Out-of-Distribution Detection using BiGAN and MDL

We consider the following problem: we have a large dataset of normal data available. We are now given a new, possibly quite small, set of data, and we are to decide if these are normal data, or if they are indicating a new phenomenon. This is a novelty detection or out-of-distribution detection problem. An example is in medicine, where the normal data is for people with no known disease, and the new dataset people with symptoms. Other examples could be in security. We solve this problem by training a bidirectional generative adversarial network (BiGAN) on the normal data and using a Gaussian graphical model to model the output. We then use universal source coding, or minimum description length (MDL) on the output to decide if it is a new distribution, in an implementation of Kolmogorov and Martin-L\"{o}f randomness. We apply the methodology to both MNIST data and a real-world electrocardiogram (ECG) dataset of healthy and patients with Kawasaki disease, and show better performance in terms of the ROC curve than similar methods.

Graph Coding for Model Selection and Anomaly Detection in Gaussian Graphical Models

A classic application of description length is for model selection with the minimum description length (MDL) principle. The focus of this paper is to extend description length for data analysis beyond simple model selection and sequences of scalars. More specifically, we extend the description length for data analysis in Gaussian graphical models. These are powerful tools to model interactions among variables in a sequence of i.i.d Gaussian data in the form of a graph. Our method uses universal graph coding methods to accurately account for model complexity, and therefore provide a more rigorous approach for graph model selection. The developed method is tested with synthetic and electrocardiogram (ECG) data to find the graph model and anomaly in Gaussian graphical models. The experiments show that our method gives better performance compared to commonly used methods.

Bounds for Learning Lossless Source Coding

This paper asks a basic question: how much training is required to beat a universal source coder? Traditionally, there have been two types of source coders: fixed, optimum coders such as Huffman coders; and universal source coders, such as Lempel-Ziv The paper considers a third type of source coders: learned coders. These are coders that are trained on data of a particular type, and then used to encode new data of that type. This is a type of coder that has recently become very popular for (lossy) image and video coding. The paper consider two criteria for performance of learned coders: the average performance over training data, and a guaranteed performance over all training except for some error probability $P_e$. In both cases the coders are evaluated with respect to redundancy. The paper considers the IID binary case and binary Markov chains. In both cases it is shown that the amount of training data required is very moderate: to code sequences of length $l$ the amount of training data required to beat a universal source coder is $m=K\frac{l}{\log l}$, where the constant in front depends the case considered.

Differential Description Length for Hyperparameter Selection in Machine Learning

This paper introduces a new method for model selection and more generally hyperparameter selection in machine learning. The paper first proves a relationship between generalization error and a difference of description lengths of the training data; we call this difference differential description length (DDL). This allows prediction of generalization error from the training data \emph{alone} by performing encoding of the training data. This can now be used for model selection by choosing the model that has the smallest predicted generalization error. We show how this encoding can be done for linear regression and neural networks. We provide experiments showing that this leads to smaller generalization error than cross-validation and traditional MDL and Bayes methods.