Physics – Condensed Matter – Disordered Systems and Neural Networks
Scientific paper
2009-01-08
Physics
Condensed Matter
Disordered Systems and Neural Networks
Accepted in Neural Computation
Scientific paper
A novel formalism for Bayesian learning in the context of complex inference models is proposed. The method is based on the use of the Stationary Fokker--Planck (SFP) approach to sample from the posterior density. Stationary Fokker--Planck sampling generalizes the Gibbs sampler algorithm for arbitrary and unknown conditional densities. By the SFP procedure approximate analytical expressions for the conditionals and marginals of the posterior can be constructed. At each stage of SFP, the approximate conditionals are used to define a Gibbs sampling process, which is convergent to the full joint posterior. By the analytical marginals efficient learning methods in the context of Artificial Neural Networks are outlined. Off--line and incremental Bayesian inference and Maximum Likelihood Estimation from the posterior is performed in classification and regression examples. A comparison of SFP with other Monte Carlo strategies in the general problem of sampling from arbitrary densities is also presented. It is shown that SFP is able to jump large low--probabilty regions without the need of a careful tuning of any step size parameter. In fact, the SFP method requires only a small set of meaningful parameters which can be selected following clear, problem--independent guidelines. The computation cost of SFP, measured in terms of loss function evaluations, grows linearly with the given model's dimension.
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