NIPS paper: Optimal kernel choice for large-scale two-sample tests

NIPS 2012 is already over. Unfortunately, I could not go due to the lack of travel funding. However, as mentioned a few weeks ago, I participated in one paper which is closely related to my Master’s project with Arthur Gretton and Massi Pontil. Optimal kernel choice for large-scale two-sample tests. We recently set up a page for the paper where you can download my Matlab implementation of the paper’s methods. Feel free to play around with that. I am currently finishing implementing most methods into the SHOGUN toolbox. We also have a poster which was presented at NIPS. See below for all links.
Update: I have completed the kernel selection framework for SHOGUN, it will be included in the next release. See the base class interface here. See an example to use it: single kernel (link) and combined kernels (link). All methods that are mentioned in the paper are included. I also updated the shogun tutorial (link).

At its core, the paper describes a method for selecting the best kernel for two-sample testing with the linear time MMD. Given a kernel $k$ and terms
the linear time MMD is their empirical mean,
which is a linear time estimate for the squared distance of the mean embeddings of the distributions where the $x_i, y_i$ come from. The quantity allows to perform a two-sample test, i.e. to tell whether the underlying distributions are different.
Given a finite family of kernels $\mathcal{K}$, we select the optimal kernel via maximising the ratio of the MMD statistic by a linear time estimate of the standard deviation of the terms
$$k_*=\arg \sup_{k\in\mathcal{K}}\frac{ \hat\eta_k}{\hat \sigma_k},$$
where $\hat\sigma_k^2$ is a linear time estimate of the variance $\sigma_k^2=\mathbb{E}[h_k^2] – (\mathbb{E}[h_k])^2$ which can also be computed in linear time and constant space. We give a linear time and constant space empirical estimate of this ratio. We establish consistency of this empirical estimate as
$$ \left\vert \sup_{k\in\mathcal{K}}\hat\eta_k \hat\sigma_k^{-1} -\sup_{k\in\mathcal{K}}\eta_k\sigma_k^{-1}\right\vert=O_P(m^{-\frac{1}{3}}).$$

In addition, we describe a MKL style generalisation to selecting weights of convex combinations of a finite number of baseline kernels,
$$\mathcal{K}:={k : k=\sum_{u=1}^d\beta_uk_u,\sum_{u=1}^d\beta_u\leq D,\beta_u\geq 0, \forall u\in{1,…,d}},$$
via solving the quadratic program
$$\min_\beta { \beta^T\hat{Q}\beta : \beta^T \hat{\eta}=1, \beta\succeq 0},$$
where $\hat{Q}$ is the positive definite empirical covariance matrix of the $h$ terms of all pairs of kernels.

We then describe three experiments to illustrate

  • That our criterion outperforms existing methods on synthetic and real-life datasets which correspond to hard two-sample problems
  • Why multiple kernels can be an advantage in two-sample testing

See also the description of my Master’s project (link) for details on the experiments.

Download paper
Download poster
Download Matlab code (under the GPLv3)
Supplementary page


Leave a Reply

Your email address will not be published. Required fields are marked *