Gaussian process regression networks

Andrew Gordon Wilson, David A. Knowles, Zoubin Ghahramani

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We introduce a new regression framework, Gaussian process regression networks (GPRN), which combines the structural properties of Bayesian neural networks with the nonparametric flexibility of Gaussian processes. GPRN accommodates input (predictor) dependent signal and noise correlations between multiple output (response) variables, input dependent length-scales and amplitudes, and heavy-tailed predictive distributions. We derive both elliptical slice sampling and variational Bayes inference procedures for GPRN. We apply GPRN as a multiple output regression and multivariate volatility model, demonstrating substantially improved performance over eight popular multiple output (multi-task) Gaussian process models and three multivariate volatility models on real datasets, including a 1000 dimensional gene expression dataset.

Original languageEnglish (US)
Title of host publicationProceedings of the 29th International Conference on Machine Learning, ICML 2012
Pages599-606
Number of pages8
StatePublished - Oct 10 2012
Event29th International Conference on Machine Learning, ICML 2012 - Edinburgh, United Kingdom
Duration: Jun 26 2012Jul 1 2012

Publication series

NameProceedings of the 29th International Conference on Machine Learning, ICML 2012
Volume1

Other

Other29th International Conference on Machine Learning, ICML 2012
CountryUnited Kingdom
CityEdinburgh
Period6/26/127/1/12

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ASJC Scopus subject areas

  • Human-Computer Interaction
  • Education

Cite this

Wilson, A. G., Knowles, D. A., & Ghahramani, Z. (2012). Gaussian process regression networks. In Proceedings of the 29th International Conference on Machine Learning, ICML 2012 (pp. 599-606). (Proceedings of the 29th International Conference on Machine Learning, ICML 2012; Vol. 1).