DensityRatioEstimation.jl

Density ratio estimation in Julia
Author JuliaML
Popularity
26 Stars
Updated Last
11 Months Ago
Started In
September 2019


Given samples x_nu and x_de from distributions p_nu and p_de, it is very useful to estimate the density ratio r(x) = p_nu(x) / p_de(x) for all valid x. This problem is known in the literature as the density ratio estimation problem (Sugiyama et al. 2012).

Naive solutions based on the ratio of individual estimators for numerator and denominator densities perform poorly, particularly in high dimensions. This package provides density ratio estimators that perform well with a moderately large number of dimensions.

Installation

Get the latest stable release with Julia's package manager:

] add DensityRatioEstimation

Usage

Given two indexable collections x_nu and x_de of samples from p_nu and p_de, one can estimate the density ratio at all samples in x_de:

using DensityRatioEstimation, Optim

r = densratio(x_nu, x_de, KLIEP(), optlib=OptimLib)

The third argument of the densratio function is a density ratio estimator. Currently, this package implements the following estimators:

Estimator Type1 References
Kernel Mean Matching KMM, uKMM Huang et al. 2006
Kullback-Leibler Importance Estimation Procedure KLIEP Sugiyama et al. 2008
Least-Squares Importance Fitting LSIF Kanamori et al. 2009

1 We use the naming convention of prefixing the type name with u for the unconstrained variant of the corresponding estimator.

The fourth argument optlib specifies the optimization package used to implement the estimator. Some estimators are implemented with different optimization packages to facilitate the usage in different environments. In the example above, users that already have the Optim.jl package in their environment can promptly use the KLIEP estimator implemented with that package. Each estimator has a default optimization package, and so the function call above can be simplified given that the optimization package is already loaded:

r = densratio(x_nu, x_de, KLIEP())

Different implementations of the same estimator are loaded using the Requires.jl package, and the keyword argument optlib can be any of:

  • JuliaLib - Pure Julia implementation
  • OptimLib - Optim.jl implementation
  • ConvexLib - Convex.jl implementation
  • JuMPLib - JuMP.jl implementation

To find out the default implementation for an estimator, please use

default_optlib(KLIEP)

and to find out the available implementations, please use

available_optlib(KLIEP)

Some methods support the evaluation of the density ratio at all x, besides the denominator samples. In this case, the following line returns a function r(x) that can be evaluated at new unseen samples:

r = densratiofunc(x_nu, x_de, KLIEP())

Hyperparameter tuning

Methods like KLIEP are equiped with tuning strategies, and its hyperparameters can be found using the following line:

dre = fit(KLIEP, x_nu, x_de, LCV((σ=[1.,2.,3.],b=[100]))

The function returns a KLIEP instance with parameters optimized for the samples. In this case, the line uses likelihood cross-validation LCV as the tuning strategy. It accepts a named tuple with the hyperparameter ranges for KLIEP, the kernel width σ and the number of basis functions b. Currently, the following tuning strategies are implemented:

Tuning References
LCV Sugiyama et al. 2008