# Probabilistic Modelling, Machine Learning, and the Information Revolution

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1 Probabilistic Modelling, Machine Learning, and the Information Revolution Zoubin Ghahramani Department of Engineering University of Cambridge, UK MIT CSAIL 2012

2 An Information Revolution? We are in an era of abundant data: Society: the web, social networks, mobile networks, government, digital archives Science: large-scale scientific experiments, biomedical data, climate data, scientific literature Business: e-commerce, electronic trading, advertising, personalisation We need tools for modelling, searching, visualising, and understanding large data sets.

3 Modelling Tools Our modelling tools should: Faithfully represent uncertainty in our model structure and parameters and noise in our data Be automated and adaptive Exhibit robustness Scale well to large data sets

4 Probabilistic Modelling A model describes data that one could observe from a system If we use the mathematics of probability theory to express all forms of uncertainty and noise associated with our model......then inverse probability (i.e. Bayes rule) allows us to infer unknown quantities, adapt our models, make predictions and learn from data.

5 Bayes Rule P (hypothesis data) = P (data hypothesis)p (hypothesis) P (data) Rev d Thomas Bayes ( ) Bayes rule tells us how to do inference about hypotheses from data. Learning and prediction can be seen as forms of inference.

6 How do we build thinking machines?

7 Representing Beliefs in Artificial Intelligence Consider a robot. In order to behave intelligently the robot should be able to represent beliefs about propositions in the world: my charging station is at location (x,y,z) my rangefinder is malfunctioning that stormtrooper is hostile We want to represent the strength of these beliefs numerically in the brain of the robot, and we want to know what rules (calculus) we should use to manipulate those beliefs.

8 Representing Beliefs II Let s use b(x) to represent the strength of belief in (plausibility of) proposition x. 0 b(x) 1 b(x) = 0 x is definitely not true b(x) = 1 x is definitely true b(x y) strength of belief that x is true given that we know y is true Cox Axioms (Desiderata): Strengths of belief (degrees of plausibility) are represented by real numbers Qualitative correspondence with common sense Consistency If a conclusion can be reasoned in more than one way, then every way should lead to the same answer. The robot always takes into account all relevant evidence. Equivalent states of knowledge are represented by equivalent plausibility assignments. Consequence: Belief functions (e.g. b(x), b(x y), b(x, y)) must satisfy the rules of probability theory, including Bayes rule. (Cox 1946; Jaynes, 1996; van Horn, 2003)

9 The Dutch Book Theorem Assume you are willing to accept bets with odds proportional to the strength of your beliefs. That is, b(x) = 0.9 implies that you will accept a bet: { x is true win \$1 x is false lose \$9 Then, unless your beliefs satisfy the rules of probability theory, including Bayes rule, there exists a set of simultaneous bets (called a Dutch Book ) which you are willing to accept, and for which you are guaranteed to lose money, no matter what the outcome. The only way to guard against Dutch Books to to ensure that your beliefs are coherent: i.e. satisfy the rules of probability.

10 Bayesian Machine Learning Everything follows from two simple rules: Sum rule: P (x) = y P (x, y) Product rule: P (x, y) = P (x)p (y x) P (θ D, m) = P (D θ, m)p (θ m) P (D m) P (D θ, m) P (θ m) P (θ D, m) likelihood of parameters θ in model m prior probability of θ posterior of θ given data D Prediction: P (x D, m) = P (x θ, D, m)p (θ D, m)dθ Model Comparison: P (m D) = P (D m) = P (D m)p (m) P (D) P (D θ, m)p (θ m) dθ

11 Modeling vs toolbox views of Machine Learning Machine Learning seeks to learn models of data: define a space of possible models; learn the parameters and structure of the models from data; make predictions and decisions Machine Learning is a toolbox of methods for processing data: feed the data into one of many possible methods; choose methods that have good theoretical or empirical performance; make predictions and decisions

12 Bayesian Nonparametrics

13 Why... Why Bayesian? Simplicity (of the framework) Why nonparametrics? Complexity (of real world phenomena)

14 Parametric vs Nonparametric Models Parametric models assume some finite set of parameters θ. Given the parameters, future predictions, x, are independent of the observed data, D: P (x θ, D) = P (x θ) therefore θ capture everything there is to know about the data. So the complexity of the model is bounded even if the amount of data is unbounded. This makes them not very flexible. Non-parametric models assume that the data distribution cannot be defined in terms of such a finite set of parameters. But they can often be defined by assuming an infinite dimensional θ. Usually we think of θ as a function. The amount of information that θ can capture about the data D can grow as the amount of data grows. This makes them more flexible.

15 Why nonparametrics? flexibility better predictive performance more realistic All successful methods in machine learning are essentially nonparametric 1 : kernel methods / SVM / GP deep networks / large neural networks k-nearest neighbors,... 1 or highly scalable!

16 Overview of nonparametric models and uses Bayesian nonparametrics has many uses. Some modelling goals and examples of associated nonparametric Bayesian models: Modelling goal Example process Distributions on functions Gaussian process Distributions on distributions Dirichlet process Polya Tree Clustering Chinese restaurant process Pitman-Yor process Hierarchical clustering Dirichlet diffusion tree Kingman s coalescent Sparse binary matrices Indian buffet processes Survival analysis Beta processes Distributions on measures Completely random measures......

17 Gaussian and Dirichlet Processes Gaussian processes define a distribution on functions f(x) f GP( µ, c) x where µ is the mean function and c is the covariance function. We can think of GPs as infinite-dimensional Gaussians Dirichlet processes define a distribution on distributions G DP( G 0, α) where α > 0 is a scaling parameter, and G 0 is the base measure. We can think of DPs as infinite-dimensional Dirichlet distributions. Note that both f and G are infinite dimensional objects.

18 Nonlinear regression and Gaussian processes Consider the problem of nonlinear regression: You want to learn a function f with error bars from data D = {X, y} y x A Gaussian process defines a distribution over functions p(f) which can be used for Bayesian regression: p(f D) = p(f)p(d f) p(d) Let f = (f(x 1 ), f(x 2 ),..., f(x n )) be an n-dimensional vector of function values evaluated at n points x i X. Note, f is a random variable. Definition: p(f) is a Gaussian process if for any finite subset {x 1,..., x n } X, the marginal distribution over that subset p(f) is multivariate Gaussian.

19 Gaussian Processes and SVMs

20 Support Vector Machines and Gaussian Processes We can write the SVM loss as: 1 min f 2 f K 1 f + C i (1 y i f i ) + We can write the negative log of a GP likelihood as: 1 2 f K 1 f i ln p(y i f i ) + c Equivalent? No. With Gaussian processes we: Handle uncertainty in unknown function f by averaging, not minimization. Compute p(y = +1 x) p(y = +1 ˆf, x). Can learn the kernel parameters automatically from data, no matter how flexible we wish to make the kernel. Can learn the regularization parameter C without cross-validation. Can incorporate interpretable noise models and priors over functions, and can sample from prior to get intuitions about the model assumptions. We can combine automatic feature selection with learning using ARD. Easy to use Matlab code:

21 From (Naish-Guzman and Holden, 2008), using exactly same kernels. linear models. In all cases, we employed the isotropic squared exponential kernel, avoiding here the anisotropic version primarily to allow comparison with the SVM: lacking a probabilistic foundation, its kernel parameters and regularization constant must be set by cross-validation. For the IVM, hyperparameter optimization is interleaved with active set selection as described in [2], while for the other GP models, we fit hyperparameters by gradient ascent on the estimated marginal likelihood, Some Comparisons Table 1: Test errors and predictive accuracy (smaller is better) for the GP classifier, the support vector machine, the informative vector machine, and the sparse pseudo-input GP classifier. Data set GPC SVM IVM SPGPC name train:test dim err nlp err #sv err nlp M err nlp M synth 250: crabs 80: banana 400: breast-cancer 200: diabetes 468: flare-solar 666: german 700: heart 170: image 1300: ringnorm 400: splice 1000: thyroid 140: titanic 150: twonorm 400: waveform 400:

22 A picture Linear Regression Logistic Regression Bayesian Linear Regression Bayesian Logistic Regression Kernel Regression Kernel Classification GP Regression GP Classification Classification Kernel Bayesian

23 Outline Bayesian nonparametrics applied to models of other structured objects: Time Series Sparse Matrices Deep Sparse Graphical Models Hierarchies Covariances Network Structured Regression

24 Infinite hidden Markov models (ihmms) Hidden Markov models (HMMs) are widely used sequence models for speech recognition, bioinformatics, text modelling, video monitoring, etc. HMMs can be thought of as time-dependent mixture models. In an HMM with K states, the transition matrix has K K elements. Let K. S 1 Y 1 S 2 Y 2 S 3 Y 3 S T Y T word identity word position in text x 10 4 Introduced in (Beal, Ghahramani and Rasmussen, 2002). Teh, Jordan, Beal and Blei (2005) showed that ihmms can be derived from hierarchical Dirichlet processes, and provided a more efficient Gibbs sampler. We have recently derived a much more efficient sampler based on Dynamic Programming (Van Gael, Saatci, Teh, and Ghahramani, 2008). And we have parallel (.NET) and distributed (Hadoop) implementations (Bratieres, Van Gael, Vlachos and Ghahramani, 2010).

25 Infinite HMM: Changepoint detection and video segmentation (a) (b) Batting Boxing (c) Pitching Tennis (w/ Tom Stepleton, 2009)

26 Sparse Matrices

27 From finite to infinite sparse binary matrices z nk = 1 means object n has feature k: z nk Bernoulli(θ k ) θ k Beta(α/K, 1) Figure5: Note that Binarymatricesandtheleft-order P (z nk = 1 α) = E(θ k ) = gets sparser. α/k α/k+1, so as K grows larger the matrix So if Z is N K, the expected number of nonzero entries is Nα/(1+α/K) < Nα. Even in the K limit, the matrix is expected to have a finite number of non-zero entries. K results in an Indian buffet process (IBP)

28 Indian buffet process Customers Dishes Many Indian restaurants in London offer lunchtime buffets with an apparently infinite number of dishes First customer starts at the left of the buffet, and takes a serving from each dish, stopping after a Poisson(α) number of dishes as his plate becomes overburdened. The n th customer moves along the buffet, sampling dishes in proportion to their popularity, serving himself dish k with probability m k /n, and trying a Poisson(α/n) number of new dishes. The customer-dish matrix, Z, is a draw from the IBP. (w/ Tom Griffiths 2006; 2011)

29 Properties of the Indian buffet process P ([Z] α) = exp { αh N } α K + h>0 K h! k K + (N m k )!(m k 1)! N! Prior sample from IBP with α= Shown in (Griffiths and Ghahramani 2006, 2011): It is infinitely exchangeable. The number of ones in each row is Poisson(α) The expected total number of ones is αn. The number of nonzero columns grows as O(α log N). objects (customers) Additional properties: features (dishes) Has a stick-breaking representation (Teh, et al 2007) Has as its de Finetti mixing distribution the Beta process (Thibaux and Jordan 2007) More flexible two and three parameter versions exist (w/ Griffiths & Sollich 2007; Teh and Görür 2010)

30 The Big Picture: Relations between some models factorial model factorial HMM finite mixture HMM IBP ifhmm DPM ihmm factorial time non-param.

31 Modelling Data with Indian Buffet Processes Latent variable model: let X be the N D matrix of observed data, and Z be the N K matrix of binary latent features P (X, Z α) = P (X Z)P (Z α) By combining the IBP with different likelihood functions we can get different kinds of models: Models for graph structures (w/ Wood, Griffiths, 2006; w/ Adams and Wallach, 2010) Models for protein complexes (w/ Chu, Wild, 2006) Models for choice behaviour (Görür & Rasmussen, 2006) Models for users in collaborative filtering (w/ Meeds, Roweis, Neal, 2007) Sparse latent trait, ppca and ICA models (w/ Knowles, 2007, 2011) Models for overlapping clusters (w/ Heller, 2007)

32 Nonparametric Binary Matrix Factorization genes patients users movies Meeds et al (2007) Modeling Dyadic Data with Binary Latent Factors.

33 Multi-Layer Belief Networks Learning Structure of Deep Sparse Graphical Models... Zoubin Ghahramani :: Cambridge / CMU :: 33

34 Multi-Layer Belief Networks Learning Structure of Deep Sparse Graphical Models Zoubin Ghahramani :: Cambridge / CMU :: 34

35 Multi-Layer Belief Networks Learning Structure of Deep Sparse Graphical Models Zoubin Ghahramani :: Cambridge / CMU :: 35

36 Multi-Layer Belief Networks Learning Structure of Deep Sparse Graphical Models (w/ Ryan P. Adams, Hanna Wallach, 2010) Zoubin Ghahramani :: Cambridge / CMU :: 36

37 Learning Structure of Deep Sparse Graphical Models Olivetti: Reconstructions & Features Olivetti Faces: images of 40 faces (64 64) Inferred: 3 hidden layers, 70 units per layer. Reconstructions and Features:

38 Olivetti: Fantasies & Activations Learning Structure of Deep Sparse Graphical Models Fantasies and Activations: Zoubin Ghahramani :: Cambridge / CMU :: 47

39 Hierarchies true hierarchies parameter tying visualisation and interpretability & \$ % \$ # "!

40 Dirichlet Diffusion Trees (DDT) (Neal, 2001) In a DPM, parameters of one mixture component are independent of other components this lack of structure is potentially undesirable. A DDT is a generalization of DPMs with hierarchical structure between components. To generate from a DDT, we will consider data points x 1, x 2,... taking a random walk according to a Brownian motion Gaussian diffusion process. x 1 (t) Gaussian diffusion process starting at origin (x 1 (0) = 0) for unit time. x 2 (t) also starts at the origin and follows x 1 but diverges at some time τ, at which point the path followed by x 2 becomes independent of x 1 s path. a(t) is a divergence or hazard function, e.g. a(t) = 1/(1 t). For small dt: P (x i diverges at time τ (t, t + dt)) = a(t)dt m where m is the number of previous points that have followed this path. If x i reaches a branch point between two paths, it picks a branch in proportion to the number of points that have followed that path.

41 Dirichlet Diffusion Trees (DDT) Generating from a DDT: Figure from (Neal 2001)

42 Pitman-Yor Diffusion Trees Generalises a DDT, but at a branch point, the probability of following each branch is given by a Pitman-Yor process: P(following branch k) = b k α m + θ, P(diverging) = θ + αk m + θ, to maintain exchangeability the probability of diverging also has to change. naturally extends DDTs (θ = α = 0) to arbitrary non-binary branching infinitely exchangeable over data prior over structure is the most general Markovian consistent and exchangeable distribution over trees (McCullagh et al 2008) (w/ Knowles 2011)

43 Pitman-Yor Diffusion Tree: Results N train = 200, N test = 28, D = 10 Adams et al. (2008) Figure: Density modeling of the D = 10, N = 200 macaque skull measurement dataset of Adams et al. (2008). Top: Improvement in test predictive likelihood compared to a kernel density estimate. Bottom: Marginal likelihood of current tree. The shared x-axis is computation time in seconds. & \$ % \$ # "!

44 Covariance Matrices

45 Covariance Matrices!"#\$%&'()#* Consider the problem of modelling a covariance matrix Σ that can change as a!"#\$%&'#'(#)(*"+#%#,-.,#*-)"&/-(&%+# ########0,%&.-&.#0(1%2-%&0"#)%'2-34 function of time, Σ(t), or other input variables Σ(x). This is a widely studied problem in Econometrics.!! Models commonly used are multivariate GARCH, and multivariate stochastic volatility models, but these only depend on t, and generally don t scale well.

46 Generalised Wishart Processes for Covariance modelling Modelling time- and spatially-varying covariance matrices. Note that covariance matrices have to be symmetric positive (semi-)definite. If u i N, then Σ = ν i=1 u iu i is s.p.d. and has a Wishart distribution. We are going to generalise Wishart distributions to be dependent on time or other inputs, making a nonparametric Bayesian model based on Gaussian Processes (GPs). So if u i (t) GP, then Σ(t) = ν i=1 u i(t)u i (t) defines a Wishart process. This is the simplest form, many generalisations are possible. Also closely linked to Copula processes. (w/ Andrew Wilson, 2010, 2011)

47 Generalised Wishart Process Results!"#\$%&'()*'!"#"\$%&'()*+,-'./0-'/0-' J\$'HK'"L*7+<'7\$%"M'%:+:-'*67\$#':'./0'F7+,':'6L*:)"%'"M>=\$"\$+7:;' 9=E:)7:\$9"'8*\$9+7=\$-'8=)"9:6+';=#';7C";7,==%6':)"&'!!!"#+\$,-./-''''/0&'NONP-'''QBRR'1.2345&'SOTPI'''

48 Gaussian process regression networks A model for multivariate regression which combines structural properties of Bayesian neural networks with the nonparametric flexibility of Gaussian processes W 11 (x) f 1 (x) W 21 (x) W 12 (x) y 1 (x) W 31 (x) W 22 (x) y 2 (x) f 2 (x) W 32 (x) y 3 (x) y(x) = W (x)[f(x) + σ f ɛ] + σ y z (w/ Andrew Wilson, David Knowles, 2011)

49 Gaussian process regression networks: properties W 11 (x) f 1 (x) W 21 (x) W 12 (x) y 1 (x) W 22 (x) W 31 (x) y 2 (x) f 2 (x) W 32 (x) y 3 (x) multi-output GP with input-dependent correlation structure between the outputs naturally accommodates nonstationarity, heteroskedastic noise, spatially varying lengthscales, signal amplitudes, etc has a heavy-tailed predictive distribution scales well to high-dimensional outputs by virtue of being a factor model if the input is time, this makes a very flexible stochastic volatility model efficient inference without costly inversions of large matrices using elliptical slice sampling MCMC or variational Bayes

50 Gaussian process regression networks: results GENE (50D) Average SMSE Average MSLL SET 1: GPRN (VB) ± ± GPRN (MCMC) ± ± LMC ± ± CMOGP ± ± SLFM ± ± SET 2: GPRN (VB) ± ± GPRN (MCMC) ± ± LMC ± ± CMOGP ± ± SLFM ± ± GENE (1000D) Average SMSE Average MSLL GPRN (VB) ± ± GPRN (MCMC) ± ± MFITC ± ± MPITC ± ± MDTC ± ± JURA Average MAE Training Time (secs) GPRN (VB) ± GPRN* (VB) ± SLFM (VB) ± SLFM* (VB) ± SLFM ± Co-kriging 0.51 ICM ± CMOGP ± GP ± GP ± EXCHANGE Historical MSE L Forecast GPRN (VB) GPRN (MCMC) GWP WP MGARCH Empirical EQUITY Historical MSE L Forecast GPRN (VB) GPRN (MCMC) GWP WP MGARCH Empirical

51 Gaussian process regression networks: results latitude longitude 0.15 Predicted correlations between cadmium and zinc

52 Summary Probabilistic modelling and Bayesian inference are two sides of the same coin Bayesian machine learning treats learning as a probabilistic inference problem Bayesian methods work well when the models are flexible enough to capture relevant properties of the data This motivates non-parametric Bayesian methods, e.g.: Gaussian processes for regression and classification Infinite HMMs for time series modelling Indian buffet processes for sparse matrices and latent feature modelling Pitman-Yor diffusion trees for hierarchical clustering Wishart processes for covariance modelling Gaussian process regression networks for multi-output regression

53 Thanks to Ryan Adams Tom Griffiths David Knowles Andrew Wilson Harvard Berkeley Cambridge Cambridge

54 Some References Adams, R.P., Wallach, H., Ghahramani, Z. (2010) Learning the Structure of Deep Sparse Graphical Models. AISTATS Griffiths, T.L., and Ghahramani, Z. (2006) Infinite Latent Feature Models and the Indian Buffet Process. NIPS 18: Griffiths, T.L., and Ghahramani, Z. (2011) The Indian buffet process: review. Journal of Machine Learning Research 12(Apr): An introduction and Knowles, D.A. and Ghahramani, Z. (2011) Nonparametric Bayesian Sparse Factor Models with application to Gene Expression modelling. Annals of Applied Statistics 5(2B): Knowles, D.A. and Ghahramani, Z. (2011) Pitman-Yor Diffusion Trees. Artificial Intelligence (UAI 2011). In Uncertainty in Meeds, E., Ghahramani, Z., Neal, R. and Roweis, S.T. (2007) Modeling Dyadic Data with Binary Latent Factors. NIPS 19: Wilson, A.G., and Ghahramani, Z. (2010, 2011) Generalised Wishart Processes. arxiv: v1. and UAI 2011 Wilson, A.G., Knowles, D.A., and Ghahramani, Z. (2011) Gaussian Process Regression Networks. arxiv.

55 Appendix

56 Support Vector Machines Consider soft-margin Support Vector Machines: min w 1 2 w 2 + C i (1 y i f i ) + where () + is the hinge loss and f i = f(x i ) = w x i + w 0. Let s kernelize this: x i φ(x i ) = k(, x i ), w f( ) By reproducing property: k(, x i ), f( ) = f(x i ). By representer theorem, solution: Defining f = (f 1,... f N ) T note that f = Kα, so α = K 1 f f(x) = i α i k(x, x i ) Therefore the regularizer 1 2 w f 2 H = 1 2 f( ), f( ) H = 1 2 α Kα = 1 2 f K 1 f So we can rewrite the kernelized SVM loss as: 1 min f 2 f K 1 f + C i (1 y i f i ) +

57 Posterior Inference in IBPs P (Z, α X) P (X Z)P (Z α)p (α) Gibbs sampling: P (z nk = 1 Z (nk), X, α) P (z nk = 1 Z (nk), α)p (X Z) If m n,k > 0, P (z nk = 1 z n,k ) = m n,k N For infinitely many k such that m n,k = 0: Metropolis steps with truncation to sample from the number of new features for each object. If α has a Gamma prior then the posterior is also Gamma Gibbs sample. Conjugate sampler: assumes that P (X Z) can be computed. Non-conjugate sampler: P (X Z) = P (X Z, θ)p (θ)dθ cannot be computed, requires sampling latent θ as well (e.g. approximate samplers based on (Neal 2000) non-conjugate DPM samplers). Slice sampler: works for non-conjugate case, is not approximate, and has an adaptive truncation level using an IBP stick-breaking construction (Teh, et al 2007) see also (Adams et al 2010). Deterministic Inference: variational inference (Doshi et al 2009a) parallel inference (Doshi et al 2009b), beam-search MAP (Rai and Daume 2011), power-ep (Ding et al 2010)

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