CUED Publications database

Student-t processes as alternatives to Gaussian processes

Shah, A and Wilson, AG and Ghahramani, Z (2014) Student-t processes as alternatives to Gaussian processes. Journal of Machine Learning Research, 33. pp. 877-885. ISSN 1532-4435

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We investigate the Student-t process as an alternative to the Gaussian process as a non-parametric prior over functions. We derive closed form expressions for the marginal likelihood and predictive distribution of a Student-t process, by integrating away an inverse Wishart process prior over the co-variance kernel of a Gaussian process model. We show surprising equivalences between different hierarchical Gaussian process models leading to Student-t processes, and derive a new sampling scheme for the inverse Wishart process, which helps elucidate these equivalences. Overall, we show that a Student-t process can retain the attractive properties of a Gaussian process - a nonparamet-ric representation, analytic marginal and predictive distributions, and easy model selection through covariance kernels - but has enhanced flexibility, and predictive covariances that, unlike a Gaussian process, explicitly depend on the values of training observations. We verify empirically that a Student-t process is especially useful in situations where there are changes in covariance structure, or in applications such as Bayesian optimization, where accurate predictive covariances are critical for good performance. These advantages come at no additional computational cost over Gaussian processes.

Item Type: Article
Divisions: Div F > Computational and Biological Learning
Depositing User: Cron Job
Date Deposited: 17 Jul 2017 19:44
Last Modified: 19 Jul 2018 07:26