A variational approach to learning curves

We combine the replica approach from statistical physics with a variational approach to analyze learning curves analytically. We apply the method to Gaussian process regression. As a main result we derive approximative relations between empirical error measures, the generalization error and the posterior variance.

Globally optimal learning rates in multilayer neural networks

A method for calculating the globally optimal learning rate in on-line gradient-descent training of multilayer neural networks is presented. The method is based on a variational approach which maximizes the decrease in generalization error over a given time frame. We demonstrate the method by computing optimal learning rates in typical learning scenarios. The method can also be employed when different learning rates are allowed for different parameter vectors as well as to determine the relevance of related training algorithms based on modifications to the basic gradient descent rule.

Advanced mean field methods:theory and practice

A major problem in modern probabilistic modeling is the huge computational complexity involved in typical calculations with multivariate probability distributions when the number of random variables is large. Because exact computations are infeasible in such cases and Monte Carlo sampling techniques may reach their limits, there is a need for methods that allow for efficient approximate computations. One of the simplest approximations is based on the mean field method, which has a long history in statistical physics. The method is widely used, particularly in the growing field of graphical models. Researchers from disciplines such as statistical physics, computer science, and mathematical statistics are studying ways to improve this and related methods and are exploring novel application areas. Leading approaches include the variational approach, which goes beyond factorizable distributions to achieve systematic improvements; the TAP (Thouless-Anderson-Palmer) approach, which incorporates correlations by including effective reaction terms in the mean field theory; and the more general methods of graphical models. Bringing together ideas and techniques from these diverse disciplines, this book covers the theoretical foundations of advanced mean field methods, explores the relation between the different approaches, examines the quality of the approximation obtained, and demonstrates their application to various areas of probabilistic modeling.

Auto-solitons guided by in-line nonlinear optical loop mirrors in dispersion-managed communication systems

Summary form only given. Both dispersion management and the use of a nonlinear optical loop mirror (NOLM) as a saturable absorber can improve the performance of a soliton-based communication system. Dispersion management gives the benefits of low average dispersion while allowing pulses with higher powers to propagate, which helps to suppress Gordon-Haus timing jitter without sacrificing the signal-to-noise ratio. The NOLM suppresses the buildup of amplifier spontaneous emission noise and background dispersive radiation which, if allowed to interact with the soliton, can lead to its breakup. We examine optical pulse propagation in dispersion-managed (DM) transmission system with periodically inserted in-line NOLMs. To describe basic features of the signal transmission in such lines, we develop a simple theory based on a variational approach involving Gaussian trial functions. It, has already been proved that the variational method is an extremely effective tool for description of DM solitons. In the work we manage to include in the variational description the point action of the NOLM on pulse parameters, assuming that the Gaussian pulse shape is inherently preserved by propagation through the NOLM. The obtained results are verified by direct numerical simulations

Auto-solitons guided by in-line nonlinear optical loop mirrors in dispersion-managed communication systems

Summary form only given. Both dispersion management and the use of a nonlinear optical loop mirror (NOLM) as a saturable absorber can improve the performance of a soliton-based communication system. Dispersion management gives the benefits of low average dispersion while allowing pulses with higher powers to propagate, which helps to suppress Gordon-Haus timing jitter without sacrificing the signal-to-noise ratio. The NOLM suppresses the buildup of amplifier spontaneous emission noise and background dispersive radiation which, if allowed to interact with the soliton, can lead to its breakup. We examine optical pulse propagation in dispersion-managed (DM) transmission system with periodically inserted in-line NOLMs. To describe basic features of the signal transmission in such lines, we develop a simple theory based on a variational approach involving Gaussian trial functions. It, has already been proved that the variational method is an extremely effective tool for description of DM solitons. In the work we manage to include in the variational description the point action of the NOLM on pulse parameters, assuming that the Gaussian pulse shape is inherently preserved by propagation through the NOLM. The obtained results are verified by direct numerical simulations

Estimating parameters in stochastic systems:a variational Bayesian approach

This work is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variation of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here a new extended framework is derived that is based on a local polynomial approximation of a recently proposed variational Bayesian algorithm. The paper begins by showing that the new extension of this variational algorithm can be used for state estimation (smoothing) and converges to the original algorithm. However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new approach is validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein–Uhlenbeck process, the exact likelihood of which can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz ’63 (3D model). As a special case the algorithm is also applied to the 40 dimensional stochastic Lorenz ’96 system. In our investigation we compare this new approach with a variety of other well known methods, such as the hybrid Monte Carlo, dual unscented Kalman filter, full weak-constraint 4D-Var algorithm and analyse empirically their asymptotic behaviour as a function of observation density or length of time window increases. In particular we show that we are able to estimate parameters in both the drift (deterministic) and the diffusion (stochastic) part of the model evolution equations using our new methods.

A basis function approach to Bayesian inference in diffusion processes

In this paper, we present a framework for Bayesian inference in continuous-time diffusion processes. The new method is directly related to the recently proposed variational Gaussian Process approximation (VGPA) approach to Bayesian smoothing of partially observed diffusions. By adopting a basis function expansion (BF-VGPA), both the time-dependent control parameters of the approximate GP process and its moment equations are projected onto a lower-dimensional subspace. This allows us both to reduce the computational complexity and to eliminate the time discretisation used in the previous algorithm. The new algorithm is tested on an Ornstein-Uhlenbeck process. Our preliminary results show that BF-VGPA algorithm provides a reasonably accurate state estimation using a small number of basis functions.

A comparison of variational and Markov chain Monte Carlo methods for inference in partially observed stochastic dynamic systems

In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a Hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while conditional variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother. © 2008 Springer Science + Business Media LLC.

Modeling geometric rules in object based models:an XML / GML approach

Most object-based approaches to Geographical Information Systems (GIS) have concentrated on the representation of geometric properties of objects in terms of fixed geometry. In our road traffic marking application domain we have a requirement to represent the static locations of the road markings but also enforce the associated regulations, which are typically geometric in nature. For example a give way line of a pedestrian crossing in the UK must be within 1100-3000 mm of the edge of the crossing pattern. In previous studies of the application of spatial rules (often called 'business logic') in GIS emphasis has been placed on the representation of topological constraints and data integrity checks. There is very little GIS literature that describes models for geometric rules, although there are some examples in the Computer Aided Design (CAD) literature. This paper introduces some of the ideas from so called variational CAD models to the GIS application domain, and extends these using a Geography Markup Language (GML) based representation. In our application we have an additional requirement; the geometric rules are often changed and vary from country to country so should be represented in a flexible manner. In this paper we describe an elegant solution to the representation of geometric rules, such as requiring lines to be offset from other objects. The method uses a feature-property model embraced in GML 3.1 and extends the possible relationships in feature collections to permit the application of parameterized geometric constraints to sub features. We show the parametric rule model we have developed and discuss the advantage of using simple parametric expressions in the rule base. We discuss the possibilities and limitations of our approach and relate our data model to GML 3.1. © 2006 Springer-Verlag Berlin Heidelberg.

A new variational radial basis function approximation for inference in multivariate diffusions

In this paper we present a radial basis function based extension to a recently proposed variational algorithm for approximate inference for diffusion processes. Inference, for state and in particular (hyper-) parameters, in diffusion processes is a challenging and crucial task. We show that the new radial basis function approximation based algorithm converges to the original algorithm and has beneficial characteristics when estimating (hyper-)parameters. We validate our new approach on a nonlinear double well potential dynamical system.

Variational mean-field algorithm for efficient inference in large systems of stochastic differential equations

This work introduces a Gaussian variational mean-field approximation for inference in dynamical systems which can be modeled by ordinary stochastic differential equations. This new approach allows one to express the variational free energy as a functional of the marginal moments of the approximating Gaussian process. A restriction of the moment equations to piecewise polynomial functions, over time, dramatically reduces the complexity of approximate inference for stochastic differential equation models and makes it comparable to that of discrete time hidden Markov models. The algorithm is demonstrated on state and parameter estimation for nonlinear problems with up to 1000 dimensional state vectors and compares the results empirically with various well-known inference methodologies.