Introduction to Gaussian Processes

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at STOR-i Masterclass on Feb 6, 2017 [pdf]
Neil D. Lawrence, Amazon Research Cambridge and The University of Sheffield

Abstract

In this master class we will give a short introduction to Gaussian process models, and then explore their use in the domain of Bayesian Optimization. Gaussian process models are flexible models which allow us to place probability distributions over functions. In Bayesian Optimization, the Gaussian process is used as a surrogate for the process of interest. Rather than directly optimizing the process, the surrogate is optimized. This leads to an efficient approach for improving efficiency in a wide range of physical systems. The seminar will introduce lab classes which will make use of the python software GPy and GPyOpt (https://github.com/sheffieldml/GPy, https://github.com/sheffieldml/GPyOpt). This first talk will be an introduction to Gaussian process models that will assume knowledge of probability, linear algebra and the multivariate Gaussian.

Links

For more details of this talk and the school schedule see here.