Harnessing graphical structure in Markov chain Monte Carlo learning
- California Inst. of Technology, Pasadena, CA (United States)
- Univ. of Pennsylvania, Philadelphia, PA (United States)
The Monte Carlo method is recognized as a useful tool in learning and probabilistic inference methods common to many datamining problems. Generalized Hidden Markov Models and Bayes nets are especially popular applications. However, the presence of multiple modes in many relevant integrands and summands often renders the method slow and cumbersome. Recent mean field alternatives designed to speed things up have been inspired by experience gleaned from physics. The current work adopts an approach very similar to this in spirit, but focusses instead upon dynamic programming notions as a basis for producing systematic Monte Carlo improvements. The idea is to approximate a given model by a dynamic programming-style decomposition, which then forms a scaffold upon which to build successively more accurate Monte Carlo approximations. Dynamic programming ideas alone fail to account for non-local structure, while standard Monte Carlo methods essentially ignore all structure. However, suitably-crafted hybrids can successfully exploit the strengths of each method, resulting in algorithms that combine speed with accuracy. The approach relies on the presence of significant {open_quotes}local{close_quotes} information in the problem at hand. This turns out to be a plausible assumption for many important applications. Example calculations are presented, and the overall strengths and weaknesses of the approach are discussed.
- OSTI ID:
- 421268
- Report Number(s):
- CONF-960830-; TRN: 96:005928-0023
- Resource Relation:
- Conference: 2. international conference on knowledge discovery and data mining, Portland, OR (United States), 2-4 Aug 1996; Other Information: PBD: 1996; Related Information: Is Part Of Proceedings of the second international conference on knowledge discovery & data mining; Simoudis, E.; Han, J.; Fayyad, U. [eds.]; PB: 405 p.
- Country of Publication:
- United States
- Language:
- English
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