论文标题
贝叶斯与L1球的推断先验:解决精确零的组合问题
Bayesian Inference with the l1-ball Prior: Solving Combinatorial Problems with Exact Zeros
论文作者
论文摘要
在高维统计中,L1的规范化非常流行 - 它改变了选择哪个参数子集为零的组合问题,将其变成简单的连续优化。使用连续的先验集中在零接近零的位置,贝叶斯对应物成功地量化了可变选择问题的不确定性。然而,缺乏确切的零使更广泛的问题(例如更改点检测和排名选择)困难。受L1型号作为对L1球的约束的二元性的启发,我们通过将连续分布投影到L1球形上提出了新的先验。这会在球边界上产生正概率,该球边界包含连续元素和精确的零。与先验的尖峰和单杆不同,该L1球投影几乎是连续且可肯定的,这使得后部估计值适合汉密尔顿蒙特卡洛算法。我们检查了属性,例如由于投影而引起的体积变化,与联合元素之前的连接,线性问题中的最小浓度率。我们演示了简化组合问题的精确零的有用性,例如时间序列中的更改点检测,混合模型的尺寸选择以及医学图像中的低级别加上SPARSE变化检测。
The l1-regularization is very popular in high dimensional statistics -- it changes a combinatorial problem of choosing which subset of the parameter are zero, into a simple continuous optimization. Using a continuous prior concentrated near zero, the Bayesian counterparts are successful in quantifying the uncertainty in the variable selection problems; nevertheless, the lack of exact zeros makes it difficult for broader problems such as the change-point detection and rank selection. Inspired by the duality of the l1-regularization as a constraint onto an l1-ball, we propose a new prior by projecting a continuous distribution onto the l1-ball. This creates a positive probability on the ball boundary, which contains both continuous elements and exact zeros. Unlike the spike-and-slab prior, this l1-ball projection is continuous and differentiable almost surely, making the posterior estimation amenable to the Hamiltonian Monte Carlo algorithm. We examine the properties, such as the volume change due to the projection, the connection to the combinatorial prior, the minimax concentration rate in the linear problem. We demonstrate the usefulness of exact zeros that simplify the combinatorial problems, such as the change-point detection in time series, the dimension selection of mixture model and the low-rank-plus-sparse change detection in the medical images.