Bayesian Non-linear Latent Variable Modeling via Random Fourier Features

• URL: http://arxiv.org/abs/2306.08352v1
• Date: Wed, 14 Jun 2023 08:42:10 GMT
• Title: Bayesian Non-linear Latent Variable Modeling via Random Fourier Features
• Authors: Michael Minyi Zhang, Gregory W. Gundersen, Barbara E. Engelhardt
• Abstract summary: We present a method to perform Markov chain Monte Carlo inference for generalized nonlinear latent variable modeling. Inference forVMs is computationally tractable only when the data likelihood is Gaussian. We show that we can generalizeVMs to non-Gaussian observations, such as Poisson, negative binomial, and multinomial distributions.
• Score: 7.856578780790166
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: The Gaussian process latent variable model (GPLVM) is a popular probabilistic method used for nonlinear dimension reduction, matrix factorization, and state-space modeling. Inference for GPLVMs is computationally tractable only when the data likelihood is Gaussian. Moreover, inference for GPLVMs has typically been restricted to obtaining maximum a posteriori point estimates, which can lead to overfitting, or variational approximations, which mischaracterize the posterior uncertainty. Here, we present a method to perform Markov chain Monte Carlo (MCMC) inference for generalized Bayesian nonlinear latent variable modeling. The crucial insight necessary to generalize GPLVMs to arbitrary observation models is that we approximate the kernel function in the Gaussian process mappings with random Fourier features; this allows us to compute the gradient of the posterior in closed form with respect to the latent variables. We show that we can generalize GPLVMs to non-Gaussian observations, such as Poisson, negative binomial, and multinomial distributions, using our random feature latent variable model (RFLVM). Our generalized RFLVMs perform on par with state-of-the-art latent variable models on a wide range of applications, including motion capture, images, and text data for the purpose of estimating the latent structure and imputing the missing data of these complex data sets.

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