We present an Automatic Relevance Determination prior Bayesian Neural Network(BNN-ARD) weight l2-norm measure as a feature importance statistic for the model-x knockoff filter. We show on both simulated data and the Norwegian wind farm dataset that the proposed feature importance statistic yields statistically significant improvements relative to similar feature importance measures in both variable selection power and predictive performance on a real world dataset.
In many problem settings, parameter vectors are not merely sparse but dependent in such a way that non-zero coefficients tend to cluster together. We refer to this form of dependency as "region sparsity." Classical sparse regression methods, such as the lasso and automatic relevance determination (ARD), which model parameters as independent a priori, and therefore do not exploit such dependencies. Here we introduce a hierarchical model for smooth, region-sparse weight vectors and tensors in a linear regression setting. Our approach represents a hierarchical extension of the relevance determina…
We aim to identify the generating, ordinary differential equation (ODE) from a set of trajectories of a partially observed system. Our approach does not need prescribed basis functions to learn the ODE model, but only a rich set of Neural Arithmetic Units. For maximal explainability of the learnt model, we minimise the state size of the ODE as well as the number of non-zero parameters that are needed to solve the problem. This sparsification is realized through a combination of the Variational Auto-Encoder (VAE) and Automatic Relevance Determination (ARD). We show that it is possible to learn …
Technical University of Denmark (DTU)（丹麦技术大学）；École Polytechnique Fédérale de Lausanne (EPFL)（洛桑联邦理工学院）
Specifying utility functions is a key step towards applying the discrete choice framework for understanding the behaviour processes that govern user choices. However, identifying the utility function specifications that best model and explain the observed choices can be a very challenging and time-consuming task. This paper seeks to help modellers by leveraging the Bayesian framework and the concept of automatic relevance determination (ARD), in order to automatically determine an optimal utility function specification from an exponentially large set of possible specifications in a purely data…
A recurring problem when building probabilistic latent variable models is regularization and model selection, for instance, the choice of the dimensionality of the latent space. In the context of belief networks with latent variables, this problem has been adressed with Automatic Relevance Determination (ARD) employing Monte Carlo inference. We present a variational inference approach to ARD for Deep Generative Models using doubly stochastic variational inference to provide fast and scalable learning. We show empirical results on a standard dataset illustrating the effects of contracting the l…
In the classic sparsity-driven problems, the fundamental L-1 penalty method has been shown to have good performance in reconstructing signals for a wide range of problems. However this performance relies on a good choice of penalty weight which is often found from empirical experiments. We propose an algorithm called the Laplacian variational automatic relevance determination (Lap-VARD) that takes this penalty weight as a parameter of a prior Laplace distribution. Optimization of this parameter using an automatic relevance determination framework results in a balance between the sparsity and a…
Credit risk modelling is an integral part of the global financial system. While there has been great attention paid to neural network models for credit default prediction, such models often lack the required interpretation mechanisms and measures of the uncertainty around their predictions. This work develops and compares Bayesian Neural Networks(BNNs) for credit card default modelling. This includes a BNNs trained by Gaussian approximation and the first implementation of BNNs trained by Hybrid Monte Carlo(HMC) in credit risk modelling. The results on the Taiwan Credit Dataset show that BNNs w…
This work considers methods for imposing sparsity in Bayesian regression with applications in nonlinear system identification. We first review automatic relevance determination (ARD) and analytically demonstrate the need to additional regularization or thresholding to achieve sparse models. We then discuss two classes of methods, regularization based and thresholding based, which build on ARD to learn parsimonious solutions to linear problems. In the case of orthogonal covariates, we analytically demonstrate favorable performance with regards to learning a small set of active terms in a linear…
Bielefeld University（比勒费尔德大学）；University of Groningen（格罗宁根大学）；University of Birmingham（伯明翰大学）
Advances in machine learning technologies have led to increasingly powerful models in particular in the context of big data. Yet, many application scenarios demand for robustly interpretable models rather than optimum model accuracy; as an example, this is the case if potential biomarkers or causal factors should be discovered based on a set of given measurements. In this contribution, we focus on feature selection paradigms, which enable us to uncover relevant factors of a given regularity based on a sparse model. We focus on the important specific setting of linear ordinal regression, i.e.\ …
University of Sheffield（谢菲尔德大学）；KTH – Royal Institute of Technology（瑞典皇家理工学院）；Wellcome Trust Centre for Human Genetics（惠康信托人类遗传学中心）
In this paper we present a fully Bayesian latent variable model which exploits conditional nonlinear(in)-dependence structures to learn an efficient latent representation. The latent space is factorized to represent shared and private information from multiple views of the data. In contrast to previous approaches, we introduce a relaxation to the discrete segmentation and allow for a "softly" shared latent space. Further, Bayesian techniques allow us to automatically estimate the dimensionality of the latent spaces. The model is capable of capturing structure underlying extremely high dimensio…
This paper addresses the estimation of the latent dimensionality in nonnegative matrix factorization (NMF) with the β-divergence. The β-divergence is a family of cost functions that includes the squared Euclidean distance, Kullback-Leibler and Itakura-Saito divergences as special cases. Learning the model order is important as it is necessary to strike the right balance between data fidelity and overfitting. We propose a Bayesian model based on automatic relevance determination in which the columns of the dictionary matrix and the rows of the activation matrix are tied together through a commo…
Işık University（伊希克大学）；University of Louisiana at Lafayette（路易斯安那大学拉斐特分校）；University of Southern California（南加州大学）
Alzheimer's disease is a major cause of dementia. Its diagnosis requires accurate biomarkers that are sensitive to disease stages. In this respect, we regard probabilistic classification as a method of designing a probabilistic biomarker for disease staging. Probabilistic biomarkers naturally support the interpretation of decisions and evaluation of uncertainty associated with them. In this paper, we obtain probabilistic biomarkers via Gaussian Processes. Gaussian Processes enable probabilistic kernel machines that offer flexible means to accomplish Multiple Kernel Learning. Exploiting this fl…
CANDECOMP/PARAFAC (CP) tensor factorization of incomplete data is a powerful technique for tensor completion through explicitly capturing the multilinear latent factors. The existing CP algorithms require the tensor rank to be manually specified, however, the determination of tensor rank remains a challenging problem especially for CP rank. In addition, existing approaches do not take into account uncertainty information of latent factors, as well as missing entries. To address these issues, we formulate CP factorization using a hierarchical probabilistic model and employ a fully Bayesian trea…
School of Data Science, Fudan University, Shanghai, China（复旦大学数据科学学院）；Incubation Institute, Fudan University, Shanghai, China（复旦大学孵化院）；Shanghai Academy of Artificial Intelligence for Science, Shanghai, China（上海人工智能科学研究院）；Eberly College of Science, Pennsylvania State University, PA, United State（宾夕法尼亚州立大学科学学院）；Department of Applied Mathematics and Theoretical Physics, University of Cambridge, Cambridge, United Kingdom（剑桥大学应用数学与理论物理系）；Zhongshan Hospital, Fudan University, Shanghai, China（复旦大学中山医院）
Variable selection for Gaussian process models is often done using automatic relevance determination, which uses the inverse length-scale parameter of each input variable as a proxy for variable relevance. This implicitly determined relevance has several drawbacks that prevent the selection of optimal input variables in terms of predictive performance. To improve on this, we propose two novel variable selection methods for Gaussian process models that utilize the predictions of a full model in the vicinity of the training points and thereby rank the variables based on their predictive relevanc…
To incorporate prior knowledge as well as measurement uncertainties in the traditional long short term memory (LSTM) neural networks, an efficient sparse Bayesian training algorithm is introduced to the network architecture. The proposed scheme automatically determines relevant neural connections and adapts accordingly, in contrast to the classical LSTM solution. Due to its flexibility, the new LSTM scheme is less prone to overfitting, and hence can approximate time dependent solutions by use of a smaller data set. On a structural nonlinear finite element application we show that the self-regu…
University of California Santa Barbara（加州大学圣巴巴拉分校）；Department of Mathematics, University of California Santa Barbara（加州大学圣巴巴拉分校数学系）；Department of Electrical and Computer Engineering, University of California Santa Barbara（加州大学圣巴巴拉分校电气与计算机工程系）；Facebook AI Systems Hardware/Software Co-design（Facebook人工智能系统硬件/软件协同设计）
While post-training model compression can greatly reduce the inference cost of a deep neural network, uncompressed training still consumes a huge amount of hardware resources, run-time and energy. It is highly desirable to directly train a compact neural network from scratch with low memory and low computational cost. Low-rank tensor decomposition is one of the most effective approaches to reduce the memory and computing requirements of large-size neural networks. However, directly training a low-rank tensorized neural network is a very challenging task because it is hard to determine a proper…
Kyoto University（京都大学）；National Institute of Informatics（国立信息学研究所）
A common strategy for sparse linear regression is to introduce regularization, which eliminates irrelevant features by letting the corresponding weights be zeros. However, regularization often shrinks the estimator for relevant features, which leads to incorrect feature selection. Motivated by the above-mentioned issue, we propose Bayesian masking (BM), a sparse estimation method which imposes no regularization on the weights. The key concept of BM is to introduce binary latent variables that randomly mask features. Estimating the masking rates determines the relevance of the features automati…
