More on Joint Bayesian Verification

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The followings are some detailed derivatation of the formulars in the paper Bayesian Face Revisited: A Joint Formulation.

Eq.4 Background
\[x=\mu+\epsilon\] where \(\mu\) and \(\epsilon\) follow two independent Gaussians \(N(0,S_\mu)\) and \(N(0,S_\epsilon)\). The covariance matrices of \(p(x_1,x_2|H_I)\) and \(p(x_1,x_2|H_E)\) are given by \[\Sigma_I=\left[ \begin{matrix} S_{\mu}+S_{\epsilon} & S_{\mu} \
S_{\mu} & S_{\mu}+S_{\epsilon} \end{matrix} \right],\] \[\Sigma_E=\left[ \begin{matrix} S_{\mu}+S_{\epsilon} & 0 \
0 & S_{\mu}+S_{\epsilon} \end{matrix} \right].\]

\[r(x_1,x_2)=\log\frac{p(x_1,x_2|H_I)}{p(x_1,x_2|H_E)}=x_1^TAx_1+x_2^TAx_2-2x_1^TGx_2+const,\] where \[A=(S_\mu+S_\epsilon)^{-1}-(F+G),\] \[\left[ \begin{matrix} F+G & G \
G & F+G \end{matrix} \right] = \left[ \begin{matrix} S_{\mu}+S_{\epsilon} & S_{\mu} \
S_{\mu} & S_{\mu}+S_{\epsilon} \end{matrix} \right]^{-1}.\]

\[p(x_1,x_2|H_I)=\frac{1}{norm}exp(-\frac{1}{2} \left[ \begin{matrix} x_1^T & x_2^T \end{matrix} \right] \Sigma_I^{-1} \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right]),\] where \[\left[ \begin{matrix} x_1^T & x_2^T \end{matrix} \right] \Sigma_I^{-1} \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right] = \left[ \begin{matrix} x_1 & x_2 \end{matrix} \right] \left[ \begin{matrix} F+G & G \
G & F+G \end{matrix} \right] \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right] = x_1^TAx_1+x_2^TAx_2-2x_1^TGx_2.\] \[p(x_1,x_2|H_E)=\frac{1}{norm}exp(-\frac{1}{2} \left[ \begin{matrix} x_1^T & x_2^T \end{matrix} \right] \Sigma_E^{-1} \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right]),\] where \[\left[ \begin{matrix} x_1^T & x_2^T \end{matrix} \right] \Sigma_E^{-1} \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right] = \left[ \begin{matrix} x_1 & x_2 \end{matrix} \right] \left[ \begin{matrix} (S_{\mu}+S_{\epsilon})^{-1} & 0 \
0 & (S_{\mu}+S_{\epsilon})^{-1} \end{matrix} \right] \left[ \begin{matrix} x_1 \\ x_2 \end{matrix} \right] = x_1^T(S_{\mu}+S_{\epsilon})^{-1}x_1+x_2^T(S_{\mu}+S_{\epsilon})^{-1}x_2.\] \[\therefore r(x_1,x_2)=\log\frac{p(x_1,x_2|H_I)}{p(x_1,x_2|H_E)}=x_1^T((S_\mu+S_\epsilon)^{-1}-(F+G))x_1+x_2^T((S_\mu+S_\epsilon)^{-1}-(F+G))x_2-2x_1^TGx_2+const=x_1^TAx_1+x_2^TAx_2-2x_1^TGx_2+const\]

Eq.8 Background
\[\mathbf{h}=[\mu;\epsilon_1;…;\epsilon_m]\] \[\mathbf{x}=[x_1;…;x_m]\] \[\mathbf{x}=P\mathbf{h}\] \[P=\left[\begin{matrix} I & I & 0 & \dots & 0 \
I & 0 & I & \dots & 0 \
\vdots & \vdots & \vdots & \ddots & \vdots \
I & 0 & 0 & … & I \end{matrix}\right]\] The distribution the hidden variable \(\mathbf{h}\) is \(N(0,\Sigma_h)\), where \(\Sigma_h=diag(S_\mu,S_\epsilon,\dots,S_\epsilon)\).


The distribution of \(\mathbf{x}\) is another Gaussian \(N(0,\Sigma_x)\) where \[\Sigma_x=P\Sigma_hP^T=\left[\begin{matrix} S_{\mu}+S_{\epsilon} & S_{\mu} & \dots & S_{\mu} \
S_{\mu} & S_{\mu}+S_{\epsilon} & \dots & S_{\mu} \
\vdots & \vdots & \ddots & \vdots \
S_{\mu} & S_{\mu} & … & S_{\mu}+S_{\epsilon} \end{matrix}\right]\] ref: Linear combinations of normal random variables.
More details can be found in this question on zhihu.


Why don’t we just solve \(\mathbf{h}=P^{\dagger}\mathbf{x}\) directly instead of rewriting it in terms of \(S_{\mu}\) and \(S_{\epsilon}\)?

Because it is not the only solution, since \(\mathbf{h}\) has one more degree of freedom than \(\mathbf{x}\). The scatter matrices of Linear Discriminant Analysis (LDA) mentioned in the paper can be thought of as another solution for \(\mathbf{x}=P\mathbf{h}\). This is sort of analogous to the biased variance estimation because we don’t know where is the true mean \(\mu\).

So the paper has shown doing EM is a smarter choice.