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Author:Noeva, Polina
Title:Sampling Methods for Missing Value Reconstruction
Publication type:Master's thesis
Publication year:2012
Pages:[8] + 60 s. + liitt. 10      Language:   eng
Department/School:Tietotekniikan laitos
Main subject:Informaatiotekniikka   (T-61)
Supervisor:Oja, Erkki
Instructor:Ilin, Alexander
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
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Location:P1 Ark Aalto     | Archive
Keywords:sampling methods
Markov chain
Monte Carlo
Gibbs sampling
Langevin dynamics
variational inference
natural gradient
stochastic gradient
sparse dataset
Abstract (eng): The main theme of this thesis is reconstruction of missing value in sparse datasets with algorithms based on sampling methods.
A probabilistic principal component analysis model is used to model the data.
In contrast to the standard principal component analysis, this model allows to avoid over fitting and to use Bayesian inference methods by adding the noise term into the model and introducing prior distributions over the model parameters.

The parameters of the model are estimated by approximate inference methods.
Particularly, variational Bayesian principal component analysis is used as a baseline method in the experiments part where the parameters of the model are estimated with a maximum likelihood estimate by using expectation maximization algorithm.
The other approach to approximate inference is sampling from posterior distribution.
Particularly, Metropolis-Hastings sampling, Gibbs sampling, Langevin dynamics MCMC and Langevin dynamics MCMC with stochastic gradient, are considered.

Gradient-based algorithms allow to use the geometry information of the posterior distribution and to move in the direction of the higher probability density at each step.
Langevin dynamics sampling method is also generalized by using natural gradient instead of the standard gradient in the update rules.
Presented gradient-based sampling methods are tested on a simple example involving only two parameters.
Also, all sampling methods are applied to the problem of missing value reconstruction in the Movielens dataset.

The results are promising and show that the proposed sampling methods outperform variational Bayesian inference approach and suggest that sampling methods can be efficiently applied for large-scale problems.
ED:2012-06-27
INSSI record number: 44737
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