CRMs

Sinead Williamson Background Completely random measures and related L´evyprocesses Completely models random measures

Applications Normalized Sinead Williamson random measures Neutral-to-the- right processes Computational and Biological Learning Laboratory Exchangeable University of Cambridge matrices

January 20, 2011 Outline

CRMs

Sinead Williamson 1 Background Background

L´evyprocesses

Completely 2 L´evyprocesses random measures Applications 3 Completely random measures Normalized random measures Neutral-to-the- right processes 4 Applications Exchangeable matrices Normalized random measures Neutral-to-the-right processes Exchangeable matrices A little theory

CRMs

Sinead Williamson Set: e.g. Integers, real numbers, people called James. Background May be finite, countably infinite, or uncountably infinite. L´evyprocesses

Completely Algebra: Class T of subsets of a set T s.t. random measures 1 T ∈ T . 2 If A ∈ T , then Ac ∈ T . Applications K Normalized 3 If A1,..., AK ∈ T , then ∪ Ak = A1 ∪ A2 ∪ ... AK ∈ T random k=1 measures (closed under finite unions). Neutral-to-the- right K processes 4 If A1,..., AK ∈ T , then ∩k=1Ak = A1 ∩ A2 ∩ ... AK ∈ T Exchangeable matrices (closed under finite intersections). σ-Algebra: Algebra that is closed under countably infinite unions and intersections. A little measure theory

CRMs

Sinead Williamson

Background L´evyprocesses Measurable space: Combination (T , T ) of a set and a Completely σ-algebra on that set. random measures Measure: Function µ between a σ-field and the positive Applications reals (+ ∞) s.t. Normalized random measures 1 µ(∅) = 0. Neutral-to-the- right 2 For all countable collections of disjoint sets processes P Exchangeable A1, A2, · · · ∈ T , µ(∪k Ak ) = µ(Ak ). matrices k Probability measures

CRMs

Sinead Williamson

Background Probability distribution: Measure P on some measurable L´evyprocesses space (Ω, F) s.t. P(Ω) = 1. Completely Intuition: Subsets = events; measures of subsets = random measures probability of that event. Applications Normalized Discrete probability distribution: assigns measure 1 to a random measures countable subset of Ω. Neutral-to-the- right processes Continuous probability distribution: assigns measure 0 to Exchangeable matrices singletons x ∈ Ω. Atoms: singletons with positive measure. Representing the real world

CRMs

Sinead Williamson

Background Kolmogorov: Two types of object - experimental observations, L´evyprocesses and the random phenomena underlying them. Completely random measures Real world Mathematical world Applications Normalized Random phenomena (Ω, F, P) random measures Neutral-to-the- right processes Experiment Algebra Exchangeable matrices Experimental observations Collection of random variables Representing the real world

CRMs Random variables X : (Ω, F) → (SX , SX ) are mappings Sinead Williamson from the underlying probability space to our observation space. Background

L´evyprocesses This mapping, combined with the probability distribution

Completely on (Ω, F), induces a probability distribution random −1 measures µX := P ◦ X on the observation space. Applications We call µX the distribution of our observations. Normalized random measures Neutral-to-the- right processes X Exchangeable matrices

SX Ω Characteristic functions

CRMs

Sinead Williamson Often, it is useful to represent random variables and Background probability distributions in terms of their characteristic L´evyprocesses function. Completely d random For a X taking values in with measures R distribution µ , Applications X Normalized Z random ihuyi ihuyi measures ΦX (u) = e µX (dy) = E[e ] Neutral-to-the- d right R processes Exchangeable matrices If µX admits a density (i.e. µX (dy) = p(y)ν(dy)), then the characteristic function is the Fourier transform of that density. Infinitely divisible distributions

CRMs

Sinead Williamson

Background We say a probability measure µ is infinitely divisible if, for each L´evyprocesses n ∈ N: Completely We can write µ as the n-fold self-convolution random (n) (n) (n) measures µ ∗ · · · ∗ µ of some distribution µ . Applications (n) Normalized (Equivalently) The nth root Φ of the characteristic random measures function of µ is the characteristic function of some Neutral-to-the- right processes probability measure. Exchangeable matrices (Equivalently) For any X ∼ µ, we can write Pn (i) (i) (n) X = i=1 X , where X ∼ µ . (The celebrated) L´evy-Khintchineformula

CRMs Theorem: L´evy-Khintchine Sinead Williamson d A distribution µ on R is infinitely divisible iff its characteristic Background function Φµ can be represented in the form: L´evyprocesses Completely  1 random Φµ(u) = exp ihb, ui − hu, Aui measures 2 Applications Z Normalized ihu,zi random + (e − 1 − ihu, ziI (|z ≤ 1))ν(dz, ds) , measures d ( −{0})×SX Neutral-to-the- R right processes Exchangeable d matrices for some uniquely defined vector b ∈ R , positive-definite d symmetric matrix A, and measure ν on R satisfying: Z (|z|2 ∧ 1)ν(dz, ds) < ∞ . d R −{0}×SX Notation

CRMs

Sinead Williamson

Background L´evyprocesses We call: Completely random b the drift; measures

Applications A the Gaussian covariance matrix; Normalized random measures ν the L´evymeasure; Neutral-to-the- right processes the triplet (A, ν, b) the generating triplet. Exchangeable matrices L´evyprocesses

CRMs

Sinead Williamson AL´evyprocess is a X = (Xt )t≥0 s.t.

Background 1 X0 = 0. L´evyprocesses 2 X has independent increments, i.e. for each n ∈ N and Completely random each t1 ≤ · · · ≤ tn+1, the random variables measures (Xti+1 − Xti , 1 ≤ i ≤ n) are independent. Applications Normalized 3 X is stochastically continuous, i.e. for every  > 0 and random measures s ≥ 0, Neutral-to-the- right processes lim P(|Xt − Xs | > ) = 0 . (1) Exchangeable s→t matrices 4 Sample paths of X are right-continuous with left limits. A L´evyprocess is homogeneous if its increments are stationary – i.e. if the distribution of Xt+s − Xt does not depend on t. L´evyprocesses and infinite divisibility

CRMs

Sinead Williamson

Background

L´evyprocesses Theorem: Infinite divisibility Completely X is infinitely divisible for all t ≥ 0. random t measures Applications Proof Normalized random measures (Homogeneous case) Since X has independent increments, we Neutral-to-the- right processes can write Xt as the sum of n independent random variables for Exchangeable matrices any n ∈ N. Therefore, Xt is infinitely divisible. L´evyprocesses and infinite divisibility

CRMs

Sinead Williamson Infinite divisibility means the L´evy-Khintchineformula Background holds. L´evyprocesses So, we can describe a L´evyprocess in terms of a drift Completely random vector, a Gaussian covariance matrix and a L´evy measure. measures

Applications A related result - the L´evy-Itˆodecomposition, tells us that Normalized any L´evyprocess can be decomposed into the random measures superposition of three L´evy processes: Neutral-to-the- right processes A continuous, deterministic process, governed by the drift. Exchangeable matrices A continuous, random process (Brownian motion), governed by the Gaussian covariance matrix. A pure-jump, random process, governed by the L´evy measure. Subordinators

CRMs

Sinead Williamson

Background A subordinator is a L´evyprocess with strictly increasing L´evyprocesses sample paths. Completely random A L´evyprocess on R+ has increasing sample paths iff: measures A = 0 ← no Gaussian component. Applications Normalized b ≥ 0 ← deterministic component is strictly nondecreasing. random R measures (−∞,0) ν(dz × R+) = 0 ← no negative jumps. Neutral-to-the- R right zν(dz × ) < ∞ ← ensures conditions of L´evy processes (0,1] R+ Exchangeable matrices process. If 0 < ν < ∞, then X has countably infinite jumps. Completely random measures

CRMs

Sinead Williamson Random measure: Mapping M : (Ω, F) → (SM, SM), where (SM, SM) is a set of measures. Background

L´evyprocesses Completely random measure (CRM): Random measures Completely where (SM, SM) is a set of measures such that µ(A1) and random measures µ(A2) are independent whenever A1 and A2 are disjoint. Applications CRMs can be decomposed into three parts: Normalized random measures 1 An atomic measure with random atom locations and Neutral-to-the- right random atom masses. processes Exchangeable 2 An atomic measure with (at most countable) fixed atom matrices locations and random atom masses. 3 A non-random measure. Parts 2 and 3 can be easily dealt with, so we only consider part 1. Completely random measures and L´evyprocesses

CRMs CRM: Distribution over measures that assign independent Sinead Williamson masses to disjoint subsets. This distribution is infinitely divisible, so L´evy-Khintchine Background applies. L´evyprocesses CRMs are closely related to L´evyprocesses: Completely random If X is a subordinator, then the measure M defined so measures M(t, s] = Xt − Xs is a CRM. Applications If M is a completely random measure on , then it’s Normalized R+ random measures cumulative function is a subordinator. Neutral-to-the- right Just as a subordinator (with ν > 0) has a countably processes Exchangeable matrices infinite number of jumps, a CRM assigns positive mass to a countably infinite number of locations: ∞ X M = πi δti , i=1

where πi > 0 for all i. Completely random measures and Poisson processes

CRMs

Sinead Williamson

Background

L´evyprocesses Can catgorize atoms as (size, location) pairs in some space Completely R+ × SX . random measures Define a Poisson on this space with L´evy Applications measure ν(dz, ds). Normalized random measures Events of Poisson point proces give size and location of Neutral-to-the- right processes atoms of CRM. Exchangeable matrices Homogeneous CRM ↔ ν(dz, ds) = νz (dz)νs (ds). Example: Gamma process

CRMs

Sinead Williamson

Background Let H be a measure over some space (SX , SX ). L´evyprocesses

Completely Distribution over measures such that the mass assigned to random measures a given subset A ∈ S is distributed according to

Applications Gamma(c, αH(ds)), c, α > 0. Normalized random measures Such a distribution is a CRM with L´evymeasure Neutral-to-the- right processes αe−cz Exchangeable ν(dz, ds) = dzH(ds) . matrices z Normalized random measures

CRMs

Sinead Williamson

Background

L´evyprocesses Completely random measures are distributions over

Completely measures with random (finite) total measure. random measures In Stats and ML, we are often interested in probability Applications measures. Normalized random measures Obvious solution: Normalize! Neutral-to-the- right processes Example: Dirichlet process = normalized Gamma process. Exchangeable matrices Example: Normalized stable process. Survival analysis

CRMs Objective: Estimate distribution over time T at which a Sinead Williamson specified event occurs for a given individual.

Background Examples: L´evyprocesses Deaths of patients in a study. Completely random Failure times of mechanical components. measures Time at which a user leaves a website. Applications Normalized random Observations: measures Neutral-to-the- right Observe individuals i = 1,..., n over time. processes Exchangeable matrices Record times Ti = ti ∈ R+ at which events occur. Right-censoring:

Each individual i is observed over some time interval [0, ci ].

If Ti > ci , the event is unobserved (censored) for individual i. Representing distribution over event times

CRMs Cumulative distribution function Sinead R t Williamson F (t) = P(T < t) = 0 f (u)du. Hazard rate h(t) = f (t) . Background 1−F (t) R t L´evyprocesses Cumulative hazard (def. 1): H(t) = 0 h(u)du. Completely Cumulative hazard (def. 2): A(t) = −log(1 − F (t)). random measures Definitions coincide if the cdf is continuous.

2 Applications 1.8 Normalized CDF random Hazard rate measures 1.6 Cumulative hazard Neutral-to-the- right 1.4 processes Exchangeable 1.2 matrices 1

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0 0 5 10 15 time Neutral-to-the-right processes

CRMs Doksum (1974): A random distribution function F (t) is Sinead Williamson neutral-to-the-right if, for each k > 1 and t1 < ··· < tk , the normalised increments Background F (t ) − F (t ) F (t ) − F (t ) L´evyprocesses 2 1 k k−1 F (t1), , ··· , Completely 1 − F (t1) 1 − F (tk−1) random measures are independent. Applications Doksum (1974): F (t) is neutral-to-the-right iff its Normalized random measures cumulative hazard (def. 2) is the cumulative function of a Neutral-to-the- right completely random measure. processes Exchangeable matrices Hjort (1990): F (t) is neutral-to-the-right iff its cumulative hazard (def. 1) is the cumulative function of a completely random measure. In both cases, F (t) is conjugate under observed and right-censored observations (Ferguson and Phadia, 1979; Hjort, 1990). Example: Beta process

CRMs CRM with L´evymeasure Sinead Williamson ν(dz, ds) = c(s)z−1(1 − z)c(s)−1dzH(ds) , Background L´evyprocesses where c is a non-negative, p/w continuous function and H Completely random is a (def. 2) hazard function. measures

Applications Note: L´evymeasure depends on atom location Normalized random (inhomogeneous). measures Neutral-to-the- right Discrete measure with atom masses in (0, 1). processes Exchangeable matrices Intuition: Infinitesimal limit of beta-distributed atom masses. Survival analysis intuition: Atom location = time. Atom size = probability of event at that time, given survival until that time. Application: Exchangeable matrices

CRMs

Sinead Williamson

Background A sequence is exchangeable if any permutation of that L´evyprocesses sequence has equal probability. Completely random de Finetti: There exists an underlying measure, measures conditioned on which, the sequence is iid. Applications Normalized Recipe for exchangeable distribution: Combine a random measures Neutral-to-the- distribution over measures with an appropriate (*cough* right processes conjugate) likelihood. Exchangeable matrices Example: Dirichlet process + “multinomial” distribution → Chinese restaurant process. Application: Exchangeable matrices

CRMs

Sinead We can use CRMs to define exchangeable distributions Williamson over matrices with infinite columns. Background Each column corresponds to an atom of the L´evyprocesses CRM-distributed measure. Completely random measures Beta process + Bernoulli Gamma process + Poisson Applications Normalized likelihood likelihood random measures → Indian Buffet process → infinite gamma-Poisson process Neutral-to-the- right processes (Griffiths and Ghahramani, 2005) (Titsias, 2007) Exchangeable matrices

5 4 2 2 1 0 0 1 0 4 4 3 2 0 2 1 0 0 0 6 2 3 4 0 0 2 0 0 0 3 5 1 0 3 1 0 1 0 0 0 5 3 4 1 1 2 0 0 0 0 0 0 4 4 2 2 2 0 1 0 0 0