A Measure-Theoretic Approach to Kernel Conditional Mean Embeddings

NeurIPS 2020

A Measure-Theoretic Approach to Kernel Conditional Mean Embeddings

Nov 21, 2020
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Author: Junhyung Park, Krikamol Muandet Paper Abstract: We present an operator-free, measure-theoretic approach to the conditional mean embedding (CME) as a random variable taking values in a reproducing kernel Hilbert space. While the kernel mean embedding of unconditional distributions has been defined rigorously, the existing operator-based approach of the conditional version depends on stringent assumptions that hinder its analysis. We overcome this limitation via a measure-theoretic treatment of CMEs. We derive a natural regression interpretation to obtain empirical estimates, and provide a thorough theoretical analysis thereof, including universal consistency. As natural by-products, we obtain the conditional analogues of the maximum mean discrepancy and Hilbert-Schmidt independence criterion, and demonstrate their behaviour via simulations.

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