Probabilistic learning constrained by realizations using a weak formulation of Fourier transform of probability measures

Abstract

This paper deals with the taking into account a given set of realizations as constraints in the Kullback-Leibler minimum principle, which is used as a probabilistic learning algorithm. This permits the effective integration of data into predictive models. We consider the probabilistic learning of a random vector that is made up of either a quantity of interest (unsupervised case) or the couple of the quantity of interest and a control parameter (supervised case).A training set of independent realizations of this random vector is assumed to be given and to be generated with a prior probability measure that is unknown. A target set of realizations of the QoI is available for the two considered cases. The framework is the one of non-Gaussian problems in high dimension. A functional approach is developed on the basis of a weak formulation of the Fourier transform of probability measures (characteristic functions). The construction makes it possible to take into account the target set of realizations of the QoI in the Kullback-Leibler minimum principle. The proposed approach allows for estimating the posterior probability measure of the QoI (unsupervised case) or of the posterior joint probability measure of the QoI with the control parameter (supervised case). The existence and the uniqueness of the posterior probability measure is analyzed for the two cases. The numerical aspects are detailed in order to facilitate the implementation of the proposed method. The presented application in high dimension demonstrates the efficiency and the robustness of the proposed algorithm.