Results 11  20
of
113
Graphbased consensus maximization among multiple supervised and unsupervised models
 Advances in Neural Information Processing Systems (NIPS
, 2009
"... Ensemble classifiers such as bagging, boosting and model averaging are known to have improved accuracy and robustness over a single model. Their potential, however, is limited in applications which have no access to raw data but to the metalevel model output. In this paper, we study ensemble learni ..."
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Cited by 15 (7 self)
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Ensemble classifiers such as bagging, boosting and model averaging are known to have improved accuracy and robustness over a single model. Their potential, however, is limited in applications which have no access to raw data but to the metalevel model output. In this paper, we study ensemble learning with output from multiple supervised and unsupervised models, a topic where little work has been done. Although unsupervised models, such as clustering, do not directly generate label prediction for each individual, they provide useful constraints for the joint prediction of a set of related objects. We propose to consolidate a classification solution by maximizing the consensus among both supervised predictions and unsupervised constraints. We cast this ensemble task as an optimization problem on a bipartite graph, where the objective function favors the smoothness of the prediction over the graph, as well as penalizing deviations from the initial labeling provided by supervised models. We solve this problem through iterative propagation of probability estimates among neighboring nodes. Our method can also be interpreted as conducting a constrained embedding in a transformed space, or a ranking on the graph. Experimental results on three real applications demonstrate the benefits of the proposed method over existing alternatives 1. 1
Comparing families of dynamic causal models
 PLoS Comput. Biol
, 2010
"... Mathematical models of scientific data can be formally compared using Bayesian model evidence. Previous applications in the biological sciences have mainly focussed on model selection in which one first selects the model with the highest evidence and then makes inferences based on the parameters of ..."
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Cited by 14 (5 self)
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Mathematical models of scientific data can be formally compared using Bayesian model evidence. Previous applications in the biological sciences have mainly focussed on model selection in which one first selects the model with the highest evidence and then makes inferences based on the parameters of that model. This ‘‘best model’ ’ approach is very useful but can become brittle if there are a large number of models to compare, and if different subjects use different models. To overcome this shortcoming we propose the combination of two further approaches: (i) family level inference and (ii) Bayesian model averaging within families. Family level inference removes uncertainty about aspects of model structure other than the characteristic of interest. For example: What are the inputs to the system? Is processing serial or parallel? Is it linear or nonlinear? Is it mediated by a single, crucial connection? We apply Bayesian model averaging within families to provide inferences about parameters that are independent of further assumptions about model structure. We illustrate the methods using Dynamic Causal Models of brain imaging data.
A Monte Carlo AIXI Approximation
 J. Artif. Intell. Res
"... This paper describes a computationally feasible approximation to the AIXI agent, a universal reinforcement learning agent for arbitrary environments. AIXI is scaled down in two key ways: First, the class of environment models is restricted to all prediction suffix trees of a fixed maximum depth. Thi ..."
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Cited by 13 (6 self)
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This paper describes a computationally feasible approximation to the AIXI agent, a universal reinforcement learning agent for arbitrary environments. AIXI is scaled down in two key ways: First, the class of environment models is restricted to all prediction suffix trees of a fixed maximum depth. This allows a Bayesian mixture of environment models to be computed in time proportional to the logarithm of the size of the model class. Secondly, the finitehorizon expectimax search is approximated by an asymptotically convergent Monte Carlo Tree Search technique. This scaled down AIXI agent is empirically shown to be effective on a wide class of toy problem domains, ranging from simple fully observable games to small POMDPs. We explore the limits of this approximate agent and propose a general heuristic framework for scaling this technique to much larger problems.
Model averaging and valueatrisk based evaluation of large multiasset volatility models for risk management
, 2005
"... This paper considers the problem of model uncertainty in the case of multiasset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and ..."
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Cited by 13 (2 self)
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This paper considers the problem of model uncertainty in the case of multiasset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple ValueatRisk (VaR) diagnostic test is proposed for individual as well as ‘average’ models. The asymptotic as well as the exact finitesample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns based on twenty two of Standard & Poor’s 500 industry group indices over the period 19952003. We find strong evidence in support of ‘thick’ modelling proposed in the forecasting literature by Granger and Jeon (2004).
Learning Bayes net structure from sparse data sets
, 2001
"... There are essentially two kinds of approaches for learning the structure of Bayesian Networks (BNs) from data. The first approach tries to find a graph which satis es all the constraints implied by the empirical conditional independencies measured in the data [PV91, SGS00a, Shi00]. The second approa ..."
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Cited by 12 (2 self)
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There are essentially two kinds of approaches for learning the structure of Bayesian Networks (BNs) from data. The first approach tries to find a graph which satis es all the constraints implied by the empirical conditional independencies measured in the data [PV91, SGS00a, Shi00]. The second approach searches through the space of models (either DAGs or PDAGs), and uses some scoring metric (typically Bayesian or some approximation, such as BIC/MDL) to evaluate the models [CH92, Hec95, Hec98, Kra98], typically returning the highest scoring model found. Our main interest is in learning BN structure from gene expression data [FLNP00, HGJY01, MM99, SGS00b]. In domains such as this, where the ratio of the number of observations to the number of variables is low (i.e., when we have sparse data), selecting a threshold for the conditional independence (CI) tests can be tricky, and repeated use of such tests can lead to inconsistencies [DD99]. Bayesian s...
A MonteCarlo AIXI Approximation
, 2009
"... This paper describes a computationally feasible approximation to the AIXI agent, a universal reinforcement learning agent for arbitrary environments. AIXI is scaled down in two key ways: First, the class of environment models is restricted to all prediction suffix trees of a fixed maximum depth. Thi ..."
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Cited by 11 (5 self)
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This paper describes a computationally feasible approximation to the AIXI agent, a universal reinforcement learning agent for arbitrary environments. AIXI is scaled down in two key ways: First, the class of environment models is restricted to all prediction suffix trees of a fixed maximum depth. This allows a Bayesian mixture of environment models to be computed in time proportional to the logarithm of the size of the model class. Secondly, the finitehorizon expectimax search is approximated by an asymptotically convergent Monte Carlo Tree Search technique. This scaled down AIXI agent is empirically shown to be effective on a wide class of toy problem domains, ranging from simple fully observable games to small POMDPs. We explore the limits of this approximate agent and propose a general heuristic framework for scaling this technique to much larger problems.
Early detection of changes in the North Atlantic meridional overturning circulation: Implications for the design of ocean observation systems
 JOURNAL OF CLIMATE
, 2007
"... Many climate models predict that anthropogenic greenhouse gas emissions may cause a threshold response of the North Atlantic meridional overturning circulation (MOC). These model predictions are, ..."
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Cited by 10 (6 self)
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Many climate models predict that anthropogenic greenhouse gas emissions may cause a threshold response of the North Atlantic meridional overturning circulation (MOC). These model predictions are,
Modelbased assignment and inference of protein backbone nuclear magnetic resonances
 STATISTICAL APPLICATIONS IN GENETICS AND MOLECULAR BIOLOGY
, 2004
"... ..."
Model Averaging in Risk Management with an Application to Futures Markets
, 2008
"... This paper considers the problem of model uncertainty in the case of multiasset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and ..."
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Cited by 9 (2 self)
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This paper considers the problem of model uncertainty in the case of multiasset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered and a simple ValueatRisk (VaR) diagnostic test is proposed for individual as well as ‘average ’ models. The asymptotic as well as the exact finitesample distribution of the test statistic, dealing with the possibility of parameter uncertainty, are established. The model averaging idea and the VaR diagnostic tests are illustrated by an application to portfolios of daily returns on six currencies, four equity indices, four ten year government bonds and four commodities over the period 19912007. The empirical evidence supports the use of ‘thick’ model averaging strategies over single models or Bayesian type model averaging procedures.