An open problem in computer science: Machine Learning using Bayesian Inference

Ahmad Ashar
Group 256:Modelling and simulation Masters Thesis: Markov Chain Monte Carlo Methods Supervisor: Prof.Radu Trimbitas December 17, 2012

Introduction

Machine Learning is a discipline situated at the intersection of many subdisciplines. It involves Statistics, Decision Theory, Information theory, optimization theory, Game theory and of course Computer Science. The applications and sometimes the tools of machine learning are in areas as diversied as biology (cognitive abilities of the brain to evolutionary algorithms) to Statistical Physics. Machine Learning nds application in all the elds which are related to large data sets, for example weather prediction, epidemiological simulations and fraud detections. Intelligent Agents are essentially ones which have human-like cognitive abilities i.e they can reason and act rationally in unknown situations given they are trained properly. This ability is given by robust Machine Learning algorithms which avoid common caveats like over-tting. Bayesian Inference is one of the paradigms which promises to answer many problems usually encountered in Machine Learning algorithms. Bayesian Inference is not an algorithm itself, it is a means through which expert knowledge in incorporated in terms of priors overs parameters and posterior is calculated using the celebrated Bayes Theorem. It provides an elegant framework to many of Machine Learnings problems like regression, classication, clustering, density estimation .

Gaussian Processes

Gaussian processes are a collection of random variables which jointly follow a Multi variate Gaussian distribution. They are a great example of the Bayesian Inference and provide a fertile ground for a lot of research. They have been one of the most extensively studied stochastic processes and still have a lot of open issues regarding them. The Gaussian Process places a Gaussian prior over the space of functions i.e the functions are hidden and inference is done on the functional space. Inference is done using Bayesian Paradigm and poses a lot of questions. The rst is about the calculation of the inference equation itself. Generally, Gaussian processes are tractable only in the case of Gaussian noise. An interesting problem is when the noise is not Gaussian and inference is done using approximate Variation methods (ex: minimizing the relative entropy between the noise function and a proposed Gaussian) or Sampling from the complex distribution using Markov Chain Monte Carlo. One other issue is that of Kernel function choice. Kernel functions are co-variance matrix for the Gaussian Process and hence all the information about the function can be inferred from them. The Kernel functions could have many functional forms with their associated parameters, referred to as hyperparameters.

The Specic Problem

The prime objective of my Masters research is to nd approximate solutions to Bayes inference in Gaussian processes and compare the results with Markov Chain Monte Carlo sampling. The main goal is to identify the better algorithms for Sparsication of the Kernels by running a lot of simulations on dierent data sets. This problem initially calls for a deep understanding of the approximate algorithms and their implementation.