Bayesian Learning. HT2015: SC4 Statistical Data Mining and Machine Learning. Maximum Likelihood Principle. The Bayesian Learning Framework


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1 HT5: SC4 Statistical Data Mining and Machine Learning Dino Sejdinovic Department of Statistics Oxford Maximum Likelihood Principle A generative model for training data D = {(x i, y i )} n i= given a parameter vector θ: y i (π,..., π K ), x y i g yi (x) = p(x yi ) kth class conditional density assumed to have a parametric form for g k (x) = p(x k ) and all parameters are given by θ = (π,..., π K ;,..., K ) Generative process defines the likelihood function: the joint distribution of all the observed data p(d θ) given a parameter vector θ. Process of generative learning consists of computing the MLE θ of θ based on D: θ = argmax p(d θ) θ Θ We then use a plugin approach to perform classification f θ(x) = argmax P θ(y π k p(x k ) = k X = x) = argmax K k {,...,K} k {,...,K} j= π jp(x j ) The Framework Being Bayesian: treat parameter vector θ as a random variable: process of learning is then computation of the posterior distribution p(θ D). In addition to the likelihood p(d θ) need to specify a prior distribution p(θ). Posterior distribution is then given by the Bayes Theorem: Likelihood: p(d θ) Prior: p(θ) Summarizing the posterior: p(θ D) = p(d θ)p(θ) Posterior: p(θ D) Marginal likelihood: = Θ p(d θ)p(θ)dθ Posterior mode: θ MAP = argmax θ Θ p(θ D) (maximum a posteriori). Posterior mean: θ mean = E [θ D]. Posterior variance: Var[θ D].
2 A simple example: We have a coin with probability of coming up heads. Model coin tosses as i.i.d. Bernoullis, =head, =tail. Estimate given a dataset D = {x i } n i= of tosses n=, n =, n = n=, n =, n =.5 n=, n =4, n =6.5 p(d ) = n ( ) n with n j = n i= (x i = j). Maximum Likelihood estimate: ˆ ML = n n Bayesian approach: treat the unknown parameter as a random variable. Simple prior: Uniform[, ], i.e., p() = for [, ]. Posterior distribution: p( D) = p(d θ)p(θ) = n ( ) n, = n ( ) n d = Posterior is a Beta(n +, n + ) distribution: mean = n + n+. (n + )! n!n! n=, n =65, n = n=, n =686, n = n=, n =74, n = Posterior becomes behaves like the ML estimate as dataset grows and is peaked at true value =.7. All Bayesian reasoning is based on the posterior distribution. Posterior mode: MAP = n n Posterior mean: mean = n + n+ Posterior variance: Var[ D] = mean ( mean ) n+ ( α)credible regions: (l, r) [, ] s.t. r p(θ D)dθ = α. l Consistency: Assuming that the true parameter value is given a nonzero density under the prior, the posterior distribution concentrates around the true value as n. Rate of convergence? The posterior predictive distribution is the conditional distribution of x n+ given D = {x i } n i= : p(x n+ D) = = p(x n+, D)p( D)d p(x n+ )p( D)d = ( mean ) x n+ ( mean ) x n+ We predict on new data by averaging the predictive distribution over the posterior. Accounts for uncertainty about.
3 Beta Distributions In this example, the posterior distribution has a known analytic form and is in the same Beta family as the prior: Uniform[, ] Beta(, ). An example of a conjugate prior. A Beta distribution Beta(a, b) with parameters a, b > is an exponential family distribution with density (.,.) (.8,.8) (,) (,) (5,5) (,9) (,7) (5,5) (7,) (9,) p( a, b) = Γ(a + b) Γ(a)Γ(b) a ( ) b where Γ(t) = u t e u du is the gamma function. If the prior is Beta(a, b), then the posterior distribution is so is Beta(a + n, b + n ). p( D, a, b) = a+n ( ) b+n Hyperparameters a and b are pseudocounts, an imaginary initial sample that reflects our prior beliefs about Bayesian Inference on the Categorical Distribution Dirichlet Distributions Suppose we observe D = {y i } n i= with y i {,..., K}, and model them as i.i.d. with pmf π = (π,..., π K ): p(d π) = n π yi = i= with n k = n i= (y i = k) and π k >, K k= π k =. The conjugate prior on π is the Dirichlet distribution Dir(α,..., α K ) with parameters α k >, and density p(π) = Γ( K k= α k) K k= Γ(α k) k= k= π n k k π α k k on the probability simplex {π : π k >, K k= π k = }. The posterior is also Dirichlet Dir(α + n,..., α K + n K ). Posterior mean is π k mean = α k + n k K j= α. j + n j (A) Support of the Dirichlet density for K =. (B) Dirichlet density for α k =. (C) Dirichlet density for α k =..
4 Naïve Bayes Bayesian Inference on Naïve Bayes model Return to the spam classification example with twoclass naïve Bayes p p(x i k ) = x(j) i kj ( kj ) x(j) i. j= Set n k = n i= {y i = k}, n kj = n i= (y i = k, x (j) i ˆπ k = n k n, ˆkj = i:y i =k x(j) i n k = ). MLE is: = n kj n k. One problem: if the lth word did not appear in documents labelled as class k then ˆ kl = and P(Y = k X = x with lth entry equal to ) p ( ) x (j) ˆπ k ˆkj ( ˆ ) x (j) kj = j= i.e. we will never attribute a new document containing word l to class k (regardless of other words in it). Bayesian Inference on Naïve Bayes model Given D = {(x i, y i )} n i=, want to predict a label ỹ for a new document x. We can calculate with Predicted class is p( x, ỹ = k D) = p(ỹ = k D)p( x ỹ = k, D) p(ỹ = k D) = α k + n k K l= α l + n p( x (j) = ỹ = k, D) = a + n kj a + b + n k p(ỹ = k x, D) = p(ỹ = k D)p( x ỹ = k, D) p( x D) Compared to ML plugin estimator, pseudocounts help to regularize probabilities away from extreme values. Under the Naïve Bayes model, the joint distribution of labels y i {,..., K} and data vectors x i {, } p is n p(x i, y i ) = i= = n i= k= k= π k π n k k p j= p j= x(j) i kj ( kj ) x(j) i n kj kj ( kj) n k n kj (y i =k) where n k = n i= (y i = k), n kj = n i= (y i = k, x (j) i = ). For conjugate prior, we can use Dir((α k ) K k= ) for π, and Beta(a, b) for kj independently. Because the likelihood factorizes, the posterior distribution over π and ( kj ) also factorizes, and posterior for π is Dir((α k + n k ) K k= ), and for kj is Beta(a + n kj, b + n k n kj ). and Regularization Consider a Bayesian approach to logistic regression: introduce a multivariate normal prior for weight vector w R p, and a uniform (improper) prior for offset b R. The prior density ( is: p(b, w) = (πσ ) p exp ) σ w The posterior is p(b, w D) exp ( σ w ) n log( + exp( y i (b + w x i ))) The posterior mode is equivalent to minimizing the L regularized empirical risk. Regularized empirical risk minimization is (often) equivalent to having a prior and finding a MAP estimate of the parameters. L regularization  multivariate normal prior. L regularization  multivariate Laplace prior. From a Bayesian perspective, the MAP parameters are just one way to summarize the posterior distribution. i=
5 Bayesian Model Selection A model M with a given set of parameters θ M consists of both the likelihood p(d θ M ) and the prior distribution p(θ M ). One example model would consist of all Gaussian mixtures with K components and equal covariance (LDA): θ LDA = (π,..., π K ; µ,..., µ K ; Σ), along with a prior on θ; another would allow different covariances (QDA) θ QDA = (π,..., π K ; µ,..., µ K ; Σ,..., Σ K ). The posterior distribution p(θ M D, M) = p(d θ M, M)p(θ M M) p(d M) Marginal probability of the data under M (Bayesian model evidence): p(d M) = p(d θ M, M)p(θ M M)dθ Θ Bayesian Occam s Razor Occam s Razor: of two explanations adequate to explain the same set of observations, the simpler should be preferred. p(d M) = p(d θ M, M)p(θ M M)dθ Θ Model evidence p(d M) is the probability that a set of randomly selected parameter values inside the model would generate dataset D. Models that are too simple are unlikely to generate the observed dataset. Models that are too complex can generate many possible dataset, so again, they are unlikely to generate that particular dataset at random. Compare models using their Bayes factors p(d M) p(d M ) Bayesian model comparison: Occam s razor at work M = M = M = M = M = 4 M = 5 M = 6 M = P(Y M) Model Evidence M Discussion Use probability distributions to reason about uncertainties of parameters (latent variables and parameters are treated in the same way). Model consists of the likelihood function and the prior distribution on parameters: allows to integrate prior beliefs and domain knowledge. Bayesian computation most posteriors are intractable, and posterior needs to be approximated by: Monte Carlo methods (MCMC and SMC). Variational methods (variational Bayes, belief propagation etc). Prior usually has hyperparameters, i.e., p(θ) = p(θ ψ). How to choose ψ? Be Bayesian about ψ as well choose a hyperprior p(ψ) and compute p(ψ D). Maximum Likelihood II find ψ maximizing argmax ψ Ψ p(d ψ). p(d ψ) = p(d θ)p(θ ψ)dθ p(ψ D) = p(d ψ)p(ψ) figures by M.Sahani
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