arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1812.03350cs.LGstat.ML
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具有相依无尾过程的自适应校准包围学习

Adaptive and Calibrated Ensemble Learning with Dependent Tail-free Process

Harvard University(哈佛大学);Columbia University(哥伦比亚大学)

Jeremiah Zhe Liu, John Paisley, Marianthi-Anna Kioumourtzoglou, Brent A. Coull

摘要:

包围学习是现代数据科学实践的中流砥柱。传统的集成算法为基础模型分配一组确定性的恒定模型权重,其(1)不完全考虑跨子组的基础模型准确性的变化,也不(2)提供集成预测的不确定性估计,这可能导致错误校准(即精确但有偏差)的预测,这反过来可能对实际应用中的算法性能产生负面影响。在这项工作中,我们提出了一种自适应的,概率的集成学习方法,使用依赖的无尾过程作为集成权重先验。给定输入特征$\mathbf{x}$,我们的方法根据基础模型在特征空间$\mathbf{x} \in \mathcal{X}$中的预测准确性进行最佳组合,并在模型选择和集合预测中提供可解释的不确定性估计。为了鼓励可扩展和校准的推理,我们推导出一种结构化变分推理算法,该算法联合最小化KL目标和模型的校准得分(即连续排序概率得分(CRPS))。我们说明了我们的方法的实用性的合成非线性函数回归任务,并在新英格兰的颗粒物污染预测模型的时空一体化的实际应用。

英文摘要:

Ensemble learning is a mainstay in modern data science practice. Conventional ensemble algorithms assigns to base models a set of deterministic, constant model weights that (1) do not fully account for variations in base model accuracy across subgroups, nor (2) provide uncertainty estimates for the ensemble prediction, which could result in mis-calibrated (i.e. precise but biased) predictions that could in turn negatively impact the algorithm performance in real-word applications. In this work, we present an adaptive, probabilistic approach to ensemble learning using dependent tail-free process as ensemble weight prior. Given input feature $\mathbf{x}$, our method optimally combines base models based on their predictive accuracy in the feature space $\mathbf{x} \in \mathcal{X}$, and provides interpretable uncertainty estimates both in model selection and in ensemble prediction. To encourage scalable and calibrated inference, we derive a structured variational inference algorithm that jointly minimize KL objective and the model's calibration score (i.e. Continuous Ranked Probability Score (CRPS)). We illustrate the utility of our method on both a synthetic nonlinear function regression task, and on the real-world application of spatio-temporal integration of particle pollution prediction models in New England.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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