at Gaussian Process Summer School, University of Sheffield, UK on Sep 10, 2019 [jupyter][google colab][reveal]
Neil D. Lawrence, University of Sheffield

#### Abstract

In this talk we introduce deep Gaussian processes, describe what they are and what they are good for. Deep Gaussian process models make use of stochastic process composition to combine Gaussian processes together to form new models which are non-Gaussian in structure. They serve both as a theoretical model for deep learning and a functional model for regression, classification and unsupervised learning. The challenge in these models is propagating the uncertainty through the process.

## Deep Gaussian Processes

• Deep Gaussian Processes and Variational Propagation of Uncertainty Damianou (2015)

Even in the early days of Gaussian processes in machine learning, it was understood that we were throwing something fundamental away. This is perhaps captured best by David MacKay in his 1997 NeurIPS tutorial on Gaussian processes, where he asked “Have we thrown out the baby with the bathwater?”. The quote below is from his summarization paper.

According to the hype of 1987, neural networks were meant to be intelligent models which discovered features and patterns in data. Gaussian processes in contrast are simply smoothing devices. How can Gaussian processes possibly repalce neural networks? What is going on?

MacKay (n.d.)

Mathematically, each layer of a neural network is given through computing the activation function, $\basisFunction(\cdot)$, contingent on the previous layer, or the inputs. In this way the activation functions, are composed to generate more complex interactions than would be possible with any single layer.
\begin{align} \hiddenVector_{1} &= \basisFunction\left(\mappingMatrix_1 \inputVector\right)\\ \hiddenVector_{2} &= \basisFunction\left(\mappingMatrix_2\hiddenVector_{1}\right)\\ \hiddenVector_{3} &= \basisFunction\left(\mappingMatrix_3 \hiddenVector_{2}\right)\\ \dataVector &= \mappingVector_4 ^\top\hiddenVector_{3} \end{align}

## Overfitting 

One potential problem is that as the number of nodes in two adjacent layers increases, the number of parameters in the affine transformation between layers, $\mappingMatrix$, increases. If there are ki − 1 nodes in one layer, and ki nodes in the following, then that matrix contains kiki − 1 parameters, when we have layer widths in the 1000s that leads to millions of parameters.

One proposed solution is known as dropout where only a sub-set of the neural network is trained at each iteration. An alternative solution would be to reparameterize $\mappingMatrix$ with its singular value decomposition.
$$\mappingMatrix = \eigenvectorMatrix\eigenvalueMatrix\eigenvectwoMatrix^\top$$
or
$$\mappingMatrix = \eigenvectorMatrix\eigenvectwoMatrix^\top$$
where if $\mappingMatrix \in \Re^{k_1\times k_2}$ then $\eigenvectorMatrix\in \Re^{k_1\times q}$ and $\eigenvectwoMatrix \in \Re^{k_2\times q}$, i.e. we have a low rank matrix factorization for the weights.

## Bottleneck Layers in Deep Neural Networks 

Including the low rank decomposition of $\mappingMatrix$ in the neural network, we obtain a new mathematical form. Effectively, we are adding additional latent layers, $\latentVector$, in between each of the existing hidden layers. In a neural network these are sometimes known as bottleneck layers. The network can now be written mathematically as
\begin{align} \latentVector_{1} &= \eigenvectwoMatrix^\top_1 \inputVector\\ \hiddenVector_{1} &= \basisFunction\left(\eigenvectorMatrix_1 \latentVector_{1}\right)\\ \latentVector_{2} &= \eigenvectwoMatrix^\top_2 \hiddenVector_{1}\\ \hiddenVector_{2} &= \basisFunction\left(\eigenvectorMatrix_2 \latentVector_{2}\right)\\ \latentVector_{3} &= \eigenvectwoMatrix^\top_3 \hiddenVector_{2}\\ \hiddenVector_{3} &= \basisFunction\left(\eigenvectorMatrix_3 \latentVector_{3}\right)\\ \dataVector &= \mappingVector_4^\top\hiddenVector_{3}. \end{align}

\begin{align} \latentVector_{1} &= \eigenvectwoMatrix^\top_1 \inputVector\\ \latentVector_{2} &= \eigenvectwoMatrix^\top_2 \basisFunction\left(\eigenvectorMatrix_1 \latentVector_{1}\right)\\ \latentVector_{3} &= \eigenvectwoMatrix^\top_3 \basisFunction\left(\eigenvectorMatrix_2 \latentVector_{2}\right)\\ \dataVector &= \mappingVector_4 ^\top \latentVector_{3} \end{align}

## Cascade of Gaussian Processes 

Now if we replace each of these neural networks with a Gaussian process. This is equivalent to taking the limit as the width of each layer goes to infinity, while appropriately scaling down the outputs.

\begin{align} \latentVector_{1} &= \mappingFunctionVector_1\left(\inputVector\right)\\ \latentVector_{2} &= \mappingFunctionVector_2\left(\latentVector_{1}\right)\\ \latentVector_{3} &= \mappingFunctionVector_3\left(\latentVector_{2}\right)\\ \dataVector &= \mappingFunctionVector_4\left(\latentVector_{3}\right) \end{align}

# Deep Learning 

### DeepFace 

The DeepFace architecture (Taigman et al. 2014) consists of layers that deal with translation and rotational invariances. These layers are followed by three locally-connected layers and two fully-connected layers. Color illustrates feature maps produced at each layer. The neural network includes more than 120 million parameters, where more than 95% come from the local and fully connected layers.

### Deep Learning as Pinball 

Sometimes deep learning models are described as being like the brain, or too complex to understand, but one analogy I find useful to help the gist of these models is to think of them as being similar to early pin ball machines.

In a deep neural network, we input a number (or numbers), whereas in pinball, we input a ball.

Think of the location of the ball on the left-right axis as a single number. Our simple pinball machine can only take one number at a time. As the ball falls through the machine, each layer of pins can be thought of as a different layer of ‘neurons’. Each layer acts to move the ball from left to right.

In a pinball machine, when the ball gets to the bottom it might fall into a hole defining a score, in a neural network, that is equivalent to the decision: a classification of the input object.

An image has more than one number associated with it, so it is like playing pinball in a hyper-space.

Learning involves moving all the pins to be in the correct position, so that the ball ends up in the right place when it’s fallen through the machine. But moving all these pins in hyperspace can be difficult.

In a hyper-space you have to put a lot of data through the machine for to explore the positions of all the pins. Even when you feed many millions of data points through the machine, there are likely to be regions in the hyper-space where no ball has passed. When future test data passes through the machine in a new route unusual things can happen.

Adversarial examples exploit this high dimensional space. If you have access to the pinball machine, you can use gradient methods to find a position for the ball in the hyper space where the image looks like one thing, but will be classified as another.

Probabilistic methods explore more of the space by considering a range of possible paths for the ball through the machine. This helps to make them more data efficient and gives some robustness to adversarial examples.

Mathematically, a deep Gaussian process can be seen as a composite multivariate function,
$$\mathbf{g}(\inputVector)=\mappingFunctionVector_5(\mappingFunctionVector_4(\mappingFunctionVector_3(\mappingFunctionVector_2(\mappingFunctionVector_1(\inputVector))))).$$
Or if we view it from the probabilistic perspective we can see that a deep Gaussian process is specifying a factorization of the joint density, the standard deep model takes the form of a Markov chain.

$$p(\dataVector|\inputVector)= p(\dataVector|\mappingFunctionVector_5)p(\mappingFunctionVector_5|\mappingFunctionVector_4)p(\mappingFunctionVector_4|\mappingFunctionVector_3)p(\mappingFunctionVector_3|\mappingFunctionVector_2)p(\mappingFunctionVector_2|\mappingFunctionVector_1)p(\mappingFunctionVector_1|\inputVector)$$

## Why Deep? 

If the result of composing many functions together is simply another function, then why do we bother? The key point is that we can change the class of functions we are modeling by composing in this manner. A Gaussian process is specifying a prior over functions, and one with a number of elegant properties. For example, the derivative process (if it exists) of a Gaussian process is also Gaussian distributed. That makes it easy to assimilate, for example, derivative observations. But that also might raise some alarm bells. That implies that the marginal derivative distribution is also Gaussian distributed. If that’s the case, then it means that functions which occasionally exhibit very large derivatives are hard to model with a Gaussian process. For example, a function with jumps in.

A one off discontinuity is easy to model with a Gaussian process, or even multiple discontinuities. They can be introduced in the mean function, or independence can be forced between two covariance functions that apply in different areas of the input space. But in these cases we will need to specify the number of discontinuities and where they occur. In otherwords we need to parameterise the discontinuities. If we do not know the number of discontinuities and don’t wish to specify where they occur, i.e. if we want a non-parametric representation of discontinuities, then the standard Gaussian process doesn’t help.

## Stochastic Process Composition

The deep Gaussian process leads to non-Gaussian models, and non-Gaussian characteristics in the covariance function. In effect, what we are proposing is that we change the properties of the functions we are considering by composing stochastic processes. This is an approach to creating new stochastic processes from well known processes.

Additionally, we are not constrained to the formalism of the chain. For example, we can easily add single nodes emerging from some point in the depth of the chain. This allows us to combine the benefits of the graphical modelling formalism, but with a powerful framework for relating one set of variables to another, that of Gaussian processes

## Difficulty for Probabilistic Approaches 

The challenge for composition of probabilistic models is that you need to propagate a probability densities through non linear mappings. This allows you to create broader classes of probability density. Unfortunately it renders the resulting densities intractable.

## Standard Variational Approach Fails 

• Standard variational bound has the form:
$$\likelihoodBound = \expDist{\log p(\dataVector|\latentMatrix)}{q(\latentMatrix)} + \KL{q(\latentMatrix)}{p(\latentMatrix)}$$

The standard variational approach would require the expectation of $\log p(\dataVector|\latentMatrix)$ under $q(\latentMatrix)$.
\begin{align} \log p(\dataVector|\latentMatrix) = & -\frac{1}{2}\dataVector^\top\left(\kernelMatrix_{\mappingFunctionVector, \mappingFunctionVector}+\dataStd^2\eye\right)^{-1}\dataVector \\ & -\frac{1}{2}\log \det{\kernelMatrix_{\mappingFunctionVector, \mappingFunctionVector}+\dataStd^2 \eye} -\frac{\numData}{2}\log 2\pi \end{align}
But this is extremely difficult to compute because $\kernelMatrix_{\mappingFunctionVector, \mappingFunctionVector}$ is dependent on $\latentMatrix$ and it appears in the inverse.

## Variational Bayesian GP-LVM

The alternative approach is to consider the collapsed variational bound (used for low rank (sparse is a misnomer) Gaussian process approximations.
$$p(\dataVector)\geq \prod_{i=1}^\numData c_i \int \gaussianDist{\dataVector}{\expSamp{\mappingFunctionVector}}{\dataStd^2\eye}p(\inducingVector) \text{d}\inducingVector$$

$$p(\dataVector|\latentMatrix )\geq \prod_{i=1}^\numData c_i \int \gaussianDist{\dataVector}{\expDist{\mappingFunctionVector}{p(\mappingFunctionVector|\inducingVector, \latentMatrix)}}{\dataStd^2\eye}p(\inducingVector) \text{d}\inducingVector$$

$$\int p(\dataVector|\latentMatrix)p(\latentMatrix) \text{d}\latentMatrix \geq \int \prod_{i=1}^\numData c_i \gaussianDist{\dataVector}{\expDist{\mappingFunctionVector}{p(\mappingFunctionVector|\inducingVector, \latentMatrix)}}{\dataStd^2\eye} p(\latentMatrix)\text{d}\latentMatrix p(\inducingVector) \text{d}\inducingVector$$

To integrate across $\latentMatrix$ we apply the lower bound to the inner integral.
\begin{align} \int \prod_{i=1}^\numData c_i \gaussianDist{\dataVector}{\expDist{\mappingFunctionVector}{p(\mappingFunctionVector|\inducingVector, \latentMatrix)}}{\dataStd^2\eye} p(\latentMatrix)\text{d}\latentMatrix \geq & \expDist{\sum_{i=1}^\numData\log c_i}{q(\latentMatrix)}\\ & +\expDist{\log\gaussianDist{\dataVector}{\expDist{\mappingFunctionVector}{p(\mappingFunctionVector|\inducingVector, \latentMatrix)}}{\dataStd^2\eye}}{q(\latentMatrix)}\\& + \KL{q(\latentMatrix)}{p(\latentMatrix)} \end{align}
* Which is analytically tractable for Gaussian $q(\latentMatrix)$ and some covariance functions.

• Need expectations under $q(\latentMatrix)$ of:
$$\log c_i = \frac{1}{2\dataStd^2} \left[\kernelScalar_{i, i} - \kernelVector_{i, \inducingVector}^\top \kernelMatrix_{\inducingVector, \inducingVector}^{-1} \kernelVector_{i, \inducingVector}\right]$$
and
$$\log \gaussianDist{\dataVector}{\expDist{\mappingFunctionVector}{p(\mappingFunctionVector|\inducingVector,\dataMatrix)}}{\dataStd^2\eye} = -\frac{1}{2}\log 2\pi\dataStd^2 - \frac{1}{2\dataStd^2}\left(\dataScalar_i - \kernelMatrix_{\mappingFunctionVector, \inducingVector}\kernelMatrix_{\inducingVector,\inducingVector}^{-1}\inducingVector\right)^2$$

• This requires the expectations
$$\expDist{\kernelMatrix_{\mappingFunctionVector,\inducingVector}}{q(\latentMatrix)}$$
and
$$\expDist{\kernelMatrix_{\mappingFunctionVector,\inducingVector}\kernelMatrix_{\inducingVector,\inducingVector}^{-1}\kernelMatrix_{\inducingVector,\mappingFunctionVector}}{q(\latentMatrix)}$$
which can be computed analytically for some covariance functions (Damianou, Titsias, and Lawrence 2016) or through sampling (Damianou 2015; Salimbeni and Deisenroth 2017).

Variational approximations aren’t the only approach to approximate inference. The original work on deep Gaussian processes made use of MAP approximations (Lawrence and Moore 2007), which couldn’t propagate the uncertainty through the model at the data points but sustain uncertainty elsewhere. Since the variational approximation was proposed researchers have also considered sampling approaches (Havasi, Hernández-Lobato, and Murillo-Fuentes 2018) and expectation propagation (Bui et al. 2016).

The argument in the deep learning revolution is that deep architectures allow us to develop an abstraction of the feature set through model composition. Composing Gaussian processes is analytically intractable. To form deep Gaussian processes we use a variational approach to stack the models.

## Stacked PCA 

Stacking a series of linear functions simply leads to a new linear function. The use of multiple linear function merely changes the covariance of the resulting Gaussian. If
$$\latentMatrix \sim \gaussianSamp{\zerosVector}{\eye}$$
and the ith hidden layer is a multivariate linear transformation defined by $\weightMatrix_i$,
$$\dataMatrix = \latentMatrix\weightMatrix_1 \weightMatrix_2 \dots \weightMatrix_\numLayers$$
then the rules of multivariate Gaussians tell us that
$$\dataMatrix \sim \gaussianSamp{\zerosVector}{\weightMatrix_\numLayers \dots \weightMatrix_1 \weightMatrix^\top_1 \dots \weightMatrix^\top_\numLayers}.$$
So the model can be replaced by one where we set $\vMatrix = \weightMatrix_\numLayers \dots \weightMatrix_2 \weightMatrix_1$. So is such a model trivial? The answer is that it depends. There are two cases in which such a model remaisn interesting. Firstly, if we make intermediate observations stemming from the chain. So, for example, if we decide that,
$$\latentMatrix_i = \weightMatrix_i \latentMatrix_{i-1}$$
and set $\latentMatrix_{0} = \inputMatrix \sim \gaussianSamp{\zerosVector}{\eye}$, then the matrices $\weightMatrix$ inter-relate a series of jointly Gaussian observations in an interesting way, stacking the full data matrix to give
$$\latentMatrix = \begin{bmatrix} \latentMatrix_0 \\ \latentMatrix_1 \\ \vdots \\ \latentMatrix_\numLayers \end{bmatrix}$$
we can obtain
$$\latentMatrix \sim \gaussianSamp{\zerosVector}{\begin{bmatrix} \eye & \weightMatrix^\top_1 & \weightMatrix_1^\top\weightMatrix_2^\top & \dots & \vMatrix^\top \\ \weightMatrix_1 & \weightMatrix_1 \weightMatrix_1^\top & \weightMatrix_1 \weightMatrix_1^\top \weightMatrix_2^\top & \dots & \weightMatrix_1 \vMatrix^\top \\ \weightMatrix_2 \weightMatrix_1 & \weightMatrix_2 \weightMatrix_1 \weightMatrix_1^\top & \weightMatrix_2 \weightMatrix_1 \weightMatrix_1^\top \weightMatrix_2^\top & \dots & \weightMatrix_2 \weightMatrix_1 \vMatrix^\top \\ \vdots & \vdots & \vdots & \ddots & \vdots \\ \vMatrix & \vMatrix \weightMatrix_1^\top & \vMatrix \weightMatrix_1^\top \weightMatrix_2^\top& \dots & \vMatrix\vMatrix^\top \end{bmatrix}}$$
which is a highly structured Gaussian covariance with hierarchical dependencies between the variables $\latentMatrix_i$.

## Stacked GP 

Note that once the box has folded over on itself, it cannot be unfolded. So a feature that is generated near the top of the model cannot be removed further down the model.

This folding over effect happens in low dimensions. In higher dimensions it is less common.

Observation of this effect at a talk in Cambridge was one of the things that caused David Duvenaud (and collaborators) to consider the behavior of deeper Gaussian process models (Duvenaud et al. 2014).

Such folding over in the latent spaces necessarily forces the density to be non-Gaussian. Indeed, since folding-over is avoided as we increase the dimensionality of the latent spaces, such processes become more Gaussian. If we take the limit of the latent space dimensionality as it tends to infinity, the entire deep Gaussian process returns to a standard Gaussian process, with a covariance function given as a deep kernel (such as those described by Cho and Saul (2009)).

Further analysis of these deep networks has been conducted by Dunlop et al. (n.d.), who use analysis of the deep network’s stationary density (treating it as a Markov chain across layers), to explore the nature of the implied process prior for a deep GP.

Both of these works, however, make constraining assumptions on the form of the Gaussian process prior at each layer (e.g. same covariance at each layer). In practice, the form of this covariance can be learnt and the densities described by the deep GP are more general than those mentioned in either of these papers.

## Stacked GPs (video by David Duvenaud) 

David Duvenaud also created a YouTube video to help visualize what happens as you drop through the layers of a deep GP.

## GPy: A Gaussian Process Framework in Python 

GPy is a BSD licensed software code base for implementing Gaussian process models in python. This allows GPs to be combined with a wide variety of software libraries.

The software itself is available on GitHub and the team welcomes contributions.

The aim for GPy is to be a probabilistic-style programming language, i.e. you specify the model rather than the algorithm. As well as a large range of covariance functions the software allows for non-Gaussian likelihoods, multivariate outputs, dimensionality reduction and approximations for larger data sets.

The GPy library can be installed via pip:

pip install GPy

This notebook depends on PyDeepGP. These libraries can be installed via pip:

pip install git+https://github.com/SheffieldML/PyDeepGP.git

## Olympic Marathon Data 

 Gold medal times for Olympic Marathon since 1896. Marathons before 1924 didn’t have a standardised distance. Present results using pace per km. In 1904 Marathon was badly organised leading to very slow times. Image from Wikimedia Commons http://bit.ly/16kMKHQ

The first thing we will do is load a standard data set for regression modelling. The data consists of the pace of Olympic Gold Medal Marathon winners for the Olympics from 1896 to present. First we load in the data and plot.

Things to notice about the data include the outlier in 1904, in this year, the olympics was in St Louis, USA. Organizational problems and challenges with dust kicked up by the cars following the race meant that participants got lost, and only very few participants completed.

More recent years see more consistently quick marathons.

## Alan Turing 

If we had to summarise the objectives of machine learning in one word, a very good candidate for that word would be generalization. What is generalization? From a human perspective it might be summarised as the ability to take lessons learned in one domain and apply them to another domain. If we accept the definition given in the first session for machine learning,
$$\text{data} + \text{model} \xrightarrow{\text{compute}} \text{prediction}$$
then we see that without a model we can’t generalise: we only have data. Data is fine for answering very specific questions, like “Who won the Olympic Marathon in 2012?”, because we have that answer stored, however, we are not given the answer to many other questions. For example, Alan Turing was a formidable marathon runner, in 1946 he ran a time 2 hours 46 minutes (just under four minutes per kilometer, faster than I and most of the other Endcliffe Park Run runners can do 5 km). What is the probability he would have won an Olympics if one had been held in 1946?

To answer this question we need to generalize, but before we formalize the concept of generalization let’s introduce some formal representation of what it means to generalize in machine learning.

Our first objective will be to perform a Gaussian process fit to the data, we’ll do this using the GPy software.

The first command sets up the model, then m_full.optimize() optimizes the parameters of the covariance function and the noise level of the model. Once the fit is complete, we’ll try creating some test points, and computing the output of the GP model in terms of the mean and standard deviation of the posterior functions between 1870 and 2030. We plot the mean function and the standard deviation at 200 locations. We can obtain the predictions using y_mean, y_var = m_full.predict(xt)

Now we plot the results using the helper function in teaching_plots.

## Fit Quality

In the fit we see that the error bars (coming mainly from the noise variance) are quite large. This is likely due to the outlier point in 1904, ignoring that point we can see that a tighter fit is obtained. To see this making a version of the model, m_clean, where that point is removed.

x_clean=np.vstack((x[0:2, :], x[3:, :]))
y_clean=np.vstack((y[0:2, :], y[3:, :]))

m_clean = GPy.models.GPRegression(x_clean,y_clean)
_ = m_clean.optimize()

## Deep GP Fit 

Let’s see if a deep Gaussian process can help here. We will construct a deep Gaussian process with one hidden layer (i.e. one Gaussian process feeding into another).

Build a Deep GP with an additional hidden layer (one dimensional) to fit the model.

Now optimize the model.

## Fitted GP for each layer

Now we explore the GPs the model has used to fit each layer. First of all, we look at the hidden layer.

## Olympic Marathon Pinball Plot

The pinball plot shows the flow of any input ball through the deep Gaussian process. In a pinball plot a series of vertical parallel lines would indicate a purely linear function. For the olypmic marathon data we can see the first layer begins to shift from input towards the right. Note it also does so with some uncertainty (indicated by the shaded backgrounds). The second layer has less uncertainty, but bunches the inputs more strongly to the right. This input layer of uncertainty, followed by a layer that pushes inputs to the right is what gives the heteroschedastic noise.

## Gene Expression Example 

We now consider an example in gene expression. Gene expression is the measurement of mRNA levels expressed in cells. These mRNA levels show which genes are ‘switched on’ and producing data. In the example we will use a Gaussian process to determine whether a given gene is active, or we are merely observing a noise response.

## Della Gatta Gene Data 

• Given given expression levels in the form of a time series from Della Gatta et al. (2008).
• Want to detect if a gene is expressed or not, fit a GP to each gene Kalaitzis and Lawrence (2011).
http://www.biomedcentral.com/1471-2105/12/180

Our first objective will be to perform a Gaussian process fit to the data, we’ll do this using the GPy software.

Initialize the length scale parameter (which here actually represents a time scale of the covariance function) to a reasonable value. Default would be 1, but here we set it to 50 minutes, given points are arriving across zero to 250 minutes.

Now we plot the results using the helper function in teaching_plots.

Now we try a model initialized with a longer length scale.

Now we try a model initialized with a lower noise.

## Step Function 

Next we consider a simple step function data set.

## Step Function Data GP

We can fit a Gaussian process to the step function data using GPy as follows.

Where GPy.models.GPRegression() gives us a standard GP regression model with exponentiated quadratic covariance function.

The model is optimized using m_full.optimize() which calls an L-BGFS gradient based solver in python.

The resulting fit to the step function data shows some challenges. In particular, the over smoothing at the discontinuity. If we know how many discontinuities there are, we can parameterize them in the step function. But by doing this, we form a semi-parametric model. The parameters indicate how many discontinuities are, and where they are. They can be optimized as part of the model fit. But if new, unforeseen, discontinuities arise when the model is being deployed in practice, these won’t be accounted for in the predictions.

## Step Function Data Deep GP

First we initialize a deep Gaussian process with three latent layers (four layers total). Within each layer we create a GP with an exponentiated quadratic covariance (GPy.kern.RBF).

At each layer we use 20 inducing points for the variational approximation.

Once the model is constructed we initialize the parameters, and perform the staged optimization which starts by optimizing variational parameters with a low noise and proceeds to optimize the whole model.

We plot the output of the deep Gaussian process fitted to the stpe data as follows.

The deep Gaussian process does a much better job of fitting the data. It handles the discontinuity easily, and error bars drop to smaller values in the regions of data.

## Step Function Data Deep GP

The samples of the model can be plotted with the helper function from teaching_plots.py, model_sample

The samples from the model show that the error bars, which are informative for Gaussian outputs, are less informative for this model. They make clear that the data points lie, in output mainly at 0 or 1, or occasionally in between.

The visualize code allows us to inspect the intermediate layers in the deep GP model to understand how it has reconstructed the step function.

A pinball plot can be created for the resulting model to understand how the input is being translated to the output across the different layers.

## Motion Capture 

• ‘High five’ data.
• Model learns structure between two interacting subjects.

## Fitting a GP to the USPS Digits Data 

Thanks to: Zhenwen Dai and Neil D. Lawrence

We now look at the deep Gaussian processes’ capacity to perform unsupervised learning.

We will look at a sub-sample of the MNIST digit data set.

First load in the MNIST data set from scikit learn. This can take a little while because it’s large to download.

Sub-sample the dataset to make the training faster.

## Fit a Deep GP

We’re going to fit a Deep Gaussian process model to the MNIST data with two hidden layers. Each of the two Gaussian processes (one from the first hidden layer to the second, one from the second hidden layer to the data) has an exponentiated quadratic covariance.

## Initialization

Just like deep neural networks, there are some tricks to intitializing these models. The tricks we use here include some early training of the model with model parameters constrained. This gives the variational inducing parameters some scope to tighten the bound for the case where the noise variance is small and the variances of the Gaussian processes are around 1.

We now we optimize for a hundred iterations with the constrained model.

Now we remove the fixed constraint on the kernel variance parameters, but keep the noise output constrained, and run for a further 100 iterations.

Finally we unconstrain the layer likelihoods and allow the full model to be trained for 1000 iterations.

## Visualize the latent space of the top layer

Now the model is trained, let’s plot the mean of the posterior distributions in the top latent layer of the model.

## Visualize the latent space of the intermediate layer

We can also visualize dimensions of the intermediate layer. First the lengthscale of those dimensions is given by

## Generate From Model

Now we can take a look at a sample from the model, by drawing a Gaussian random sample in the latent space and propagating it through the model.

## Deep Health 

From a machine learning perspective, we’d like to be able to interrelate all the different modalities that are informative about the state of the disease. For deep health, the notion is that the state of the disease is appearing at the more abstract levels, as we descend the model, we express relationships between the more abstract concept, that sits within the physician’s mind, and the data we can measure.

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