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Variational bounds for mixed-data factor analysis
Mohammad Emtiyaz Khan · Benjamin Marlin · Guillaume Bouchard · Kevin P Murphy

Wed Dec 08 12:00 AM -- 12:00 AM (PST) @ None #None

We propose a new variational EM algorithm for fitting factor analysis models with mixed continuous and categorical observations. The algorithm is based on a simple quadratic bound to the log-sum-exp function. In the special case of fully observed binary data, the bound we propose is significantly faster than previous variational methods. We show that EM is significantly more robust in the presence of missing data compared to treating the latent factors as parameters, which is the approach used by exponential family PCA and other related matrix-factorization methods. A further benefit of the variational approach is that it can easily be extended to the case of mixtures of factor analyzers, as we show. We present results on synthetic and real data sets demonstrating several desirable properties of our proposed method.

Author Information

Emtiyaz Khan (RIKEN)

Emtiyaz Khan (also known as Emti) is a team leader at the RIKEN center for Advanced Intelligence Project (AIP) in Tokyo where he leads the Approximate Bayesian Inference Team. He is also a visiting professor at the Tokyo University of Agriculture and Technology (TUAT). Previously, he was a postdoc and then a scientist at Ecole Polytechnique Fédérale de Lausanne (EPFL), where he also taught two large machine learning courses and received a teaching award. He finished his PhD in machine learning from University of British Columbia in 2012. The main goal of Emti’s research is to understand the principles of learning from data and use them to develop algorithms that can learn like living beings. For the past 10 years, his work has focused on developing Bayesian methods that could lead to such fundamental principles. The approximate Bayesian inference team now continues to use these principles, as well as derive new ones, to solve real-world problems.

Benjamin Marlin (University of Massachusetts Amherst)
Guillaume Bouchard (Xerox Research Center Europe)
Kevin P Murphy (Google)

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