a limited number (usually 2 or 3) of driver policies it extracts. The proposed approach is put forward to fill this gap in the literature by introducing a continuous domain framework that enables an infinite policy space. By using the approach presented in this paper, more accurate driver models can be obtained, which can then be employed for creating high fidelity simulation platforms for the validation of autonomous vehicle control algorithms. The proposed method is validated on a real traffic dataset and compared with the conventional level-k approach to demonstrate its contributions and implications.
Stochastic gradient Markov chain Monte Carlo (SGMCMC) has become a popular method for scalable Bayesian inference. These methods are based on sampling a discrete-time approximation to a continuous time process, such as the Langevin diffusion. When applied to distributions defined on a constrained space, such as the simplex, the time-discretisation error can dominate when we are near the boundary of the space. We demonstrate that while current SGMCMC methods for the simplex perform well in certain cases, they struggle with sparse simplex spaces; when many of the components are close to zero. However, most popular large-scale applications of Bayesian inference on simplex spaces, such as network or topic models, are sparse. We argue that this poor performance is due to the biases of SGMCMC caused by the discretization error. To get around this, we propose the stochastic CIR process, which removes all discretization error and we prove that samples from the stochastic CIR process are asymptotically unbiased. Use of the stochastic CIR process within a SGMCMC algorithm is shown to give substantially better performance for a topic model and a Dirichlet process mixture model than existing SGMCMC approaches.
Robust estimation is much more challenging in high dimensions than it is in one dimension: Most techniques either lead to intractable optimization problems or estimators that can tolerate only a tiny fraction of errors. Recent work in theoretical computer science has shown that, in appropriate distributional models, it is possible to robustly estimate the mean and covariance with polynomial time algorithms that can tolerate a constant fraction of corruptions, independent of the dimension. However, the sample and time complexity of these algorithms is prohibitively large for high-dimensional applications. In this work, we address both of these issues by establishing sample complexity bounds that are optimal, up to logarithmic factors, as well as giving various refinements that allow the algorithms to tolerate a much larger fraction of corruptions. Finally, we show on both synthetic and real data that our algorithms have state-of-the-art performance and suddenly make high-dimensional robust estimation a realistic possibility.
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