2016
Valera, Isabel; Ruiz, Francisco J R; Perez-Cruz, Fernando
Infinite Factorial Unbounded-State Hidden Markov Model Artículo de revista
En: IEEE transactions on pattern analysis and machine intelligence, vol. 38, no. 9, pp. 1816 – 1828, 2016, ISSN: 1939-3539.
Resumen | Enlaces | BibTeX | Etiquetas: Bayes methods, Bayesian nonparametrics, CASI CAM CM, Computational modeling, GAMMA-L+ UC3M, Gibbs sampling, Hidden Markov models, Inference algorithms, Journal, Markov processes, Probability distribution, reversible jump Markov chain Monte Carlo, slice sampling, Time series, variational inference, Yttrium
@article{Valera2016b,
title = {Infinite Factorial Unbounded-State Hidden Markov Model},
author = {Isabel Valera and Francisco J R Ruiz and Fernando Perez-Cruz},
url = {http://www.ncbi.nlm.nih.gov/pubmed/26571511 http://ieeexplore.ieee.org/xpl/articleDetails.jsp?reload=true\&arnumber=7322279},
doi = {10.1109/TPAMI.2015.2498931},
issn = {1939-3539},
year = {2016},
date = {2016-09-01},
journal = {IEEE transactions on pattern analysis and machine intelligence},
volume = {38},
number = {9},
pages = {1816 -- 1828},
abstract = {There are many scenarios in artificial intelligence, signal processing or medicine, in which a temporal sequence consists of several unknown overlapping independent causes, and we are interested in accurately recovering those canonical causes. Factorial hidden Markov models (FHMMs) present the versatility to provide a good fit to these scenarios. However, in some scenarios, the number of causes or the number of states of the FHMM cannot be known or limited a priori. In this paper, we propose an infinite factorial unbounded-state hidden Markov model (IFUHMM), in which the number of parallel hidden Markov models (HMMs) and states in each HMM are potentially unbounded. We rely on a Bayesian nonparametric (BNP) prior over integer-valued matrices, in which the columns represent the Markov chains, the rows the time indexes, and the integers the state for each chain and time instant. First, we extend the existent infinite factorial binary-state HMM to allow for any number of states. Then, we modify this model to allow for an unbounded number of states and derive an MCMC-based inference algorithm that properly deals with the trade-off between the unbounded number of states and chains. We illustrate the performance of our proposed models in the power disaggregation problem.},
keywords = {Bayes methods, Bayesian nonparametrics, CASI CAM CM, Computational modeling, GAMMA-L+ UC3M, Gibbs sampling, Hidden Markov models, Inference algorithms, Journal, Markov processes, Probability distribution, reversible jump Markov chain Monte Carlo, slice sampling, Time series, variational inference, Yttrium},
pubstate = {published},
tppubtype = {article}
}
There are many scenarios in artificial intelligence, signal processing or medicine, in which a temporal sequence consists of several unknown overlapping independent causes, and we are interested in accurately recovering those canonical causes. Factorial hidden Markov models (FHMMs) present the versatility to provide a good fit to these scenarios. However, in some scenarios, the number of causes or the number of states of the FHMM cannot be known or limited a priori. In this paper, we propose an infinite factorial unbounded-state hidden Markov model (IFUHMM), in which the number of parallel hidden Markov models (HMMs) and states in each HMM are potentially unbounded. We rely on a Bayesian nonparametric (BNP) prior over integer-valued matrices, in which the columns represent the Markov chains, the rows the time indexes, and the integers the state for each chain and time instant. First, we extend the existent infinite factorial binary-state HMM to allow for any number of states. Then, we modify this model to allow for an unbounded number of states and derive an MCMC-based inference algorithm that properly deals with the trade-off between the unbounded number of states and chains. We illustrate the performance of our proposed models in the power disaggregation problem.
Valera, Isabel; Ruiz, Francisco J R; Perez-Cruz, Fernando
Infinite Factorial Unbounded-State Hidden Markov Model Artículo de revista
En: IEEE transactions on pattern analysis and machine intelligence, vol. To appear, no. 99, pp. 1, 2016, ISSN: 1939-3539.
Resumen | Enlaces | BibTeX | Etiquetas: Bayes methods, Bayesian nonparametrics, CASI CAM CM, Computational modeling, GAMMA-L+ UC3M, Gibbs sampling, Hidden Markov models, Inference algorithms, Markov processes, Probability distribution, reversible jump Markov chain Monte Carlo, slice sampling, Time series, variational inference, Yttrium
@article{Valera2016c,
title = {Infinite Factorial Unbounded-State Hidden Markov Model},
author = {Isabel Valera and Francisco J R Ruiz and Fernando Perez-Cruz},
url = {http://www.ncbi.nlm.nih.gov/pubmed/26571511 http://ieeexplore.ieee.org/xpl/articleDetails.jsp?reload=true\&arnumber=7322279},
doi = {10.1109/TPAMI.2015.2498931},
issn = {1939-3539},
year = {2016},
date = {2016-01-01},
journal = {IEEE transactions on pattern analysis and machine intelligence},
volume = {To appear},
number = {99},
pages = {1},
abstract = {There are many scenarios in artificial intelligence, signal processing or medicine, in which a temporal sequence consists of several unknown overlapping independent causes, and we are interested in accurately recovering those canonical causes. Factorial hidden Markov models (FHMMs) present the versatility to provide a good fit to these scenarios. However, in some scenarios, the number of causes or the number of states of the FHMM cannot be known or limited a priori. In this paper, we propose an infinite factorial unbounded-state hidden Markov model (IFUHMM), in which the number of parallel hidden Markov models (HMMs) and states in each HMM are potentially unbounded. We rely on a Bayesian nonparametric (BNP) prior over integer-valued matrices, in which the columns represent the Markov chains, the rows the time indexes, and the integers the state for each chain and time instant. First, we extend the existent infinite factorial binary-state HMM to allow for any number of states. Then, we modify this model to allow for an unbounded number of states and derive an MCMC-based inference algorithm that properly deals with the trade-off between the unbounded number of states and chains. We illustrate the performance of our proposed models in the power disaggregation problem.},
keywords = {Bayes methods, Bayesian nonparametrics, CASI CAM CM, Computational modeling, GAMMA-L+ UC3M, Gibbs sampling, Hidden Markov models, Inference algorithms, Markov processes, Probability distribution, reversible jump Markov chain Monte Carlo, slice sampling, Time series, variational inference, Yttrium},
pubstate = {published},
tppubtype = {article}
}
There are many scenarios in artificial intelligence, signal processing or medicine, in which a temporal sequence consists of several unknown overlapping independent causes, and we are interested in accurately recovering those canonical causes. Factorial hidden Markov models (FHMMs) present the versatility to provide a good fit to these scenarios. However, in some scenarios, the number of causes or the number of states of the FHMM cannot be known or limited a priori. In this paper, we propose an infinite factorial unbounded-state hidden Markov model (IFUHMM), in which the number of parallel hidden Markov models (HMMs) and states in each HMM are potentially unbounded. We rely on a Bayesian nonparametric (BNP) prior over integer-valued matrices, in which the columns represent the Markov chains, the rows the time indexes, and the integers the state for each chain and time instant. First, we extend the existent infinite factorial binary-state HMM to allow for any number of states. Then, we modify this model to allow for an unbounded number of states and derive an MCMC-based inference algorithm that properly deals with the trade-off between the unbounded number of states and chains. We illustrate the performance of our proposed models in the power disaggregation problem.
2015
Ruiz, Francisco J R; Perez-Cruz, Fernando
A Generative Model for Predicting Outcomes in College Basketball Artículo de revista
En: Journal of Quantitative Analysis in Sports, vol. 11, no. 1 Special Issue, pp. 39–52, 2015, ISSN: 1559-0410.
Resumen | Enlaces | BibTeX | Etiquetas: CASI CAM CM, GAMMA-L+ UC3M, Journal, NCAA tournament, Poisson factorization, Probabilistic modeling, variational inference
@article{Ruiz2015b,
title = {A Generative Model for Predicting Outcomes in College Basketball},
author = {Francisco J R Ruiz and Fernando Perez-Cruz},
url = {http://www.degruyter.com/view/j/jqas.2015.11.issue-1/jqas-2014-0055/jqas-2014-0055.xml},
doi = {10.1515/jqas-2014-0055},
issn = {1559-0410},
year = {2015},
date = {2015-03-01},
journal = {Journal of Quantitative Analysis in Sports},
volume = {11},
number = {1 Special Issue},
pages = {39--52},
abstract = {We show that a classical model for soccer can also provide competitive results in predicting basketball outcomes. We modify the classical model in two ways in order to capture both the specific behavior of each National collegiate athletic association (NCAA) conference and different strategies of teams and conferences. Through simulated bets on six online betting houses, we show that this extension leads to better predictive performance in terms of profit we make. We compare our estimates with the probabilities predicted by the winner of the recent Kaggle competition on the 2014 NCAA tournament, and conclude that our model tends to provide results that differ more from the implicit probabilities of the betting houses and, therefore, has the potential to provide higher benefits.},
keywords = {CASI CAM CM, GAMMA-L+ UC3M, Journal, NCAA tournament, Poisson factorization, Probabilistic modeling, variational inference},
pubstate = {published},
tppubtype = {article}
}
We show that a classical model for soccer can also provide competitive results in predicting basketball outcomes. We modify the classical model in two ways in order to capture both the specific behavior of each National collegiate athletic association (NCAA) conference and different strategies of teams and conferences. Through simulated bets on six online betting houses, we show that this extension leads to better predictive performance in terms of profit we make. We compare our estimates with the probabilities predicted by the winner of the recent Kaggle competition on the 2014 NCAA tournament, and conclude that our model tends to provide results that differ more from the implicit probabilities of the betting houses and, therefore, has the potential to provide higher benefits.
Ruiz, Francisco J R; Perez-Cruz, Fernando
A Generative Model for Predicting Outcomes in College Basketball Artículo de revista
En: Journal of Quantitative Analysis in Sports, vol. 11, no. 1 Special Issue, pp. 39–52, 2015, ISSN: 1559-0410.
Resumen | Enlaces | BibTeX | Etiquetas: CASI CAM CM, GAMMA-L+ UC3M, NCAA tournament, Poisson factorization, Probabilistic modeling, variational inference
@article{Ruiz2015bb,
title = {A Generative Model for Predicting Outcomes in College Basketball},
author = {Francisco J R Ruiz and Fernando Perez-Cruz},
url = {http://www.degruyter.com/view/j/jqas.2015.11.issue-1/jqas-2014-0055/jqas-2014-0055.xml},
doi = {10.1515/jqas-2014-0055},
issn = {1559-0410},
year = {2015},
date = {2015-03-01},
journal = {Journal of Quantitative Analysis in Sports},
volume = {11},
number = {1 Special Issue},
pages = {39--52},
abstract = {We show that a classical model for soccer can also provide competitive results in predicting basketball outcomes. We modify the classical model in two ways in order to capture both the specific behavior of each National collegiate athletic association (NCAA) conference and different strategies of teams and conferences. Through simulated bets on six online betting houses, we show that this extension leads to better predictive performance in terms of profit we make. We compare our estimates with the probabilities predicted by the winner of the recent Kaggle competition on the 2014 NCAA tournament, and conclude that our model tends to provide results that differ more from the implicit probabilities of the betting houses and, therefore, has the potential to provide higher benefits.},
keywords = {CASI CAM CM, GAMMA-L+ UC3M, NCAA tournament, Poisson factorization, Probabilistic modeling, variational inference},
pubstate = {published},
tppubtype = {article}
}
We show that a classical model for soccer can also provide competitive results in predicting basketball outcomes. We modify the classical model in two ways in order to capture both the specific behavior of each National collegiate athletic association (NCAA) conference and different strategies of teams and conferences. Through simulated bets on six online betting houses, we show that this extension leads to better predictive performance in terms of profit we make. We compare our estimates with the probabilities predicted by the winner of the recent Kaggle competition on the 2014 NCAA tournament, and conclude that our model tends to provide results that differ more from the implicit probabilities of the betting houses and, therefore, has the potential to provide higher benefits.
2014
Ruiz, Francisco J R; Valera, Isabel; Blanco, Carlos; Perez-Cruz, Fernando
Bayesian Nonparametric Comorbidity Analysis of Psychiatric Disorders Artículo de revista
En: Journal of Machine Learning Research, vol. 15, no. 1, pp. 1215–1248, 2014.
Resumen | Enlaces | BibTeX | Etiquetas: ALCIT, Bayesian Non-parametrics, categorical observations, Indian Buet Process, Laplace approximation, multinomial-logit function, variational inference
@article{Ruiz2014,
title = {Bayesian Nonparametric Comorbidity Analysis of Psychiatric Disorders},
author = {Francisco J R Ruiz and Isabel Valera and Carlos Blanco and Fernando Perez-Cruz},
url = {http://jmlr.org/papers/volume15/ruiz14a/ruiz14a.pdf
http://arxiv.org/abs/1401.7620},
year = {2014},
date = {2014-01-01},
journal = {Journal of Machine Learning Research},
volume = {15},
number = {1},
pages = {1215--1248},
abstract = {The analysis of comorbidity is an open and complex research field in the branch of psychiatry, where clinical experience and several studies suggest that the relation among the psychiatric disorders may have etiological and treatment implications. In this paper, we are interested in applying latent feature modeling to find the latent structure behind the psychiatric disorders that can help to examine and explain the relationships among them. To this end, we use the large amount of information collected in the National Epidemiologic Survey on Alcohol and Related Conditions (NESARC) database and propose to model these data using a nonparametric latent model based on the Indian Buffet Process (IBP). Due to the discrete nature of the data, we first need to adapt the observation model for discrete random variables. We propose a generative model in which the observations are drawn from a multinomial-logit distribution given the IBP matrix. The implementation of an efficient Gibbs sampler is accomplished using the Laplace approximation, which allows integrating out the weighting factors of the multinomial-logit likelihood model. We also provide a variational inference algorithm for this model, which provides a complementary (and less expensive in terms of computational complexity) alternative to the Gibbs sampler allowing us to deal with a larger number of data. Finally, we use the model to analyze comorbidity among the psychiatric disorders diagnosed by experts from the NESARC database.},
keywords = {ALCIT, Bayesian Non-parametrics, categorical observations, Indian Buet Process, Laplace approximation, multinomial-logit function, variational inference},
pubstate = {published},
tppubtype = {article}
}
The analysis of comorbidity is an open and complex research field in the branch of psychiatry, where clinical experience and several studies suggest that the relation among the psychiatric disorders may have etiological and treatment implications. In this paper, we are interested in applying latent feature modeling to find the latent structure behind the psychiatric disorders that can help to examine and explain the relationships among them. To this end, we use the large amount of information collected in the National Epidemiologic Survey on Alcohol and Related Conditions (NESARC) database and propose to model these data using a nonparametric latent model based on the Indian Buffet Process (IBP). Due to the discrete nature of the data, we first need to adapt the observation model for discrete random variables. We propose a generative model in which the observations are drawn from a multinomial-logit distribution given the IBP matrix. The implementation of an efficient Gibbs sampler is accomplished using the Laplace approximation, which allows integrating out the weighting factors of the multinomial-logit likelihood model. We also provide a variational inference algorithm for this model, which provides a complementary (and less expensive in terms of computational complexity) alternative to the Gibbs sampler allowing us to deal with a larger number of data. Finally, we use the model to analyze comorbidity among the psychiatric disorders diagnosed by experts from the NESARC database.