Machine Learning Lecture 23: Statistical Estimation with Sampling Iain Murray’s MLSS lecture on videolectures.net:

Today In service of EM In graphical models Sampling –Technique to approximate the expected value of a distribution Gibbs Sampling –Sampling of latent variables in a Graphical Model 1

What is the average height of professors of CS at Queens College? What’s the size of C? 2

What is the average height of students at Queens College? What’s the size of C? 3

What is the average height of people in Queens? 4

So we’re comfortable approximating statistical parameters… Why don’t we use this to do inference in complicated Graphical Models? or where it is difficult to count everything? 5

Statistical sampling Make a prediction about variable, x, based on data D. 6

Expected Values Want to know the expected value of a distribution. –E[p(t | x)] is a classification problem We can calculate p(x), but integration is difficult. Given a graphical model describing the relationship between variables, we’d like to generate E[p(x)] where x is only partially observed. 7

Sampling We have a representation of p(x) and f(x), but integration is intractable E[f] is difficult as an integral, but easy as a sum. Randomly select points from distribution p(x) and use these as representative of the distribution of f(x). It turns out that if correctly sampled, only points can be sufficient to estimate the mean and variance of a distribution. –Samples must be independently drawn –Expectation may be dominated by regions of high probability, or high function values 8

Monte Carlo Example Sampling techniques to solve difficult integration problems. What is the area of a circle with radius 1? –What if you don’t know trigonometry? 9

Monte Carlo Estimation How can we approximate the area of a circle if we have no trigonometry? Take a random x and a random y between 1 and -1 –Sample from x and sample from y. Determine if Repeat many times. Count the number of times that the inequality is true. Divide by the area of the square 10

How is sampling used in EM? E-Step –what are the responsibilities in GMM? –p(x hidden | x observed ) M-Step –Reestimate parameters based on a convex optimization. –Get new parameters 11

Sampling in a Graphical Model Sample variables from its marginal Sample children after parents 12 A A B B C C D D E E

How do you sample from a distribution??? Known algorithms Use this book: 13

Basic Algorithm Sample uniformly from x. The probability mass to the left of x is a uniform distribution. 14 x1x1 x2x2 x3x3 x4x4

Basic Algorithm y(u) = h -1 (u) h is not always easy to calculate or invert 15 x1x1 x2x2 x3x3 x4x4 1

Rejection Sampling The distribution p(x) is easy to evaluate –As in a graphical model representation But difficult to integrate. Identify a simpler distribution, kq(x), which bounds p(x), and sample, x 0, from it. –This is called the proposal distribution. Generate another sample u from an even distribution between 0 and kq(x 0 ). –If u ≤ p(x 0 ) accept the sample E.g. use it in the calculation of an expectation of f –Otherwise reject the sample E.g. omit from the calculation of an expectation of f 16

Rejection Sampling Example 17

Importance Sampling One problem with rejection sampling is that you lose information when throwing out samples. If we are only looking for the expected value of f(x), we can incorporate unlikely samples of x in the calculation. Again use a proposal distribution to approximate the expected value. –Weight each sample from q by the likelihood that it was also drawn from p. 18

Graphical Example of Importance Sampling 19

Markov Chain Monte Carlo Markov Chain: –p(x 1 |x 2,x 3,x 4,x 5,…) = p(x 1 |x 2 ) For MCMC sampling start in a state z (0). At each step, draw a sample z (m+1) based on the previous state z (m) Accept this step with some probability based on a proposal distribution. –If the step is accepted: z (m+1) = z (m) –Else: z (m+1) = z (m) Or only accept if the sample is consistent with an observed value 20

Markov Chain Monte Carlo Goal: p(z (m) ) = p*(z) as m →∞ –MCMCs that have this property are called ergodic. –Implies that the sampled distribution converges to the true distribution Need to define a transition function to move from one state to the next. –How do we draw a sample at state m+1 given state m? –Often, z (m+1) is drawn from a gaussian with z (m) mean and a constant variance. 21

Markov Chain Monte Carlo Goal: p(z (m) ) = p*(z) as m →∞ –MCMCs that have this property are ergodic. Transition properties that provide detailed balance guarantee ergodic MCMC processess. –Also considered reversible. 22

Metropolis-Hastings Algorithm Assume the current state is z (m). Draw a sample z* from q(z|z (m) ) Accept probability function Often use a normal distribution for q –Tradeoff between convergence and acceptance rate based on variance. 23

Gibbs Sampling We’ve been treating z as a vector to be sampled as a whole However, in high dimensions, the accept probability becomes vanishingly small. Gibbs sampling allows us to sample one variable at a time, based on the other variables in z. 24

Gibbs sampling Assume a distribution over 3 variables. Generate a new sample for each variable conditioned on all of the other variables. 25

Gibbs Sampling in a Graphical Model The appeal of Gibbs sampling in a graphical model is that the conditional distribution of a variable is only dependent on its parents. Gibbs sampling fixes n-1 variables, and generates a sample for the the n th. If each of the variables are assumed to have easily sample-able distributions, we can just sample from the conditionals given by the graphical model given some initial states. 26

Gibbs Sampling Fix 4 variables, sample 5 th repeat until convergence 27 A A B B C C D D E E

Next Time Perceptrons Neural Networks 28