On Convergence of Polynomial Approximations to the Gaussian Mixture Entropy

Published: 21 Sept 2023, Last Modified: 02 Nov 2023NeurIPS 2023 posterEveryoneRevisionsBibTeX
Keywords: entropy, Gaussian mixture model, uncertainty quantification, approximate inference
TL;DR: We provide analysis on convergence/divergence criterion for polynomial approximation of GMM entropy.
Abstract: Gaussian mixture models (GMMs) are fundamental to machine learning due to their flexibility as approximating densities. However, uncertainty quantification of GMMs remains a challenge as differential entropy lacks a closed form. This paper explores polynomial approximations, specifically Taylor and Legendre, to the GMM entropy from a theoretical and practical perspective. We provide new analysis of a widely used approach due to Huber et al.(2008) and show that the series diverges under simple conditions. Motivated by this divergence we provide a novel Taylor series that is provably convergent to the true entropy of any GMM. We demonstrate a method for selecting a center such that the series converges from below, providing a lower bound on GMM entropy. Furthermore, we demonstrate that orthogonal polynomial series result in more accurate polynomial approximations. Experimental validation supports our theoretical results while showing that our method is comparable in computation to Huber et al. We also show that in application, the use of these polynomial approximations, such as in Nonparametric Variational Inference by Gershamn et al. (2012), rely on the convergence of the methods in computing accurate approximations. This work contributes useful analysis to existing methods while introducing a novel approximation supported by firm theoretical guarantees.
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Submission Number: 10505