Timezone: »
Probabilistic modeling is cyclical: we specify a model, infer its posterior, and evaluate its performance. Evaluation drives the cycle, as we revise our model based on how it performs. This requires a metric. Traditionally, predictive accuracy prevails. Yet, predictive accuracy does not tell the whole story. We propose to evaluate a model through posterior dispersion. The idea is to analyze how each datapoint fares in relation to posterior uncertainty around the hidden structure. This highlights datapoints the model struggles to explain and provides complimentary insight to datapoints with low predictive accuracy. We present a family of posterior dispersion indices (PDI) that capture this idea. We show how a PDI identifies patterns of model mismatch in three real data examples: voting preferences, supermarket shopping, and population genetics.
Summary/Notes »Author Information
Alp Kucukelbir (Columbia University)
Yixin Wang (Columbia University)
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.
Related Events (a corresponding poster, oral, or spotlight)
-
2017 Talk: Evaluating Bayesian Models with Posterior Dispersion Indices »
Mon Aug 7th 01:06 -- 01:24 AM Room C4.9& C4.10
More from the Same Authors
-
2018 Poster: Noisin: Unbiased Regularization for Recurrent Neural Networks »
Adji Bousso Dieng · Rajesh Ranganath · Jaan Altosaar · David Blei -
2018 Oral: Noisin: Unbiased Regularization for Recurrent Neural Networks »
Adji Bousso Dieng · Rajesh Ranganath · Jaan Altosaar · David Blei -
2018 Poster: Augment and Reduce: Stochastic Inference for Large Categorical Distributions »
Francisco Ruiz · Michalis Titsias · Adji Bousso Dieng · David Blei -
2018 Poster: Black Box FDR »
Wesley Tansey · Yixin Wang · David Blei · Raul Rabadan -
2018 Oral: Augment and Reduce: Stochastic Inference for Large Categorical Distributions »
Francisco Ruiz · Michalis Titsias · Adji Bousso Dieng · David Blei -
2018 Oral: Black Box FDR »
Wesley Tansey · Yixin Wang · David Blei · Raul Rabadan -
2017 Workshop: Implicit Generative Models »
Rajesh Ranganath · Ian Goodfellow · Dustin Tran · David Blei · Balaji Lakshminarayanan · Shakir Mohamed -
2017 Poster: Robust Probabilistic Modeling with Bayesian Data Reweighting »
Yixin Wang · Alp Kucukelbir · David Blei -
2017 Poster: Zero-Inflated Exponential Family Embeddings »
Liping Liu · David Blei -
2017 Talk: Zero-Inflated Exponential Family Embeddings »
Liping Liu · David Blei -
2017 Talk: Robust Probabilistic Modeling with Bayesian Data Reweighting »
Yixin Wang · Alp Kucukelbir · David Blei
