Online sketches with random features

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Online sketches with random features Nicolas Keriven Ecole Normale Supérieure (Paris) CFM-ENS chair in Data Science, « Laplace » post-doc (PhD with Rémi Gribonval at Inria Rennes) Paris Science and Data, Apr. 5th 2018

Online sketches ? Database Task Data Stream Maintain data sketch Learning Clustering Classification etc… = cat Data Stream … ? Idea! Maintain data sketch Distributed database Desired properties Fast to compute Preserve desired information Preserve data privacy Nicolas Keriven 1/9

Can we learn something more useful ? A very simple example Data Stream … What information ? Capture the mean of the data Memory use: Update cost: Sketch Can we learn something more useful ? Nicolas Keriven 2/9

Random features Data Stream What information ? … What information ? Capture generalized moments Example: histograms… Memory use: Update cost: Sketch In this talk… For the mathematicians… With high probability, approx. the kernel mean (Gretton 2008): contains all info. about distrib. of as random features (random projection + non-linearity) With LightOn optical technology: even for HD data Energy efficient Nicolas Keriven 3/9

Application 1: Sketch clustering Sketching Moment matching Theorem [Gribonval, Blanchard, K., Traonmilin 2017] With sufficiently many random features, with high probability the moment matching method is successful for K-means (mixtures of Diracs) Mixture models learning (GMM,…) Modelisation of the distribution of the data. Proof: information-preservation techniques on the probability distribution of the data. Infinite-dimensional analysis ! Greedy heuristic for moment matching: Compressive Learning OMPR (CL-OMPR) [Keriven 2016] 12/10/2017 Nicolas Keriven 4/9

Result: Compressive k-means [Keriven et al 2017] Mixture of Diracs = k-means Application: Spectral clustering for MNIST classification [Uw 2001] Classif. Perf. On this example… 1 order of magnitude faster than k-means 4 orders of magnitude more memory efficient Nicolas Keriven 5/9

Gaussian mixture models GMM d = 10, k = 20 Error Faster than EM (VLFeat’s gmm) Size of database Application: speaker verification [Reynolds 2000] (d=12, k=64) EM on 300 000 vectors : 29.53 20kB sketch computed on 50GB database: 28.96 Nicolas Keriven 6/9

Audio Source separation [Keriven et al 2018] Mixture of stable dist. Application: audio source separation Model: hybrid between rank-1 alpha-stable and Gaussian noise… Nicolas Keriven 7/9

Application 2: Online change point detection detect abrupt variations in a stream of data, by comparing two sketches. Help detecting extreme events, or selecting which data to store (segmentation) Applications in: Video monitoring Seismic data Speech detection … 12/10/2017 Nicolas Keriven 8/9

Application 2: Online change point detection : detect variations in the mean of : detect variations in the mean of = any change in distribution Theorem [Keriven2018] With sufficiently many random features, with high probability, the online change point detection procedure detects any significant change in the distribution of samples. Toy example: On a small laptop, no parallel computing, memory footprint < 5kb… 12/10/2017 Nicolas Keriven 8/9

Conclusion Online sketches: Data Stream … « D’ici 2040, les besoins en espace de stockage mondial […] risquent d’excéder la production disponible globale de silicium » Rapport Villani Online sketches: Handle streams of data, preserves data privacy Using random features: Capture all information about underlying probability distribution of data Can be computed extremely efficiently Nicolas Keriven 9/9

Thank you ! data-ens.github.io Keriven, Bourrier, Gribonval, Pérez. Sketching for Large-Scale Learning of Mixture Models Information & Inference: a Journal of the IMA, 2017. <arXiv:1606.02838> Keriven, Tremblay, Traonmilin, Gribonval. Compressive k-means ICASSP, 2017. Gribonval, Blanchard, Keriven, Traonmilin. Compressive Statistical Learning with Random Feature Moments. Preprint 2017. <arXiv:1706.07180> Keriven. Sketching for Large-Scale Learning of Mixture Models. PhD Thesis. <tel-01620815> Code: sketchml.gforge.inria.fr github: nkeriven data-ens.github.io Come to the colloquium! Come to the Laplace seminars! Nicolas Keriven