Chained Gaussian Processes

Alan Saul, James Hensman, Aki Vehtari, Neil D. Lawrence

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

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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.
Original languageEnglish
Title of host publicationJournal of Machine Learning Research: Workshop and Conference Proceedings
Subtitle of host publicationAISTATS 2016 Proceedings
PublisherJMLR W&CP
Pages1431-1440
Number of pages10
Volume51
Publication statusPublished - 2016
MoE publication typeA4 Article in a conference publication
EventInternational Conference on Artificial Intelligence and Statistics - Cadiz, Spain
Duration: 9 May 201611 May 2016
Conference number: 19
http://www.aistats.org/aistats2016/

Publication series

NameJournal of Machine Learning Research: Workshop and Conference Proceedings
Volume51
ISSN (Print)1938-7228

Conference

ConferenceInternational Conference on Artificial Intelligence and Statistics
Abbreviated titleAISTATS
CountrySpain
CityCadiz
Period09/05/201611/05/2016
Internet address

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