nips nips2008 nips2008-102 knowledge-graph by maker-knowledge-mining

102 nips-2008-ICA based on a Smooth Estimation of the Differential Entropy


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Author: Lev Faivishevsky, Jacob Goldberger

Abstract: In this paper we introduce the MeanNN approach for estimation of main information theoretic measures such as differential entropy, mutual information and divergence. As opposed to other nonparametric approaches the MeanNN results in smooth differentiable functions of the data samples with clear geometrical interpretation. Then we apply the proposed estimators to the ICA problem and obtain a smooth expression for the mutual information that can be analytically optimized by gradient descent methods. The improved performance of the proposed ICA algorithm is demonstrated on several test examples in comparison with state-ofthe-art techniques. 1

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Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 il Abstract In this paper we introduce the MeanNN approach for estimation of main information theoretic measures such as differential entropy, mutual information and divergence. [sent-5, score-0.327]

2 As opposed to other nonparametric approaches the MeanNN results in smooth differentiable functions of the data samples with clear geometrical interpretation. [sent-6, score-0.121]

3 Then we apply the proposed estimators to the ICA problem and obtain a smooth expression for the mutual information that can be analytically optimized by gradient descent methods. [sent-7, score-0.444]

4 , xn } and our goal is to recover the linear transformation A and the sources s1 , . [sent-15, score-0.087]

5 Given the minimal statement of the problem, it has been shown [6] that one can recover the original sources up to a scaling and a permutation provided that at most one of the underlying sources is Gaussian and the rest are non-Gaussian. [sent-19, score-0.094]

6 Upon pre-whitening the observed data, the problem reduces to a search over rotation matrices in order to recover the source and mixing matrix in the sense described above [10]. [sent-20, score-0.236]

7 Working with W = A−1 as the parametrization, one readily obtains ˆ a gradient or fixed-point algorithm that yields an estimate W and provides estimates of the latent ˆ = W X [10]. [sent-23, score-0.104]

8 The problem is then, obviously, to find a suitable contrast function, i. [sent-26, score-0.079]

9 The earliest ICA algorithms were based on contrast functions defined in terms of expectations of a single fixed nonlinear function, chosen in ad-hoc manner [5]. [sent-29, score-0.079]

10 More sophisticated algorithms have been obtained by careful choice of a single fixed nonlinear function, such that the expectations of this function yield a robust approximation to the mutual information [9]. [sent-30, score-0.127]

11 Maximizing the likelihood in the semiparametric ICA model is essentially equivalent to minimizing ˆ ˆ the mutual information between the components of the estimate S = W X [4]. [sent-31, score-0.183]

12 The usage of the mutual information as a contrast function to be minimized in estimating the ICA model is well motivated, quite apart from the link to maximum likelihood [6]. [sent-32, score-0.232]

13 Several modern approaches rely on knearest neighbor estimates of entropy and mutual information [12, 16]. [sent-34, score-0.458]

14 Recently the Vasicek estimator [17] for the differential entropy of 1D random variables, based on k-nearest neighbors statistics, was applied to ICA [8, 13]. [sent-35, score-0.618]

15 In addition ICA was studied by another recently introduced MI estimator [16]. [sent-36, score-0.259]

16 However, the derivative of the estimators that are based on order statistics can hardly be computed and therefore the optimization of such numerical criteria can not be based on gradient techniques. [sent-37, score-0.347]

17 Also the result numerical criteria tend to have a non-smooth dependency on sample values. [sent-38, score-0.085]

18 The optimization therefore should involve computation of contrast function on a whole grid of searched parameters. [sent-39, score-0.139]

19 In addition, such estimators do not utilize optimally the whole amount of data included in the samples of random vectors. [sent-40, score-0.198]

20 Therefore they require significant artificial enlargement of data sets by a technique called data augmentation [13] that replaces each data point in sample with R-tuple (R is usually 30) of points given by an statistical procedure with ad-hoc parameters. [sent-41, score-0.098]

21 An alternative is the Fourier filtering of the estimated values of the evaluated MI estimators [16]. [sent-42, score-0.145]

22 In the present paper we propose new smooth estimators for the differential entropy, the mutual information and the divergence. [sent-43, score-0.459]

23 The estimators are obtained by a novel approach averaging k-nearest neighbor statistics for the all possible values of order statistics k. [sent-44, score-0.25]

24 The estimators are smooth, their derivatives may be easily analytically calculated thus enabling fast gradient optimization techniques. [sent-45, score-0.295]

25 The estimators provide a novel geometrical interpretation for the entropy. [sent-47, score-0.186]

26 When applied to ICA problem, the proposed estimator leads to the most precise results for many distributions known at present. [sent-48, score-0.259]

27 The rest of the paper is organized as follows: Section 2 reviews the kNN approach for the entropy and divergence estimation, Section 3 introduces the mean estimator for the differential entropy, the mutual information and the divergence. [sent-49, score-0.795]

28 Section 4 describes the application of the proposed estimators to the ICA problem and Section 5 describes conducted numerical experiments. [sent-50, score-0.182]

29 2 kNN Estimators for the Differential Entropy We review the nearest neighbor technique for the Shannon entropy estimation. [sent-51, score-0.404]

30 The differential entropy of X is defined as: H(X) = − f (x) log f (x)dx (1) We describe the derivation of the Shannon differential entropy estimate of [11, 18]. [sent-52, score-0.799]

31 If one had unbiased estimators for log f (xi ), one would arrive to an unbiased estimator for the entropy. [sent-58, score-0.537]

32 We will estimate log f (xi ) by considering the probability density function Pik ( ) for the distance between xi and its k-th nearest neighbor (the probability is computed over the positions of all other n − 1 points, with xi kept fixed). [sent-59, score-0.428]

33 The probability Pik ( )d is equal to the chance that there is one point within distance r ∈ [ , + d ] from xi , that there are k−1 other points at smaller distances, and that the remaining n−k−1 points have larger distances from xi . [sent-60, score-0.207]

34 Denote the mass of the -ball centered at xi by pi ( ), i. [sent-61, score-0.144]

35 Hence, the expected value of the function log pi ( ) according to the distribution Pik ( ) is: ∞ EPik ( ) (log pi ( )) = Pik ( ) log pi ( )d = k 0 n−1 k 1 pk−1 (1 − p)n−k−1 log p dp (3) 0 = ψ(k) − ψ(n) where ψ(x) is the digamma function (the logarithmic derivative of the gamma function). [sent-69, score-0.456]

36 The expectation is taken over the positions of all other n − 1 points, with xi kept fixed. [sent-71, score-0.096]

37 Assuming that f (x) is almost constant in the entire -ball around xi , we obtain: pi ( ) ≈ cd d f (xi ). [sent-72, score-0.216]

38 (4) where d is the dimension of x and cd is the volume of the d-dimensional unit ball (cd = π d/2 /Γ(1 + d/2) for Euclidean norm). [sent-73, score-0.072]

39 (3), we obtain: − log f (xi ) ≈ ψ(n) − ψ(k) + log(cd ) + dE(log( )) (5) which finally leads to the unbiased kNN estimator for the differential entropy [11]: Hk (X) = ψ(n) − ψ(k) + log(cd ) + d n n log (6) i i=1 where i is the distance from xi to its k-th nearest neighbor. [sent-76, score-0.952]

40 An alternative proof of the asymptotic unbiasedness and consistency of the kNN estimator is found at [15]. [sent-77, score-0.329]

41 A similar approach can be used to obtain a kNN estimator for the Kullback-Leibler divergence [19]. [sent-78, score-0.309]

42 By definition the divergence is given by: p(x) (7) D(p q) = p(x) log q(x) The distance of xi to its nearest neighbor in {xj }j=i is defined as ρn (i) = min d(xi , xj ) (8) j=i We also define the distance of xi to its nearest neighbor in {yj } νn (i) = min d(xi , yj ) (9) j=1,. [sent-90, score-0.698]

43 ,m Then the estimator of [19] is given by d ˆ Dn,m = n n log i=1 νm (i) m + log ρn (i) n−1 (10) The authors established asymptotic unbiasedness and mean-square consistency of the estimator (10). [sent-93, score-0.75]

44 The same proofs could be applied to obtain k-nearest neighbor version of the estimator: d ˆk Dn,m = n n log i=1 k vm (i) m + log ρk (i) n−1 n (11) Being non-parametric, the kNN estimators (6, 11) rely on the order statistics. [sent-94, score-0.443]

45 This makes the analytical calculation of the gradient hardly possible. [sent-95, score-0.11]

46 Also it leads to a certain lack of smoothness of the estimator value as a function of the sample coordinates. [sent-96, score-0.284]

47 One also should mention that finding the k-nearest neighbor is a computationally intensive problem. [sent-97, score-0.171]

48 It becomes necessarily to use involved approximate nearest neighbor techniques for large data sets. [sent-98, score-0.178]

49 3 The MeanNN Entropy Estimator We propose a novel approach for the entropy estimation as a function of sample coordinates. [sent-99, score-0.282]

50 It is based on the fact that the kNN estimator (6) is valid for every k. [sent-100, score-0.259]

51 Therefore the differential entropy can be also extracted from a mean of several estimators corresponding to different values of k. [sent-101, score-0.504]

52 Next we consider all the possible values of order statistics k from 1 to n − 1: Hmean 1 = n−1 n−1 k=1 1 Hk = log(cd ) + ψ(n) + n−1 n−1 k=1 d (−ψ(k) + n n log i,k ) (12) i=1 where i,k is the k-th nearest neighbor of xi . [sent-102, score-0.332]

53 Exchanging the order of summation, the last sum adds for each sample point xi the sum of log of 3 its distances to all its nearest neighbors in the sample. [sent-105, score-0.313]

54 It is of course equivalent to the sum of log of its distances to all other points in the sample set. [sent-106, score-0.167]

55 Hence the mean estimator (12) for the differential entropy can be written as: Hmean = const + d n(n − 1) log xi − xj (13) i=j where the constant depends just on the sample size and dimensionality. [sent-107, score-0.838]

56 We dub this estimator, the MeanNN estimator for differential entropy. [sent-108, score-0.392]

57 It follows that the differential entropy (approximation) has a clear geometric meaning. [sent-109, score-0.359]

58 It is proportional to log of the products of distances between each two points in a random i. [sent-110, score-0.142]

59 It is an intuitive observation since a higher entropy would lead to a larger scattering of the samples thus pairwise distances would grow resulting in a larger product of all distances. [sent-114, score-0.287]

60 Moreover, the MeanNN estimator (13) is a smooth function of the sample coordinates. [sent-115, score-0.338]

61 The asymptotic unbiasedness and consistency of the estimator follow from the same properties of the kNN estimator (6). [sent-117, score-0.588]

62 In this case case the entropy may be analytically calculated as H = log µ + 1. [sent-119, score-0.343]

63 We compared the performance of the MeanNN estimator with k-nearest neighbor estimator (6) for various values of k. [sent-120, score-0.623]

64 One may see that the mean square error of the MeanNN estimator is the same or worse for the traditional kNN estimators. [sent-122, score-0.259]

65 But the standard deviation of the estimator values is best for the MeanNN estimator. [sent-123, score-0.259]

66 In such cases the most important characteristics of an estimator is its monotonic dependency on the estimated value and the prediction of the exact value of the entropy is less important. [sent-125, score-0.485]

67 Therefore one may conclude that MeanNN is better applicable for optimization of entropy based numerical criteria. [sent-126, score-0.295]

68 1698 Mean square error of entropy estimation STD of estimator values 4NN 0. [sent-129, score-0.516]

69 1029 Table 1: Performance of MeanNN entropy estimator in comparison with kNN entropy estimators. [sent-135, score-0.711]

70 If the product of all distances inside one sample is small in comparison with the product of pairwise distances between the samples then one concludes that divergence is large and vice versa. [sent-138, score-0.197]

71 4 The MeanNN ICA Algorithm As many approaches do, we will use a contrast function J(Y ) = q(y1 , . [sent-139, score-0.079]

72 , Xd ) − log(|W |) (17) t=1 In particular, the change in the entropy of the joint distribution under linear transformation is simply the logarithm of the Jacobian of the transformation. [sent-152, score-0.226]

73 As we will assume the X’s to be pre-whitened, W will be restricted to rotation matrices, therefore log(|W |) = 0 and the minimization of J(Y ) reduces to finding ˆ W = arg min H(Y1 ) + . [sent-153, score-0.151]

74 , wd ) , we can explicitly write the minimization expression as a function of W : d ˆ W = arg min W H(wt X) (19) t=1 Then we can plug the MeanNN entropy estimator into Eq. [sent-159, score-0.485]

75 In this parametrization a rotation matrix W ∈ Rd×d is represented by a product of d(d − 1)/2 plane rotations: d−1 d W = Gst (21) s=1 t=s+1 where Gst is a rotation matrix corresponding to a rotation in the st plane by an angle λst . [sent-163, score-0.72]

76 ∂ The contrast function S(W ) and its gradient ∂λst S may in theory suffer from discontinuities if a row wt is perpendicular to a vector xi − xj . [sent-165, score-0.309]

77 One thousand pairs of random numbers x and y are mixed as x = x cos φ + y sin φ, y = −x sin φ + y cos φ with random angle φ common to all pairs (i. [sent-173, score-0.32]

78 We applied the conjugate gradient methods for the optimization of the contrast function (25) with = 1/n = 0. [sent-176, score-0.214]

79 To assess the quality of the estimator A ˆ = A−1 ), we use the Amari performance index Perr ˆ (or, equivalently, of the back transformation W from [1]. [sent-179, score-0.259]

80 d Perr = |pij | |pij | 1 ( + )−1 2d i,j=1 maxk |pik | maxk |pkj | (27) ˆ where pij = (A−1 A)ij . [sent-180, score-0.114]

81 For the first two techniques that utilize different information theoretic measures assessed by order statistics it is highly recommended to use dataset augmentation. [sent-183, score-0.089]

82 The proposed method gives smooth results without any additional augmentation due to its smooth nature (see Eq. [sent-185, score-0.143]

83 edu/∼elm/ICA/, 6 the comparison of different contrast functions based on different order statistics estimators for a grid of possible rotations angles for the mixture of two exponentially distributed random variables (case e). [sent-255, score-0.361]

84 The contrast function corresponding to the order statistics k = 10 generally coincides with √ the n MILCA approach. [sent-256, score-0.104]

85 Also the contrast function corresponding to the order statistics k = 30 generally coincides with the RADICAL method. [sent-257, score-0.104]

86 One may see that MeanNN ICA contrast function leads to much more robust prediction of the rotation angle. [sent-258, score-0.23]

87 One should mention that the gradient based optimization enables to obtain the global optimum with high precision as opposed to MILCA and RADICAL schemes which utilize subspace grid optimization. [sent-259, score-0.285]

88 Application of the gradient based optimization schemes also leads to a computational advantage. [sent-260, score-0.139]

89 The number of needed function evaluations was limited by 20 as opposed to 150 evaluations for grid optimization schemes MILCA and RADICAL. [sent-261, score-0.111]

90 Contrast function dependence on a rotation angle for different entropy estimators. [sent-279, score-0.415]

91 For that purpose we chose at random D (generally) different distributions, then we mixed them by a random rotation and ran the compared ICA algorithms to recover the rotation matrix. [sent-283, score-0.334]

92 1000 samples, 10 repetitions 6 Conclusion We proposed a novel approach for estimation of main information theoretic measures such as differential entropy, mutual information and divergence. [sent-299, score-0.327]

93 The estimators represent smooth differential functions with clear geometrical meaning. [sent-300, score-0.373]

94 The first group is based on exact entropy estimation, that usually leads to high performance as demonstrated by MILCA and RADICAL. [sent-304, score-0.226]

95 The drawback of such estimators is the lack of the gradient and therefore numerical difficulties in optimization. [sent-305, score-0.264]

96 The second group apply different from entropy criteria, that benefit easy calculation of gradient (KernelICA). [sent-306, score-0.308]

97 It represents a contrast function based on an accurate entropy estimation and its gradient is given analytically therefore it may be readily optimized. [sent-309, score-0.454]

98 Finally we mention that the proposed estimation method may further be applied to various problems in the field of machine learning and beyond. [sent-310, score-0.07]

99 An information-maximization approach to blind separation and blind deconvolution. [sent-328, score-0.181]

100 Blind separation of mixtures of independent signals through a quasi-maximum likelihood approach. [sent-353, score-0.074]


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