shrejais / probabilisticai-projects

Projects for the ProbabilisticAI2020 course at ETH

ProbabilisticAI-Projects

This repository contains the four course projects for the course Probabilistic Artificial Intelligence (Fall 2020) held at ETH Zürich by Prof. Krause. The projects include Gaussian Processes and Bayesian Optimization, Bayesian Neural Networks (using Bayes by Backprop) and Reinforcement Learning (Actor-Critic algorithm). A short overview of the results of each project is presented in this document.

Contents

• ProbabilisticAI-Projects
  • Contents
  • Project 1 - Gaussian Process Classification with costly false negatives
  • Project 2 - Well calibrated Bayesian Neural Network
  • Project 3 - Constrained Bayesian Optimization
  • Project 4 - Reinforcement Learning using Actor-Critic-Method

Project 1 - Gaussian Process Classification with costly false negatives

This project is mostly about classifying two-dimensional datapoints given a dataset. Since the dataset is rather large, computing the inverse of the kernel matrix is impossible and a workaround has to be found. We implemented the Nystrom method, essentially using a subset of the data and using the Schur-Complement to efficiently compute the inverse matrix.

Project 2 - Well calibrated Bayesian Neural Network

In this project, the goal was to create a ''well calibrated'' neural network classifier, i.e. a NN for which the class prediction probabilities actually match up with the frequency of ground truth label (e.g. if a two-class problem as probabilities $p_A = 0.9$ and $p_B = 0.1$, the true label is going to be $A$ roughly $90%$ of the time). For more information, check Guo, C., Pleiss, G., Sun, Y. and Weinberger, K.Q., 2017, July. On calibration of modern neural networks.

MNIST dataset Fashion MNIST dataaset

We approached the problem using Bayesian Neural Networks with a gaussian prior around $0$ for all the weights, and train it using the Bayes-by-Backprop algorithm, which we implemented ourselves.

Project 3 - Constrained Bayesian Optimization

Here, the goal is maximizing an unknown function $f$ by drawing noisy samples and additionally satisfying an unknown inequality constraint $g(x) > \kappa$. We use Gaussian Processes (GPs) to model each function and sample accoding to the Upper-Confidence-Bound method. The objective function is penalized if the lower confidence bound of the constraint estimate is below $\kappa$, thus providing constraint satisfaction with high probability.

Mathematical / Implementation details

Assuming we can draw a noisy sample $\hat{f}(x) = f(x) + \epsilon$, $\epsilon \sim \mathcal{N}(0, \sigma^2)$ for each function, the GP equations read $$ \mu'(x) = \mu(x) + k_{x,A}(K_{AA} + \sigma^2 I )^{-1}(y_A - \mu_A) $$

$$ k'(x, x') = k(x, x') - k_{x,A}(K_{AA} + \sigma^2 I )^{-1}k_{x',A}^T $$

where $A = {x_1, \dots, x_N}$ denotes the previously drawn samples.

Note the matrix inverse $M^{-1} = (K_{AA} + \sigma^2I)^{-1}$, which has to be repeatedly calculated as $A$ grows. We can make use of the fact that the uninverted matrix gets updated by adding columns and rows in a blockwise manner. Thus, we can use a Schur-Complement approach (see Eq. (1)) to iteratively and efficiently compute the matrix inverse after each new sample.

Unfortunately, the result does turn out not to be numerically stable if applied a large number of times. Thus, we additionally apply a few steps of an iterative refinement scheme after each inversion, increasing the precision of the inverse (see Wu, X. and Wu, J., 2009. Iterative refinement of computing inverse matrix.), i.e. $$ M \leftarrow M(I+(I - MM^{-1} )). $$ Note that this update step can be derived from minimizing the error $err(M) = ||I - MM^{-1}||_2^2$ using a simple Newton-Algorithm.

To our knowledge, these two methods have not previously been combined in this way in the context of GPs and Bayesian Optimization.

Project 4 - Reinforcement Learning using Actor-Critic-Method

In this project we implement a general Actor-Critic Agent and apply it on the LunarLander gym environment. We use a simple MLP for both the Actor and the Critic, a trajectory storage buffer and the Policy-Gradient algorithm to train the networks. After about 110 iterations our agent converges to a reasonable result (see video).