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Icebreaker: Element-wise Efficient Information Acquisition with a Bayesian Deep Latent Gaussian Model
Wenbo Gong · Sebastian Tschiatschek · Sebastian Nowozin · Richard Turner · José Miguel Hernández-Lobato · Cheng Zhang

Wed Dec 11 05:00 PM -- 07:00 PM (PST) @ East Exhibition Hall B + C #143

In this paper, we address the ice-start problem, i.e., the challenge of deploying machine learning models when only a little or no training data is initially available, and acquiring each feature element of data is associated with costs. This setting is representative of the real-world machine learning applications. For instance, in the health care domain, obtaining every single measurement comes with a cost. We propose Icebreaker, a principled framework for elementwise training data acquisition. Icebreaker introduces a full Bayesian Deep Latent Gaussian Model (BELGAM) with a novel inference method, which combines recent advances in amortized inference and stochastic gradient MCMC to enable fast and accurate posterior inference. By utilizing BELGAM’s ability to fully quantify model uncertainty, we also propose two information acquisition functions for imputation and active prediction problems. We demonstrate that BELGAM performs significantly better than previous variational autoencoder (VAE) based models, when the data set size is small, using both machine learning benchmarks and real world recommender systems and health-care applications. Moreover, Icebreaker not only demonstrates improved performance compared to baselines, but it is also capable of achieving better test performance with less training data available.

Author Information

Wenbo Gong (University of Cambridge)
Sebastian Tschiatschek (Microsoft Research)
Sebastian Nowozin (Microsoft Research Cambridge)
Richard Turner (University of Cambridge)
José Miguel Hernández-Lobato (University of Cambridge)
Cheng Zhang (Microsoft Research, Cambridge, UK)

Cheng Zhang is a principal researcher at Microsoft Research Cambridge, UK. She leads the Data Efficient Decision Making (Project Azua) team in Microsoft. Before joining Microsoft, she was with the statistical machine learning group of Disney Research Pittsburgh, located at Carnegie Mellon University. She received her Ph.D. from the KTH Royal Institute of Technology. She is interested in advancing machine learning methods, including variational inference, deep generative models, and sequential decision-making under uncertainty; and adapting machine learning to social impactful applications such as education and healthcare. She co-organized the Symposium on Advances in Approximate Bayesian Inference from 2017 to 2019.

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