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Been reading a bit about gaussian processes and machine learning…

For a slightly related problem of matching Buyers with Sellers or matching a large number of people on a dating site, the brute force method would make NxN comparisons.  You have N points [seller/buyer or date-seeker etc] with d attributes such as age, sex,  weight, height, income location, interests, preferences… or price, quantity, product, location, expiry etc – these define the dimensions of the space in which N belongs.

If your data was 1 dimensional, each item having only one attribute such as price or age, youd simply sort on that and do the match in a greedy fashion, complexity roughly O(NlogN).

In many problems d=5 or so [in biotech micro-assay arrays where there are thousands of gene probes, d could be as large as 60k] which means that the volume of the space grows incredibly large – if you partition the space in K parts over each dimension thats K^d subvolumes to match to each other which gets huge very quickly.

There are normally continuity assumptions – if you take samples, you can get some predictive value from them.  A sample tells us something about nearby points, and this is really the basis of machine learning.  Another aspect of this is a theorem from compressed sensing and random matricies, that Terry Tao and others have proven, which says something along the lines that in high dimensions, random samples will actually be very effective in exploring the higher dimensional space.  This could explain why evolution is so universally effective in finding ultra optimised solutions, and overcoming local maxima.

Back to the case of finding best matches of N points in a d dimensional domain.  Lets assume we have some probably nonlinear function f = fitness(P1, P2) given any two points.  One approach would be to take a smaller random sample from the N points, small enough that we can do brute force comparing each sample against each other.  Then we sort on f and pick the best ones.  This gives us a lot of information about the space… because for any P1, P2 that match well, there will be surrounding points that also match well, in all likelihood.

So using this geometric way of looking at the problem of finding best matches, I implemented a simple prototype in Python which does the following –

  • Take S sample pairs P1, P2 and eveluate f12 = fitness(P1,P2)
  • Sort on f12, and take the best matches
  • Make a small volume V1 around P1, V2 around P2
  • Take the best matches from all points Pa in Va and Pb in V2
  • Brute force any remaining points
  • Post-process by swapping P1 of one pair with P2 of another pair

The results were not as good as I hoped but there are lots of improvements to make.  I measured the total number of times the fitness() function is called, as the complexity, and found that for N<~200 brute force is more effective.  Brute force on 1000 takes a long time to compute.   This sampling pairs method gets results in roughly NlogN it seems, runs on samples 5 to 10k in size, seems roughly NlogN.  This initial implementation when compared against brute force gave around 80% of the maximum possible global fitness score, when compared to brute force.

So its promising and Ill play with it and see if it can be improved in practical ways.  One of the nice things about it is the fitness function can be very nonlinear, so that the hotspots of high fitness volumes are not something that you can hard code a routine for… but random sampling finds these very well, and requires no special handling.

I used a naive approach to post processing – improving the match by swapping randomly chosen pair elements, and keeping the swap if it results in a better match.  This is basically a simple form of genetic optimisation or simulated annealing, so its pretty inefficient as a first implementation.

Interesting

Great talk, superb intuitive demo of constrained nth order gaussian distributions… and a free-as-in-beer textbook by David MacKay of Cambridge.

Most enjoyable… I’m off to read the book, this will take a year off your PhD :]

Links –

Video Talk

Gaussian Processes for Machine Learning

also by MAcKay – Information Theory, Inference and Learning Algorithms