Kernels for Vector Valued Functions


at ICML Workshop on ``Object, functional and structured data: towards next generation kernel-based methods'' on Jun 30, 2012 [pdf]
Neil D. Lawrence, University of Sheffield



In this talk we review kernels for vector valued functions from the perspective of Gaussian processes. Deriving a multiple output Gaussian process from the perspective of a linear dynamical system (Kalman Filter) we introduce the Intrinsic Coregionalization Model and the Linear Model of Coregionalization. We discuss how they relate to multi-task learning with GPs and the Semi Parametric Latent Factor model. Finally, we will introduce convolutional process models from the perspective of the latent force model.