Nonparametric Bayesian inference using kernel distribution embeddings

author: Arthur Gretton, Centre for Computational Statistics and Machine Learning, University College London
published: Oct. 6, 2014,   recorded: December 2013,   views: 2055

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A method is presented for approximate Bayesian inference, where explicit models for the prior and likelihood are unknown (or difficult to compute), but sampling from these distributions is possbile. The method expresses the prior as an element in a reproducing kernel Hilbert space, and the likelihood as a family of such elements, indexed by the conditioning variable. These distribution embeddings may be computed directly from training samples: in particular, the likelihood embedding is the solution of a mulitask learning problem with (potentially) infinite tasks, where each task is a different feature space dimension.

Kernel message passing can be applied to any domains where kernels are defined, handling challenging cases such as discrete variables with huge domains, or very complex, non-Gaussian continuous distributions. An empirical comparison with approximate Bayesian computation (ABC) shows better performance in high dimensions. Finally, the approach is applied to camera angle recovery from captured images, showing better performance than the extended Kalman filter.

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