Expectation Propagation for t-Exponential Family Using Q-Algebra

Futoshi Futami; Issei Sato; Masashi Sugiyama

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arXiv · 1705.09046

Expectation Propagation for t-Exponential Family Using Q-Algebra

Futoshi Futami·Issei Sato·Masashi Sugiyama

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Abstract

Exponential family distributions are highly useful in machine learning since their calculation can be performed efficiently through natural parameters. The exponential family has recently been extended to the t-exponential family, which contains Student-t distributions as family members and thus allows us to handle noisy data well. However, since the t-exponential family is denied by the deformed exponential, we cannot derive an efficient learning algorithm for the t-exponential family such as expectation propagation (EP). In this paper, we borrow the mathematical tools of q-algebra from statistical physics and show that the pseudo additivity of distributions allows us to perform calculation of t-exponential family distributions through natural parameters. We then develop an expectation propagation (EP) algorithm for the t-exponential family, which provides a deterministic approximation to the posterior or predictive distribution with simple moment matching. We finally apply the proposed EP algorithm to the Bayes point machine and Student-t process classication, and demonstrate their performance numerically.

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BibTeX RIS

Futoshi Futami, Issei Sato, Masashi Sugiyama. 2017-05-25. Expectation Propagation for t-Exponential Family Using Q-Algebra. https://arxiv.org/abs/1705.09046

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