My thoughts on the value of data processing in practical applications.

Just a quick post about a few thoughts about data engineering vs machine learning.
While I definitely like complex algorithms for Machine Learning, my recent results on applications such as Dolphin Communications or Typing Error Detection show me that most of the time the data preprocessing is doing a lot of the work while I get away with more or less simple models such as Gaussian Mixture Models, Hidden Markov Models, Decision Trees or Random Forests (okay the last one just works great in general). Now the question is where the tradeoff is between data engineering and actual learning. Deep Learning promises to extract features on their own and are on the learning heavy sides of things. I think Speech Recognition is an example that is traditionally approached with carefully crafted features such as Mel Cepstrum Components. I observe the same difference for carefully modeling such as Hidden Markov Models and more or less structureless models.
So for me it seems fitting an existing algorithm to new domains under heavy pre processing can lead to good results faster than the search for new models. Maybe I should call it Machine Learning Prototyping. While developing learning methods to solve new problems is the higher goal, whenever one needs a learning "prototype" for a specific domain, hacking the data and some existing model might be sufficient.

Baum Welch Initialisation: Flat Start vs Randomisation vs Viterbi Training

As most of the readers will know Baum Welch is a parameter estimation Algorithm for Hidden Markov Models. Given a initial configuration of the HMM it will converge to a locally optimal parameter configuration. The important bit is that the initial configuration will determine "how good" the final parameter set will be. To my knowledge there are three initialisation methods two are implemented in the HTK3 toolkit:

Viterbi Training

Viterbi training is implemented in HTK3 in the tool HInit. First the data is uniformly segmented
with the number of segments equal to the number of states. Then we get the optimal path through the HMM using Viterbi + Backtracking. Using the path we reestimate the model.

Flat Start

Flat start simply initialises the model with the observations uniform. For example we estimate a uniform Gaussian from all data available and use it for all initial distributions. In both cases, Flat Start and Viterbi Training we set the initial transition probabilities ourselves. Flat Start is implemented in HTK3 in the HCompV tool. The problem of Viterbi training is that it requires labeled data, while Flat Start does not.

Random Initialisation with Random Restarts 

Viterbi Training needs labeled data and Flat Start is a simple initialization but can give a bad initial estimate. Since Baum Welch is dependent on the initial starting condition, we can also use random initializations with random restarts. In that way we can initialize the transition matrix by setting all possible transitions to random values. The Gaussians can be initialized as in Flat Start and then we add some small random number to the mean. We construct multiple random initializations and run Baum Welch. In the end we keep the model with the best likelihood. We can also use a random subset for the initial Gaussians. Unfortunately there is no implementation for this method in HTK. In my experiments this initialization works best in the scenario where no labels are available and Flat Start gives a bad estimates.

On different depictions of Hidden Markov Models

During my Diploma thesis I read most literature about Hidden Markov Models from the speech community. Since I arrived at Tech and started reading more about the Machine Learning perspective on these models I noticed a difference in depiction of Hidden Markov Models. In this post I want to argue why I think the "old" speech depiction is a bit more expressive.

The old depiction is a state machine. Each state of the HMM is depicted as a circle and the arrows
show how one can "travel" through the model. I saw this depiction in the classic Rabiner papers.

In the second representation is a Hidden Markov Model as a Bayes Network. There are two kinds of nodes. The one at the top show a discrete variable, only dependent on it's successor. Encoded in this node are the transition probabilities. Or in other words the state machine is encoded in each of these nodes. There are as many transition nodes as there are samples in the time series. The nodes at the bottom are the observation probabilities which are not seen in the model from the speech community. 

I think if one only publishes the second depiction it does not tell much about the model itself. One already assumes that there are observation distributions in an HMM so why depict them. Second just drawing as many nodes as there are samples is weird for me for two reasons. The first reason is that we do not depict anything about the transition model, which is the only thing to model in an HMM. The second reason is that the number of samples or time slices does not matter at all for an HMM. So I think  drawing the state machine is a way better way of showing your model then making the ML depiction that does not tell much of your specific model except that it is an HMM. Just to make my point more clear. The second model, even when specifying in the text that we use 3 states could be the top model or the one at the bottom, without the reader knowing.

However, explaining inference algorithms such as variable elimination is easier in the middle model, but for specific models I prefer the state machine depiction.

log-math: Dirichlet Distribution

A long time since my last post again. But I am working on one for Gaussian Processes but I am procrastinate there. So I decided to write another one.

As my series on Expectation Maximisation ("Thoughts on EM") evolved from research, implementations and readings, I will start a new series posting probability functions in their log likelihood form. So in the first post I will post my "log calculations" for the Dirichlet Distribution.
The Dirichlet Distribution is often used as a prior on a multinomial distribution. Using that prior one can  estimate Multinomial Distributions more stable, meaning your probability estimates do not go wild. In simple words the Dirichlet Distribution is a distribution over a Multinomial Distribution with parameters
alpha. The alpha parameter is a vector of the same size as the Multinomial Distribution. The probability
density function is:

The scaler can be expressed using the beta function:

The gamma is well the gamma function,  a numerical stable log implementation is available in the submission: "Algorithm 291: logarithm of gamma function". So let us start by converting the actual distribution to log:

Converting the scaler is also straight forwards:

And that is actually all already :D. The log - gamma function can be implemented from the paper :D

Thoughts on EM - Clustering: kmeans++

In this post I will talk a bit about initialization of the EM algorithm for Gaussian Mixtures and numerical  stability. It might be the last post on clustering since I have a stable enough version for me now.

The initialization I want to talk about is kmeans++, an algorithm for initializing classic kmeans, which can also be used for Gaussian Mixtures. The high level bit is instead of starting with random samples, we prefer samples that are far from the already chosen centers.

However if we us the furthest point algorithm, we are more sensible to outliers since the furthest points might not belong to any cluster. Kmeans++ is combining ideas for classic kmeans initialization (pick k points at random) and furthest point. We do so by defining a probability distribution that assigns a probability to each sample being a good initial mean. The distribution is based on the distance to the closest center that is already assigned.

So the algorithm for initialization picks the first center at random and then samples the next center based on the probabilities. As one can see if the distance of a sample to the closest distance is large the probability will be large, too and vice versa. We stop drawing samples when we have k centers. Based on these centers we can run classic kmeans or Gaussian Mixture EM.

In my experiments kmeans++ performed great as an initialization for EM while being way faster then hierarchical clustering.

A nice linear algebra library for C++

Normally when coding in C++ you will use the interface of LAPACK or the boost library uBlas. However these are not really nice to use. I found an alternative and after spending an afternoon with it I must say I am impressed. The library is called Armadillo. The nice things are the initialization methods provided, the element access as well as the general operators. For example if I was to create
a 2 x 2 matrix with some values I can simply do this:

matrix << 1 << 2 << endr

           << 0 << 1 << endr;

Accessing an element is simply:

matrix(i, j)

And operations can be performed as:

X =  A * B

X = A + B

The functionality seems to include everything I needed so far:

det(X)

inv(X)

In the end there is a speed comparison in which armadillo is always the fastest.

Thoughts on EM - Clustering: Growing A Mixture

Since I am still working a lot on my clustering algorithms, especially Expectation Maximization for Gaussian Mixture Models, I will share another thought on how to improve EM's performance. In general the problem is that EM will converge on a local maximum. That menas when we start with initial bad gaussians, we will end up on a local maximum close to where we started. Solutions are run k-means 10 x and use the clusters as the inital means (like weka) or cluster hierarchical first (see older blog post). The problem with k-means is that it is localized, too. The problem with the hierarchical version is that it is slow. In the end the initialization was slower for me then the actual clustering. Something I found today is "growing" the mixture incrementally [1].

Just to remind you EM is a two stage algorithm. First we calculate the probabilities
for each data point using the current model parameters (E -step, expectation), and then use these probability estimates to refine the parameters (M-step, maximization). Now the trick is to split the gaussian with the highest rank (highest weight or prior) after each M-step and delete all components
with a too small prior or a too small variance. We repeat that process until we reach the desired k.

[1] Kevin Murphy: Machine Learning: a Probabilistic Perspective, MIT Press, 2012