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Model-based Kernel Sum Rule: Kernel Bayesian Inference with Probabilistic Models

2018

Article

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Kernel Bayesian inference is a powerful nonparametric approach to performing Bayesian inference in reproducing kernel Hilbert spaces or feature spaces. In this approach, kernel means are estimated instead of probability distributions, and these estimates can be used for subsequent probabilistic operations (as for inference in graphical models) or in computing the expectations of smooth functions, for instance. Various algorithms for kernel Bayesian inference have been obtained by combining basic rules such as the kernel sum rule (KSR), kernel chain rule, kernel product rule and kernel Bayes' rule. However, the current framework only deals with fully nonparametric inference (i.e., all conditional relations are learned nonparametrically), and it does not allow for flexible combinations of nonparametric and parametric inference, which are practically important. Our contribution is in providing a novel technique to realize such combinations. We introduce a new KSR referred to as the model-based KSR (Mb-KSR), which employs the sum rule in feature spaces under a parametric setting. Incorporating the Mb-KSR into existing kernel Bayesian framework provides a richer framework for hybrid (nonparametric and parametric) kernel Bayesian inference. As a practical application, we propose a novel filtering algorithm for state space models based on the Mb-KSR, which combines the nonparametric learning of an observation process using kernel mean embedding and the additive Gaussian noise model for a state transition process. While we focus on additive Gaussian noise models in this study, the idea can be extended to other noise models, such as the Cauchy and alpha-stable noise models.

Author(s): Y. Nishiyama and M. Kanagawa and A. Gretton and K. Fukumizu
Journal: Arxiv e-prints
Volume: arXiv:1409.5178v2 [stat.ML]
Year: 2018

Department(s): Probabilistic Numerics
Bibtex Type: Article (article)
Paper Type: Technical Report

Links: arXiv

BibTex

@article{NisKanGreFuk18,
  title = {Model-based Kernel Sum Rule: Kernel {B}ayesian Inference with Probabilistic Models},
  author = {Nishiyama, Y. and Kanagawa, M. and Gretton, A. and Fukumizu, K.},
  journal = {Arxiv e-prints},
  volume = {arXiv:1409.5178v2 [stat.ML]},
  year = {2018}
}