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Poisson-Randomized Gamma Dynamical Systems
Aaron Schein · Scott Linderman · Mingyuan Zhou · David Blei · Hanna Wallach

Tue Dec 10 05:30 PM -- 07:30 PM (PST) @ East Exhibition Hall B + C #154

This paper presents the Poisson-randomized gamma dynamical system (PRGDS), a model for sequentially observed count tensors that encodes a strong inductive bias toward sparsity and burstiness. The PRGDS is based on a new motif in Bayesian latent variable modeling, an alternating chain of discrete Poisson and continuous gamma latent states that is analytically convenient and computationally tractable. This motif yields closed-form complete conditionals for all variables by way of the Bessel distribution and a novel discrete distribution that we call the shifted confluent hypergeometric distribution. We draw connections to closely related models and compare the PRGDS to these models in studies of real-world count data sets of text, international events, and neural spike trains. We find that a sparse variant of the PRGDS, which allows the continuous gamma latent states to take values of exactly zero, often obtains better predictive performance than other models and is uniquely capable of inferring latent structures that are highly localized in time.

Author Information

Aaron Schein (Columbia University)
Scott Linderman (Columbia University)
Mingyuan Zhou (University of Texas at Austin)
David Blei (Columbia University)

David Blei is a Professor of Statistics and Computer Science at Columbia University, and a member of the Columbia Data Science Institute. His research is in statistical machine learning, involving probabilistic topic models, Bayesian nonparametric methods, and approximate posterior inference algorithms for massive data. He works on a variety of applications, including text, images, music, social networks, user behavior, and scientific data. David has received several awards for his research, including a Sloan Fellowship (2010), Office of Naval Research Young Investigator Award (2011), Presidential Early Career Award for Scientists and Engineers (2011), Blavatnik Faculty Award (2013), and ACM-Infosys Foundation Award (2013). He is a fellow of the ACM.

Hanna Wallach (MSR NYC)

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