# Expectation of the softmax transform for Gaussian multivariate variables

Prelims

In the article Sequential updating of conditional probabilities on directed graphical structures by Spiegelhalter and Lauritzen they give an approximation to the expectation of a logistic transformed Gaussian random variable $\theta \sim N(\mu, \sigma^2)$. This uses the Gaussian cdf function $\Phi$ in the approximation

$$\exp(\theta)/(1 + \exp(\theta)) \approx \Phi(\theta \epsilon)$$

for an appropriately chosen $\epsilon$ (in their case they chose $\epsilon = 0.607$). Hence

$$\mathbb{E} \left [ \exp(\theta)/(1 + \exp(\theta))\right ] \approx \int_{- \infty}^{\infty} \Phi(\theta \epsilon) \phi(\theta | \mu, \sigma^2) d \theta$$

where $\phi$ is a Gaussian pdf function. The integral can be written as

$$\int_{\infty}^{\infty} \Pr(U < 0 | \theta) \phi(\theta|\mu, \sigma^2) d\theta$$

where $U \sim N(-\theta, \epsilon^{-2})$ and the integral is then simply the marginal $\Pr(U < 0)$. Note that as $\theta \sim N(\mu, \sigma^2)$, we have $U \sim N(-\mu, \sigma^2 + \epsilon^{-2})$. Hence

$$\mathbb{E} \left [ \exp(\theta)/(1 + \exp(\theta))\right ] \approx \Pr(U < 0) = \Phi(\frac{\mu}{\sqrt{\sigma^2 + \epsilon^{-2}}})$$

We can then use the initial approximation in the reverse direction to get

$$\mathbb{E} \left [ \exp(\theta)/(1 + \exp(\theta))\right ] \approx \exp(c \mu)/(1 + \exp(c \mu))$$

where $c = (1 + \epsilon^2 \sigma^2)^{-1/2}$.

Question

My question is, are there any approximations to the expectation of a softmax transformation of Gaussian multivariate variables. In particular, let

$$\boldsymbol{Z} \sim MVN(\boldsymbol{\mu}, \Sigma) \in \mathbb{R}^{n}$$

Define the $k$ activations for each discrete outcome as

$$f_i(\boldsymbol{Z}, \boldsymbol{w}_i) = \boldsymbol{w}_i^T \boldsymbol{Z}$$

Finally define our softmax transformed activations as $$P_i(\boldsymbol{Z}) = \frac{\exp(f_i(\boldsymbol{Z}, \boldsymbol{w}_i))}{\sum_{j=1}^k \exp(f_j(\boldsymbol{Z}, \boldsymbol{w}_j))}$$

What I want is an estimate to the expectation $$\mathbb{E}[P_i(\boldsymbol{Z})]$$

Note that in the case $k=2$, we have

$$P_1(\boldsymbol{Z}) = \frac{\exp(f_1(\boldsymbol{Z}, \boldsymbol{w}_1))}{ \exp(f_1(\boldsymbol{Z}, \boldsymbol{w}_1)) + \exp(f_2(\boldsymbol{Z}, \boldsymbol{w}_2))}$$

Therefore

$$P_1(\boldsymbol{Z}) = \frac{\exp(f_1(\boldsymbol{Z}, \boldsymbol{w}_1) - f_2(\boldsymbol{Z}, \boldsymbol{w}_2))}{ \exp(f_1(\boldsymbol{Z}, \boldsymbol{w}_1)- f_2(\boldsymbol{Z}, \boldsymbol{w}_2)) + 1}$$

and as $f_1(\boldsymbol{Z}, \boldsymbol{w}_1) - f_2(\boldsymbol{Z}, \boldsymbol{w}_2)$ is simply the sum of correlated Gaussian random variables, it is also Gaussian distributed. Hence we can use the initial approximation.

Can we generalise for $k > 2$?

I am sorry if I rescue a fairly old question but I was facing a very similar problem recently and I stumble upon a paper that might offer some help. The article is: "Semi-analytical approximations to statistical moments of sigmoid and softmax mappings of normal variables" at https://arxiv.org/pdf/1703.00091.pdf

## Expectation of Softmax approximation

For computing the average value of a softmax mapping $$\pi \left( \mathbf{\mathsf{x}} \right)$$ of multi-normal distributed variables $$\mathbf{\mathsf{x}} \sim \mathcal{N}_D \left( \mathbf{\mu}, \mathbf{\Sigma} \right)$$ the author provides the following approximation:

$$\mathbb{E} \left[ \pi^k (\mathbf{\mathsf{x}}) \right] \simeq \frac{1}{2 - D + \sum_{k' \neq k} \frac{1}{\mathbb{E} \left[ \sigma \left( x^k - x^{k'} \right) \right]}}$$

Where $$x^k$$ represents the $$k$$-component of the $$\mathbf{\mathsf{x}}$$ D-dimensional vector and $$\sigma \left( x \right)$$ represent the one-dimensional sigmoidal function. To evaluate this formula one needs to compute the average value $$\mathbb{E} \left[ \sigma (x) \right]$$ for which you could use your own approximation (a very similar approximation is again provided in the aformentioned article).

This formula is based on a re-writing of the softmax formula in terms of sigmoids and starts from the $$D=2$$ case you mentioned where the result is "exact" (as much as an approximation can be) and postulate the validity of their expression for $$D>2$$. They validate their proposal by means of numerical validation.

I'd like to complement @myscience's answer in terms of an alternative approach mentioned in that article.

Basically, the approach expands the function (in your case, the softmax transform) to 2nd-order Taylor series at the expectation of the random variable, and uses the expectation of the Taylor series as an estimation of the original expectation:

$$\mathbb E[f(\boldsymbol x)] \approx f(\boldsymbol\mu) + \frac{1}{2}\operatorname{tr}(\mathbf H f(\boldsymbol\mu) \boldsymbol\Sigma)\,,\tag{1}$$

where $$\boldsymbol\mu = \mathbb E[\boldsymbol x]$$ is the expectation of the random variable, $$\mathbf H f$$ is the Hessian of the function, $$\boldsymbol\Sigma$$ is the covariance of the random variable, and $$\operatorname{tr}$$ is the matrix trace. To tailor this equation to your need, what you have to do is:

1. Compute the expectation and covariance of the underlying distribution. If the distribution is (multivariate) Gaussian, you may use directly the $$\boldsymbol\mu$$ and $$\boldsymbol\Sigma$$ parameters.
2. Derive the Hessian of your function.
3. Estimate the expectation of the function of the random variable by Equation $$(1)$$.

As a matter of fact, Equation $$(1)$$ is not limited to Gaussian variables. You may use it for, e.g. Gamma distribution, Dirichlet distribution, to name a few.

One caveat is that the precision of such estimation drops as the trace of the covariance increases. For example, when the trace is really large, the approximation of the expectation of an element of the softmax may be less than zero, which is impossible if the estimation were accurate. This often happens when the dimensionality of the random variable is large, and the variance at each dimension accumulates. In this circumstance, you may want to use other approximation, or resort to Monte Carlo method.

When I once read the article, I wondered why we must expand the Taylor series at $$\boldsymbol\mu$$. It turns out that this should minimize the approximation error bound.

You may view my research on this topic in my post.