Wilson, AG and Knowles, DA and Ghahramani, Z (2011) Gaussian Process Regression Networks. (Unpublished)Full text not available from this repository.
We introduce a new regression framework, Gaussian process regression networks (GPRN), which combines the structural properties of Bayesian neural networks with the non-parametric flexibility of Gaussian processes. This model accommodates input dependent signal and noise correlations between multiple response variables, input dependent length-scales and amplitudes, and heavy-tailed predictive distributions. We derive both efficient Markov chain Monte Carlo and variational Bayes inference procedures for this model. 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 benchmark datasets, including a 1000 dimensional gene expression dataset.
|Uncontrolled Keywords:||stat.ML stat.ML q-fin.ST stat.ME|
|Divisions:||Div F > Computational and Biological Learning|
|Depositing User:||Cron job|
|Date Deposited:||16 Jul 2015 14:16|
|Last Modified:||26 Nov 2015 11:15|