Multiple Gaussian Process Models

Details Multiple Gaussian Process Models Multiple Gaussian Process Models

2011-10-24

arxiv.org/abs/1110.5238v1

Statistics

Machine Learning

NIPS 2010 Workshop: New Directions in Multiple Kernel Learning; Videolectures: http://videolectures.net/nipsworkshops2010_arch

Scientific paper

We consider a Gaussian process formulation of the multiple kernel learning problem. The goal is to select the convex combination of kernel matrices that best explains the data and by doing so improve the generalisation on unseen data. Sparsity in the kernel weights is obtained by adopting a hierarchical Bayesian approach: Gaussian process priors are imposed over the latent functions and generalised inverse Gaussians on their associated weights. This construction is equivalent to imposing a product of heavy-tailed process priors over function space. A variational inference algorithm is derived for regression and binary classification.

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