Plenary talk of Markus Hegland (Australian National University Canberra)

The optimal combination technique for the solution of some machine learning problems and connections to variational Bayes and mixture models
Sparse grids lead to a substantial storage reduction compared to regular grids. This comes at a cost as the matrices characterising the solutions of variational problems involving sparse grids are more dense than in the case of regular grids. The combination technique reduces the problem on a sparse grid to a set of problems on regular subgrids. The sparse grid solution is then approximated by a linear combination of solutions on the subgrids where the combination coefficients can be obtained from an inclusion-exclusion principle. While this approach works very well in many practical cases, J. Garcke did show in his PhD thesis that the errors of the combination method can be much larger than the sparse grid approximation error for some machine learning problems. Here I will review how an adaptive choice of the coefficients defining the combination technique can avoid these errors at the cost of the solution of a dense but relatively small linear system of equations. Experimental evidence supports this claim for regression in machine learning for which the problem was first observed and some error bounds are given. The method is then applied to density estimation using a maximum a posteriori approach. It is seen that the optimal combination technique can be incorporated in the Newton iteration technique. It was found experimentally that the combination coefficients converge towards the ones used in the original combination technique. In a second part of this talk I will discuss some connections between the combination technique, statistical backfitting, variational Bayes and mixture models. In particular, approximations using separable functions and the Kullback-Leibler divergence will be reviewed. This is joint work with Jochen Garcke and Michael Griebel.

Organisers

Lars Grasedyck (MPI Leipzig, Germany)
Wolfgang Hackbusch (MPI Leipzig, Germany)
Boris Khoromskij (MPI Leipzig, Germany)