Mahalanobis distance

About: Mahalanobis distance is a(n) research topic. Over the lifetime, 4616 publication(s) have been published within this topic receiving 95294 citation(s).

Distance Metric Learning for Large Margin Nearest Neighbor Classification

Abstract: The accuracy of k-nearest neighbor (kNN) classification depends significantly on the metric used to compute distances between different examples. In this paper, we show how to learn a Mahalanobis distance metric for kNN classification from labeled examples. The Mahalanobis metric can equivalently be viewed as a global linear transformation of the input space that precedes kNN classification using Euclidean distances. In our approach, the metric is trained with the goal that the k-nearest neighbors always belong to the same class while examples from different classes are separated by a large margin. As in support vector machines (SVMs), the margin criterion leads to a convex optimization based on the hinge loss. Unlike learning in SVMs, however, our approach requires no modification or extension for problems in multiway (as opposed to binary) classification. In our framework, the Mahalanobis distance metric is obtained as the solution to a semidefinite program. On several data sets of varying size and difficulty, we find that metrics trained in this way lead to significant improvements in kNN classification. Sometimes these results can be further improved by clustering the training examples and learning an individual metric within each cluster. We show how to learn and combine these local metrics in a globally integrated manner.

Information-theoretic metric learning

Abstract: In this paper, we present an information-theoretic approach to learning a Mahalanobis distance function. We formulate the problem as that of minimizing the differential relative entropy between two multivariate Gaussians under constraints on the distance function. We express this problem as a particular Bregman optimization problem---that of minimizing the LogDet divergence subject to linear constraints. Our resulting algorithm has several advantages over existing methods. First, our method can handle a wide variety of constraints and can optionally incorporate a prior on the distance function. Second, it is fast and scalable. Unlike most existing methods, no eigenvalue computations or semi-definite programming are required. We also present an online version and derive regret bounds for the resulting algorithm. Finally, we evaluate our method on a recent error reporting system for software called Clarify, in the context of metric learning for nearest neighbor classification, as well as on standard data sets.

A fast algorithm for the minimum covariance determinant estimator

Abstract: The minimum covariance determinant (MCD) method of Rousseeuw is a highly robust estimator of multivariate location and scatter. Its objective is to find h observations (out of n) whose covariance matrix has the lowest determinant. Until now, applications of the MCD were hampered by the computation time of existing algorithms, which were limited to a few hundred objects in a few dimensions. We discuss two important applications of larger size, one about a production process at Philips with n = 677 objects and p = 9 variables, and a dataset from astronomy with n = 137,256 objects and p = 27 variables. To deal with such problems we have developed a new algorithm for the MCD, called FAST-MCD. The basic ideas are an inequality involving order statistics and determinants, and techniques which we call “selective iteration” and “nested extensions.” For small datasets, FAST-MCD typically finds the exact MCD, whereas for larger datasets it gives more accurate results than existing algorithms and is faster by orders...

PSMATCH2: Stata module to perform full Mahalanobis and propensity score matching, common support graphing, and covariate imbalance testing

Abstract: psmatch2 implements full Mahalanobis and propensity score matching, common support graphing, and covariate imbalance testing. This routine supersedes the previous 'psmatch' routine of B. Sianesi. The April 2012 revision of pstest changes the syntax of that command.

Neighbourhood Components Analysis

Abstract: In this paper we propose a novel method for learning a Mahalanobis distance measure to be used in the KNN classification algorithm. The algorithm directly maximizes a stochastic variant of the leave-one-out KNN score on the training set. It can also learn a low-dimensional linear embedding of labeled data that can be used for data visualization and fast classification. Unlike other methods, our classification model is non-parametric, making no assumptions about the shape of the class distributions or the boundaries between them. The performance of the method is demonstrated on several data sets, both for metric learning and linear dimensionality reduction.