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B-test: A Non-parametric, Low Variance Kernel Two-sample Test
Wojciech Zaremba · Arthur Gretton · Matthew B Blaschko

Sat Dec 07 07:00 PM -- 11:59 PM (PST) @ Harrah's Special Events Center, 2nd Floor

We propose a family of maximum mean discrepancy (MMD) kernel two-sample tests that have low sample complexity and are consistent. The test has a hyperparameter that allows one to control the tradeoff between sample complexity and computational time. Our family of tests, which we denote as B-tests, is both computationally and statistically efficient, combining favorable properties of previously proposed MMD two-sample tests. It does so by better leveraging samples to produce low variance estimates in the finite sample case, while avoiding a quadratic number of kernel evaluations and complex null-hypothesis approximation as would be required by tests relying on one sample U-statistics. The B-test uses a smaller than quadratic number of kernel evaluations and avoids completely the computational burden of complex null-hypothesis approximation while maintaining consistency and probabilistically conservative thresholds on Type I error. Finally, recent results of combining multiple kernels transfer seamlessly to our hypothesis test, allowing a further increase in discriminative power and decrease in sample complexity.

Author Information

Wojciech Zaremba (OpenAI)
Arthur Gretton (Google Deepmind / UCL)

Arthur Gretton is a Professor with the Gatsby Computational Neuroscience Unit at UCL. He received degrees in Physics and Systems Engineering from the Australian National University, and a PhD with Microsoft Research and the Signal Processing and Communications Laboratory at the University of Cambridge. He previously worked at the MPI for Biological Cybernetics, and at the Machine Learning Department, Carnegie Mellon University. Arthur's recent research interests in machine learning include the design and training of generative models, both implicit (e.g. GANs) and explicit (high/infinite dimensional exponential family models), nonparametric hypothesis testing, and kernel methods. He has been an associate editor at IEEE Transactions on Pattern Analysis and Machine Intelligence from 2009 to 2013, an Action Editor for JMLR since April 2013, an Area Chair for NeurIPS in 2008 and 2009, a Senior Area Chair for NeurIPS in 2018, an Area Chair for ICML in 2011 and 2012, and a member of the COLT Program Committee in 2013. Arthur was program chair for AISTATS in 2016 (with Christian Robert), tutorials chair for ICML 2018 (with Ruslan Salakhutdinov), workshops chair for ICML 2019 (with Honglak Lee), program chair for the Dali workshop in 2019 (with Krikamol Muandet and Shakir Mohammed), and co-organsier of the Machine Learning Summer School 2019 in London (with Marc Deisenroth).

Matthew B Blaschko (KU Leuven)

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