Chained Gaussian Processes

Alan D. SaulJames HensmanAki VehtariNeil D. Lawrence
Proceedings of the Nineteenth International Workshop on Artificial Intelligence and Statistics, PMLR 51:1431-1440, 2016.

Abstract

Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in generalized linear models) to handle non-Gaussian data. However, the link function formalism is restrictive, link functions are always invertible and must convert a parameter of interest to an linear combination of the underlying processes. There are many likelihoods and models where a non-linear combination is more appropriate. We term these more general models “Chained Gaussian Processes”: the transformation of the GPs to the likelihood parameters will not generally be invertible, and that implies that linearisation would only be possible with multiple (localized) links, i.e a chain. We develop an approximate inference procedure for Chained GPs that is scalable and applicable to any factorized likelihood. We demonstrate the approximation on a range of likelihood functions.

Cite this Paper


BibTeX
@InProceedings{Saul-chained16, title = {Chained {G}aussian Processes}, author = {Alan D. Saul and James Hensman and Aki Vehtari and Neil D. Lawrence}, booktitle = {Proceedings of the Nineteenth International Workshop on Artificial Intelligence and Statistics}, pages = {1431--1440}, year = {2016}, editor = {Arthur Gretton and Cristian Robert}, volume = {51}, address = {Cadiz, Spain}, publisher = {PMLR}, abstract = {Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in generalized linear models) to handle non-Gaussian data. However, the link function formalism is restrictive, link functions are always invertible and must convert a parameter of interest to an linear combination of the underlying processes. There are many likelihoods and models where a non-linear combination is more appropriate. We term these more general models “Chained Gaussian Processes”: the transformation of the GPs to the likelihood parameters will not generally be invertible, and that implies that linearisation would only be possible with multiple (localized) links, i.e a chain. We develop an approximate inference procedure for Chained GPs that is scalable and applicable to any factorized likelihood. We demonstrate the approximation on a range of likelihood functions.} }
Endnote
%0 Conference Paper %T Chained Gaussian Processes %A Alan D. Saul %A James Hensman %A Aki Vehtari %A Neil D. Lawrence %B Proceedings of the Nineteenth International Workshop on Artificial Intelligence and Statistics %D 2016 %E Arthur Gretton %E Cristian Robert %F Saul-chained16 %I PMLR %P 1431--1440 %V 51 %X Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in generalized linear models) to handle non-Gaussian data. However, the link function formalism is restrictive, link functions are always invertible and must convert a parameter of interest to an linear combination of the underlying processes. There are many likelihoods and models where a non-linear combination is more appropriate. We term these more general models “Chained Gaussian Processes”: the transformation of the GPs to the likelihood parameters will not generally be invertible, and that implies that linearisation would only be possible with multiple (localized) links, i.e a chain. We develop an approximate inference procedure for Chained GPs that is scalable and applicable to any factorized likelihood. We demonstrate the approximation on a range of likelihood functions.
RIS
TY - CPAPER TI - Chained Gaussian Processes AU - Alan D. Saul AU - James Hensman AU - Aki Vehtari AU - Neil D. Lawrence BT - Proceedings of the Nineteenth International Workshop on Artificial Intelligence and Statistics DA - 2016/01/01 ED - Arthur Gretton ED - Cristian Robert ID - Saul-chained16 PB - PMLR VL - 51 SP - 1431 EP - 1440 AB - Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in generalized linear models) to handle non-Gaussian data. However, the link function formalism is restrictive, link functions are always invertible and must convert a parameter of interest to an linear combination of the underlying processes. There are many likelihoods and models where a non-linear combination is more appropriate. We term these more general models “Chained Gaussian Processes”: the transformation of the GPs to the likelihood parameters will not generally be invertible, and that implies that linearisation would only be possible with multiple (localized) links, i.e a chain. We develop an approximate inference procedure for Chained GPs that is scalable and applicable to any factorized likelihood. We demonstrate the approximation on a range of likelihood functions. ER -
APA
Saul, A.D., Hensman, J., Vehtari, A. & Lawrence, N.D.. (2016). Chained Gaussian Processes. Proceedings of the Nineteenth International Workshop on Artificial Intelligence and Statistics 51:1431-1440

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