Adaptive random fourier features with metropolis sampling

QC 20201221
The supervised learning problem todetermine a neural network approximation $\mathbb{R}^d\ni x\mapsto\sum_{k=1}^K\hat\beta_k e^{{\mathrm{i}}\omega_k\cdot x}$with one hidden layer is studied asa random Fourier features algorithm. The Fourier features, i.e., the frequencies $\omega_k\in\mathbb{R}^d$,are sampled using an adaptive Metropolis sampler.The Metropolis test accepts proposal frequencies $\omega_k'$, having corresponding amplitudes $\hat\beta_k'$, with the probability$\min\big\{1, (|\hat\beta_k'|/|\hat\beta_k|)^\gamma\big\}$,for a certain positive parameter $\gamma$, determined by minimizing the approximation error for given computational work.This adaptive, non-parametric stochastic method leads asymptotically, as $K\to\infty$, to equidistributed amplitudes $|\hat\beta_k|$, analogous to deterministic adaptive algorithms for differential equations. The equidistributed amplitudes are shown to asymptotically correspond to the optimal density for independent samples in random Fourier features methods.Numerical evidence is provided in order to demonstrate the approximation properties and efficiency of the proposed algorithm. The algorithm is testedboth on synthetic data and a real-world high-dimensional benchmark.

Kiessling, JonasH-Ai AB, Grevgatan 23,114 53, Stockholm, Sweden (författare)
Plecháč, PetrDepartment of Mathematical Sciences, University of Delaware, Newark, DE 19716, USA (författare)
Sandberg, MattiasKTH,Numerisk analys, NA(Swepub:kth)u17r6d2m (författare)
Szepessy, Anders,1960-KTH,Numerisk analys, NA(Swepub:kth)u1mrbma3 (författare)
KTHNumerisk analys, NA (creator_code:org_t)

Ingår i:Foundations of Data Science: American Institute of Mathematical Sciences0:0, s. 0-02639-8001

Av författaren/redakt...: Kammonen, Aku, 1 ...; Kiessling, Jonas; Plecháč, Petr; Sandberg, Mattia ...; Szepessy, Anders ...

Om ämnet

Kungliga biblioteket hanterar dina personuppgifter i enlighet med EU:s dataskyddsförordning (2018), GDPR. Läs mer om hur det funkar här.
Så här hanterar KB dina uppgifter vid användning av denna tjänst.