[link]
If one is a Bayesian he or she best expresses beliefs about next observation $x_{n+1}$ after observing $x_1, \dots, x_n$ using the **posterior predictive distribution**: $p(x_{n+1}\vert x_1, \dots, x_n)$. Typically one invokes the de Finetti theorem and assumes there exists an underlying model $p(x\vert\theta)$, hence $p(x_{n+1}\vert x_1, \dots, x_n) = \int p(x_{n+1} \vert \theta) p(\theta \vert x_1, \dots, x_n) d\theta$, however this integral is far from tractable in most cases. Nevertheless, having tractable posterior predictive is useful in cases like fewshot generative learning where we only observe a few instances of a given class and are asked to produce more of it. In this paper authors take a slightly different approach and build a neural model with tractable posterior predictive distribution $p(x_{n+1}  x_1, \dots, x_n)$ suited for complex objects like images. In order to do so the authors take a simple model with tractable posterior predictive $p(z_{n+1}  z_1, \dots, z_n)$ (like a Gaussian Process, but not quite) and use it as a latent code, which is obtained from observations using an analytically inversible encoder $f$. This setup lets you take a complex $x$ like an image, run it through $f$ to obtain $z = f(x)$  a simplified latent representation for which it's easier to build joint density of all possible representations and hence easier to model the posterior predictive. By feeding latent representations of $x_1, \dots, x_n$ (namely, $z_1, \dots, z_n$) to the posterior predictive $p(z_{n+1}  f(x_1), \dots, f(x_n))$ we obtain obtain a distribution of latent representations that are coherent with those of already observed $x$s. By sampling $z$ from this distribution and running it through $f^{1}$ we recover an object in the observation space, $x_\text{pred} = f^{1}(z)$  a sample most coherent with previous observations. Important choices are: * Model for latent representations $z$: one could use Gaussian Process, however authors claim it lacks some helpful properties and go for a more general [StudentT Process](http://www.shortscience.org/paper?bibtexKey=journals/corr/1402.4306). Then authors assume that each component of $z$ is a univariate sample from this process (and hence is independent from other components) * Encoder $f$. It has to be easily inversible and have an easytoevaluate Jacobian (the determinant of the Jacobi matrix). The former is needed to perform decoding of predictions in latent representations space and the later is used to efficiently compute a density of observations $p(x_1, \dots, x_n)$ using the standard change of variables formula $$p(x_1, \dots, x_n) = p(z_1, \dots, z_n) \left\vert\text{det} \frac{\partial f(x)}{\partial x} \right\vert$$The architecture of choice for this task is [RealNVP](http://www.shortscience.org/paper?bibtexKey=journals/corr/1605.08803) Done this way, it's possible to write out the marginal density $p(x_1, \dots, x_n)$ on all the observed $x$s and maximize it (as in the Maximum Likelihood Estimation). Authors choose to factor the joint density in an autoregressive fashion (via the chain rule) $$p(x_1, \dots, x_n) = p(x_1) p(x_2 \vert x_1) p(x_3 \vert x_1, x_2) \dots p(x_n \vert x_1, \dots, x_{n1}) $$with all the conditional marginals $p(x_i \vert x_1, \dots, x_{i1})$ having analytic (student t times the jacobian) density  this allows one to form a fully differentiable recurrent computation graph whose parameters (parameters of Student Processes for each component of $z$ + parameters of the encoder $f$) to be learned using any stochastic gradient method. https://i.imgur.com/yRrRaMs.png
Your comment:
