Statistical Model Aggregation via Parameter Matching

NeurIPS 2019 · Mikhail Yurochkin, Mayank Agarwal, Soumya Ghosh, Kristjan Greenewald, Trong Nghia Hoang ·

We consider the problem of aggregating models learned from sequestered, possibly heterogeneous datasets. Exploiting tools from Bayesian nonparametrics, we develop a general meta-modeling framework that learns shared global latent structures by identifying correspondences among local model parameterizations. Our proposed framework is model-independent and is applicable to a wide range of model types. After verifying our approach on simulated data, we demonstrate its utility in aggregating Gaussian topic models, hierarchical Dirichlet process based hidden Markov models, and sparse Gaussian processes with applications spanning text summarization, motion capture analysis, and temperature forecasting.