We generalise the Gaussian process (GP) framework for regression by learning a nonlinear transformation of the GP outputs. This allows for non-Gaussian processes and non-Gaussian noise. The learning algorithm chooses a nonlinear transformation such that transformed data is well-modelled by a GP. This can be seen as including a preprocessing transformation as an integral part of the probabilistic modelling problem, rather than as an ad-hoc step. We demonstrate on several real regression problems that learning the transformation can lead to significantly better performance than using a regular GP, or a GP with a fixed transformation.
Author(s): | Snelson, E. and Rasmussen, CE. and Ghahramani, Z. |
Book Title: | Advances in Neural Information Processing Systems 16 |
Journal: | Advances in Neural Information Processing Systems 16 |
Pages: | 337-344 |
Year: | 2004 |
Month: | June |
Day: | 0 |
Editors: | Thrun, S., L.K. Saul, B. Sch{\"o}lkopf |
Publisher: | MIT Press |
Bibtex Type: | Conference Paper (inproceedings) |
Address: | Cambridge, MA, USA |
Event Name: | Seventeenth Annual Conference on Neural Information Processing Systems (NIPS 2003) |
Event Place: | Vancouver, BC, Canada |
Digital: | 0 |
Electronic Archiving: | grant_archive |
ISBN: | 0-262-20152-6 |
Organization: | Max-Planck-Gesellschaft |
School: | Biologische Kybernetik |
Links: |
BibTex
@inproceedings{2298, title = {Warped Gaussian Processes}, journal = {Advances in Neural Information Processing Systems 16}, booktitle = {Advances in Neural Information Processing Systems 16}, abstract = {We generalise the Gaussian process (GP) framework for regression by learning a nonlinear transformation of the GP outputs. This allows for non-Gaussian processes and non-Gaussian noise. The learning algorithm chooses a nonlinear transformation such that transformed data is well-modelled by a GP. This can be seen as including a preprocessing transformation as an integral part of the probabilistic modelling problem, rather than as an ad-hoc step. We demonstrate on several real regression problems that learning the transformation can lead to significantly better performance than using a regular GP, or a GP with a fixed transformation.}, pages = {337-344}, editors = {Thrun, S., L.K. Saul, B. Sch{\"o}lkopf}, publisher = {MIT Press}, organization = {Max-Planck-Gesellschaft}, school = {Biologische Kybernetik}, address = {Cambridge, MA, USA}, month = jun, year = {2004}, slug = {2298}, author = {Snelson, E. and Rasmussen, CE. and Ghahramani, Z.}, month_numeric = {6} }