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Neural Computation

October 2007, Vol. 19, No. 10, Pages 2780-2796
(doi: 10.1162/neco.2007.19.10.2780)
© 2007 Massachusetts Institute of Technology
Integration of Stochastic Models by Minimizing α-Divergence
Article PDF (107.41 KB)
Abstract

When there are a number of stochastic models in the form of probability distributions, one needs to integrate them. Mixtures of distributions are frequently used, but exponential mixtures also provide a good means of integration. This letter proposes a one-parameter family of integration, called α-integration, which includes all of these well-known integrations. These are generalizations of various averages of numbers such as arithmetic, geometric, and harmonic averages. There are psychophysical experiments that suggest that α-integrations are used in the brain. The α-divergence between two distributions is defined, which is a natural generalization of Kullback-Leibler divergence and Hellinger distance, and it is proved that α-integration is optimal in the sense of minimizing α-divergence. The theory is applied to generalize the mixture of experts and the product of experts to the α-mixture of experts. The α-predictive distribution is also stated in the Bayesian framework.