We analyze convergence of the expectation maximization (EM) and variational Bayes EM (VBEM) schemes for parameter estimation in noisy linear models. The analysis shows that both schemes are inefficient in the low-noise limit. The linear model with additive noise includes as special cases independent component analysis, probabilistic principal component analysis, factor analysis, and Kalman filtering. Hence, the results are relevant for many practical applications.

We develop mean-field approaches for probabilistic independent component analysis (ICA). The sources are estimated from the mean of their posterior distribution and the mixing matrix (and noise level) is estimated by maximum a posteriori (MAP). The latter requires the computation of (a good approximation to) the correlations between sources. For this purpose, we investigate three increasingly advanced mean-field methods: the variational (also known as naive mean field) approach, linear response corrections, and an adaptive version of the Thouless, Anderson and Palmer (1977) (TAP) mean-field approach, which is due to Opper and Winther (2001). The resulting algorithms are tested on a number of problems. On synthetic data, the advanced mean-field approaches are able to recover the correct mixing matrix in cases where the variational mean-field theory fails. For handwritten digits, sparse encoding is achieved using nonnegative source and mixing priors. For speech, the mean-field method is able to separate in the underdetermined (overcomplete) case of two sensors and three sources. One major advantage of the proposed method is its generality and algorithmic simplicity. Finally, we point out several possible extensions of the approaches developed here.

We derive a mean-field algorithm for binary classification with gaussian processes that is based on the TAP approach originally proposed in statistical physics of disordered systems. The theory also yields an approximate leave-one-out estimator for the generalization error, which is computed with no extra computational cost. We show that from the TAP approach, it is possible to derive both a simpler “naive” mean-field theory and support vector machines (SVMs) as limiting cases. For both mean-field algorithms and support vector machines, simulation results for three small benchmark data sets are presented. They show that one may get state-of-the-art performance by using the leave-one-out estimator for model selection and the built-in leave-one-out estimators are extremely precise when compared to the exact leave-one-out estimate. The second result is taken as strong support for the internal consistency of the mean-field approach.