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Doubly robust Bayesian inference for non-stationary streaming data with β-divergences
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Knoblauch, Jeremias, Jewson, Jack E. and Damoulas, Theodoros (2018) Doubly robust Bayesian inference for non-stationary streaming data with β-divergences. In: Thirty-second Conference on Neural Information Processing Systems, Montréal, Canada, 3-8 Dec 2018. Published in: Advances in Neural Information Processing Systems, 31 pp. 64-75. doi:10.5555/3326943.3326950
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Official URL: https://doi.org/10.5555/3326943.3326950
Abstract
We present the very first robust Bayesian Online Changepoint Detection algorithm through General Bayesian Inference (GBI) with β-divergences. The resulting inference procedure is doubly robust for both the predictive and the changepoint (CP) posterior, with linear time and constant space complexity. We provide a construction for exponential models and demonstrate it on the Bayesian Linear Regression model. In so doing, we make two additional contributions: Firstly, we make GBI scalable using Structural Variational approximations that are exact as β→0 . Secondly, we give a principled way of choosing the divergence parameter β by minimizing expected predictive loss on-line. We offer the state of the art and improve the False Discovery Rate of CP S by more than 80% on real world data.
Item Type: | Conference Item (Paper) | ||||||
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Subjects: | Q Science > QA Mathematics | ||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Computer Science Faculty of Science, Engineering and Medicine > Science > Statistics |
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Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Divergent series, Algorithms | ||||||
Journal or Publication Title: | Advances in Neural Information Processing Systems | ||||||
Publisher: | Neural Information Processing Systems Foundation, Inc. | ||||||
Official Date: | December 2018 | ||||||
Dates: |
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Volume: | 31 | ||||||
Page Range: | pp. 64-75 | ||||||
DOI: | 10.5555/3326943.3326950 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 5 September 2018 | ||||||
Date of first compliant Open Access: | 12 September 2018 | ||||||
Conference Paper Type: | Paper | ||||||
Title of Event: | Thirty-second Conference on Neural Information Processing Systems | ||||||
Type of Event: | Conference | ||||||
Location of Event: | Montréal, Canada | ||||||
Date(s) of Event: | 3-8 Dec 2018 | ||||||
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Open Access Version: |
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