Archive for spike-and-slab

top model choice week (#3)

Posted in Statistics, University life with tags , , , , , , , , , , , on June 19, 2013 by xi'an

La Défense and Maison-Lafitte from my office, Université Paris-Dauphine, Nov. 05, 2011To conclude this exciting week, there will be a final seminar by Veronika Rockovà (Erasmus University) on Friday, June 21, at 11am at ENSAE  in Room 14. Here is her abstract:

11am: Fast Dynamic Posterior Exploration for Factor Augmented Multivariate Regression byVeronika Rockova

Advancements in high-throughput experimental techniques have facilitated the availability of diverse genomic data, which provide complementary information regarding the function and organization of gene regulatory mechanisms. The massive accumulation of data has increased demands for more elaborate modeling approaches that combine the multiple data platforms. We consider a sparse factor regression model, which augments the multivariate regression approach by adding a latent factor structure, thereby allowing for dependent patterns of marginal covariance between the responses. In order to enable the identi cation of parsimonious structure, we impose spike and slab priors on the individual entries in the factor loading and regression matrices. The continuous relaxation of the point mass spike and slab enables the implementation of a rapid EM inferential procedure for dynamic posterior model exploration. This is accomplished by considering a nested sequence of spike and slab priors and various factor space cardinalities. Identi ed candidate models are evaluated by a conditional posterior model probability criterion, permitting trans-dimensional comparisons. Patterned sparsity manifestations such as an orthogonal allocation of zeros in factor loadings are facilitated by structured priors on the binary inclusion matrix. The model is applied to a problem of integrating two genomic datasets, where expression of microRNA’s is related to the expression of genes with an underlying connectivity pathway network.

top model choice week (#2)

Posted in Statistics, University life with tags , , , , , , , , , , , , on June 18, 2013 by xi'an

La Défense and Maison-Lafitte from my office, Université Paris-Dauphine, Nov. 05, 2011Following Ed George (Wharton) and Feng Liang (University of Illinois at Urbana-Champaign) talks today in Dauphine, Natalia Bochkina (University of Edinburgh) will  give a talk on Thursday, June 20, at 2pm in Room 18 at ENSAE (Malakoff) [not Dauphine!]. Here is her abstract:

2 am: Simultaneous local and global adaptivity of Bayesian wavelet estimators in nonparametric regression by Natalia Bochkina

We consider wavelet estimators in the context of nonparametric regression, with the aim of finding estimators that simultaneously achieve the local and global adaptive minimax rate of convergence. It is known that one estimator – James-Stein block thresholding estimator of T.Cai (2008) – achieves simultaneously both optimal rates of convergence but over a limited set of Besov spaces; in particular, over the sets of spatially inhomogeneous functions (with 1≤ p<2) the upper bound on the global rate of this estimator is slower than the optimal minimax rate.

Another possible candidate to achieve both rates of convergence simultaneously is the Empirical Bayes estimator of Johnstone and Silverman (2005) which is an adaptive estimator that achieves the global minimax rate over a wide rage of Besov spaces and Besov balls. The maximum marginal likelihood approach is used to estimate the hyperparameters, and it can be interpreted as a Bayesian estimator with a uniform prior. We show that it also achieves the adaptive local minimax rate over all Besov spaces, and hence it does indeed achieve both local and global rates of convergence simultaneously over Besov spaces. We also give an example of how it works in practice.

top model choice week

Posted in Statistics, University life with tags , , , , , , , on June 13, 2013 by xi'an

La Défense and Maison-Lafitte from my office, Université Paris-Dauphine, Nov. 05, 2011Next week, we are having a special Bayesian [top] model choice week in Dauphine, thanks to the simultaneous visits of Ed George (Wharton), Feng Liang (University of Illinois at Urbana-Champaign), and Veronika Rockovà (Erasmus University). To start the week and get to know the local actors (!), Ed and Feng both give a talk on Tuesday, June 18, at 11am and 1pm in Room C108. Here are the abstracts:

11am: Prediction and Model Selection for Multi-task Learning by Feng Liang

In multi-task learning one simultaneoulsy fits multiple regression models. We are interested in inference problems like model selection and prediction when there are a large number of tasks. A simple version of such models is a one-way ANOVA model where the number of replicates is fixed but the number of groups goes to infinity. We examine the consistency of Bayesian procedures using Zellner (1986)’s g-prior and its variants (such as mixed g-priors and Empirical Bayes), and compare their prediction accuracy with other procedures, such as the ones based AIC/BIC and group Lasso. Our results indicate that the Empirical Bayes procedure (with some modification for the large p small n setting) can achieve model selection consistency, and also have better estimation accuracy than other procedures being considered. During my talk, I’ll focus on the analysis on the one-way ANOVA model, but will also give a summary on our findings for multi-tasking learning invovling a more general regression setting. This is based on joint work with my PhD student Bin Li from University of Illinois at Urbana-Champaign.

1pm: EMVS: The EM Approach to Bayesian Variable Selection by Edward George

Despite rapid developments in stochastic search algorithms, the practicality of Bayesian variable selection methods has continued to pose challenges. High-dimensional data are now routinely analyzed, typically with many more covariates than observations. To broaden the applicability of Bayesian variable selection for such high-dimensional linear regression contexts, we propose EMVS, a deterministic alternative to stochastic search based on an EM algorithm which exploits a conjugate mixture prior formulation to quickly find posterior modes. Combining a spike-and-slab regularization diagram for the discovery of active predictor sets with subsequent rigorous evaluation of posterior model probabilities, EMVS rapidly identifies promising sparse high posterior probability submodels. External structural information such as likely covariate groupings or network topologies is easily incorporated into the EMVS framework. Deterministic annealing variants are seen to improve the effectiveness of our algorithms by mitigating the posterior multi-modality associated with variable selection priors. The usefulness the EMVS approach is demonstrated on real high-dimensional data, where computational complexity renders stochastic search to be less practical. This is joint work with Veronika Rockova of Erasmus University)