Regression and Classification Using Gaussian Process Priors

Regression and Classification Using Gaussian Process Priors,RADFORD M. NEAL

Regression and Classification Using Gaussian Process Priors   (Citations: 53)
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SUMMARY Gaussian processes are a natural way of specifying prior distributions o ver functions of one or more input variables. When such a function defines the mean response in a regression model with Gaussian errors, inference can be done using matrix computations, which are feasible for datasets of up to about a thousand cases. The covariance function of the Gaussian process can be given a hierarchical prior, which allows the model to discover high-level properties of the data, such as which inputs are relevant to predicting the response. Inference for these covariance hyperparameters can be done using Markov chain sampling. Classification models can be defined using Gaussian processes for underlying latent values, which can also be sampled within the Markov chain. Gaussian processes are in my view the simplest and most obvious way of defining flexible Bayesian regression and classification models, but despite some past usage, they appear to have been rather neglected as a general-purpose technique. This may be partly due to a confusion between the properties of the function being modeled and the properties of the best predictor for this unknown function. In this paper, I hope to persuade you that Gaussian processes are a fruitful way of defining prior distributions for flexible regression and classification models in whic h the regression or class probability functions are not limited to simple parametric forms. The basic idea goes back many years in a regression context, but is nevertheless not widely appreciated. The use of general Gaussian process models for classification is more recent, and t o my knowledge the work presented here is the first that implements an exact Bayesian approach. One attraction of Gaussian processes is the variety of covariance functions one can choose from, which lead to functions with different degrees of smoothness, or different sorts of additive structure. I will describe some of these possibilities, while also noting the limitations of Gaussian processes.
Published in 1999.
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