Lester Mackey: Kernel Thinning and Stein Thinning

Machine Learning Seminar presentation Topic: Kernel Thinning and Stein Thinning Speaker: Lester Mackey, a researcher at Microsoft Research New England, and an adjunct professor at Stanford University. Time: Wednesday, 2022.02.23, 15:00 CET How to join: Please contact Jakub Lengiewicz Abstract: This talk will introduce two new tools for summarizing a probability distribution more effectively than independent sampling or standard Markov chain Monte Carlo thinning: 1. Given an initial n point summary (for example, from independent sampling or a Markov chain), kernel thinning finds a subset of only square-root n points with comparable worst-case integration error across a reproducing kernel Hilbert space. 2. If the initial summary suffers from biases due to off-target sampling, tempering, or burn-in, Stein thinning simultaneously compresses the summary and improves the accuracy by correcting for these biases. These tools are especially well-suited for tasks that incur substantial downstream computation costs per summary point like organ and tissue modeling in which each simulation consumes 1000s of CPU hours.