Simulating dynamic covariance structures for testing the adaptive behavior of variable selection algorithms (Invited Paper)

Variable selection for regression is a classical statistical problem, motivated by concerns that too large a number of covariates may bring about overfitting and unnecessarily high measurement costs. Novel difficulties arise in streaming contexts, where the correlation structure of the process may be drifting, in which case it must be constantly tracked so that selections may be revised accordingly. A particularly interesting phenomenon is that non-selected covariates become missing variables, inducing bias on subsequent decisions. This raises an intricate exploration-exploitation tradeoff, whose dependence on the covariance tracking algorithm and the choice of variable selection scheme is too complex to be dealt with analytically. We hence capitalise on the strength of simulations to explore this problem, taking the opportunity to tackle the difficult task of simulating dynamic correlation structures. © 2008 IEEE.

Streaming covariance selection with applications to adaptive querying in sensor networks

Sensor networks can be naturally represented as graphical models, where the edge set encodes the presence of sparsity in the correlation structure between sensors. Such graphical representations can be valuable for information mining purposes as well as for optimizing bandwidth and battery usage with minimal loss of estimation accuracy. We use a computationally efficient technique for estimating sparse graphical models which fits a sparse linear regression locally at each node of the graph via the Lasso estimator. Using a recently suggested online, temporally adaptive implementation of the Lasso, we propose an algorithm for streaming graphical model selection over sensor networks. With battery consumption minimization applications in mind, we use this algorithm as the basis of an adaptive querying scheme. We discuss implementation issues in the context of environmental monitoring using sensor networks, where the objective is short-term forecasting of local wind direction. The algorithm is tested against real UK weather data and conclusions are drawn about certain tradeoffs inherent in decentralized sensor networks data analysis. © 2010 The Author. Published by Oxford University Press on behalf of The British Computer Society. All rights reserved.

Word boundary modelling and full covariance gaussians for Arabic Speech-to-Text systems

This paper describes recent improvements to the Cambridge Arabic Large Vocabulary Continuous Speech Recognition (LVCSR) Speech-to-Text (STT) system. It is shown that wordboundary context markers provide a powerful method to enhance graphemic systems by implicit phonetic information, improving the modelling capability of graphemic systems. In addition, a robust technique for full covariance Gaussian modelling in the Minimum Phone Error (MPE) training framework is introduced. This reduces the full covariance training to a diagonal covariance training problem, thereby solving related robustness problems. The full system results show that the combined use of these and other techniques within a multi-branch combination framework reduces the Word Error Rate (WER) of the complete system by up to 5.9% relative. Copyright © 2011 ISCA.

Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Gaussian processes for machine learning (GPML) toolbox

The GPML toolbox provides a wide range of functionality for Gaussian process (GP) inference and prediction. GPs are specified by mean and covariance functions; we offer a library of simple mean and covariance functions and mechanisms to compose more complex ones. Several likelihood functions are supported including Gaussian and heavy-tailed for regression as well as others suitable for classification. Finally, a range of inference methods is provided, including exact and variational inference, Expectation Propagation, and Laplace’s method dealing with non-Gaussian likelihoods and FITC for dealing with large regression tasks.

Motor task variation induces structural learning.

When we have learned a motor skill, such as cycling or ice-skating, we can rapidly generalize to novel tasks, such as motorcycling or rollerblading [1-8]. Such facilitation of learning could arise through two distinct mechanisms by which the motor system might adjust its control parameters. First, fast learning could simply be a consequence of the proximity of the original and final settings of the control parameters. Second, by structural learning [9-14], the motor system could constrain the parameter adjustments to conform to the control parameters' covariance structure. Thus, facilitation of learning would rely on the novel task parameters' lying on the structure of a lower-dimensional subspace that can be explored more efficiently. To test between these two hypotheses, we exposed subjects to randomly varying visuomotor tasks of fixed structure. Although such randomly varying tasks are thought to prevent learning, we show that when subsequently presented with novel tasks, subjects exhibit three key features of structural learning: facilitated learning of tasks with the same structure, strong reduction in interference normally observed when switching between tasks that require opposite control strategies, and preferential exploration along the learned structure. These results suggest that skill generalization relies on task variation and structural learning.