The Living Thing / Notebooks :

Gaussian process regression

And classification. And extensions.

Usefulness: 🔧 🔧
Novelty: 💡
Uncertainty: 🤪 🤪 🤪
Incompleteness: 🚧 🚧 🚧
GP regression
GP regression

Chi Feng’s amazing GP demo.

Gaussian processes are stochastic processes/fields with jointly Gaussian distributions of observations. In machine learning these models are used often as a means of regression or classification. They provide nonparametric method of inferring regression functions, with a conveniently Bayesian interpretation and reasonably elegant learning and inference steps. I woudl further add that this is the crystal meth of machine learning methods, in terms of the addictiveness, and of passion of the people who use it.

The central trick is using a clever union of Hilbert spaces and probability to give a probabilistic interpretation of functional regression as a kind of nonparametric Bayesian posterior inference via representer theorems where one gets posterior distributions over functions. Regression using Gaussian processes is common e.g. spatial statistics where it arises as kriging.

Gaussianprocess.org:

This web site aims to provide an overview of resources concerned with probabilistic modeling, inference and learning based on Gaussian processes. Although Gaussian processes have a long history in the field of statistics, they seem to have been employed extensively only in niche areas. With the advent of kernel machines in the machine learning community, models based on Gaussian processes have become commonplace for problems of regression (kriging) and classification as well as a host of more specialized applications.

I’ve not been very enthusiastic about these in the past. It’s nice to have a principled nonparametric Bayesian formalism, but it has always pointless having a formalism that is so computationally demanding that people don’t try to use more than a thousand data points.

However, perhaps I should be persuaded by tricks such as AutoGP (Krauth et al. 2016) which breaks some computational deadlocks by clever use of inducing variables and variational approximation to produce a compressed representation of the data with tractable inference and model selection, including kernel selection, and doing the whole thing in many dimensions simultaneously. There are other clever tricks like this one, e.g (Saatçi 2012) shows how to use a lattice structure for observations to make computation cheap.

Quick intro

I am not the right guy to provide the canonical introduction, because it already exists. It is (Rasmussen and Williams 2006). But here is a quick simple special case sufficient to start from.

We work with a centred (i.e. mean-zero) process, in which case for every finite set \(\mathbf{f}:=\{f(t_k);k=1,\dots,K\}\) of realisations of that process, the joint distribution is centred Gaussian,

\[\begin{aligned} \mathbf{f}(t) &\sim \operatorname{GP}\left(0, \kappa(t, t';\mathbf{\theta})\right) \\ p(\mathbf{f}) &=(2\pi )^{-{\frac {K}{2}}}\det({\boldsymbol {\mathrm{K} }})^{-{\frac {1}{2}}}\,e^{-{\frac {1}{2}}\mathbf {f}^{\!{\mathsf {T}}}{\boldsymbol {\mathrm{K} }}^{-1}\mathbf {f}}\\ &=\mathcal{N}(\mathbf{f};\mathbf{0},\textrm{K}). \end{aligned}\] where \(\mathrm{K}\) is the sample covariance matrix defined such that its entries are given by \(\mathrm{K}_{jk}=\kappa(t_j,t_k).\) In this case, we are specifying only the second moments and this is giving us all the remaining properties of the process. That is, the unobserved, continuous random function \(f\) generates realisations \(\mathbf{f}\in\mathbb{R}^T\) at a discrete times \(\mathbf{t}=t_1,t_2,\dots,t_T.\)

Now,

\[\begin{aligned} f(t) &\sim \operatorname{GP}\left(0, \kappa(t, t';\mathbf{\theta})\right) & \text{Prior} \\ \mathbf{y}|\mathbf{f} &\sim \prod_{k=1}^{T} p\left(y_{k} | f\left(t_{k}\right)\right) & \text{Likelihood} \end{aligned}\]

To begin with these will form a lattice \(\mathbf{t}=1,2,\dots,T.\)

We allow that the observations may be distinct from the realisations in that the realisations may be observed with some noise. The observation noise will be Gaussian also, in the sense that

\[ y=f(\mathbf{x})+\epsilon,\]

where

\[ \epsilon \sim \mathcal{N}\left(0, \sigma_{y}^{2}\right) \]

We refer to the set of observations as \(\mathbf{y}\in\mathbb{R}^T\). The data includes observations and coordinates, and is written \(\mathcal{D}:=\{(t_k, y_k)\}_{k=1,2,\dots,T}\).

The main insight is that the Gaussian prior is conjugate to the Gaussian likelihood, which means that the posterior distributions are also Gaussian. (Although it will no longer be centred.)

We can find a likelihood for the latent functions given the observations. by considering the joint distribution

\[ \begin{aligned} \left(\begin{array}{c}{\mathbf{y}} \\ {\mathbf{f}}\end{array}\right) \sim \mathcal{N}\left(\mathbf{0},\left(\begin{array}{cc}{\mathbf{K}_{y}} & {\mathbf{K}} \\ {\mathbf{K}^{T}} & {\mathbf{K}_{\mathbf{f}}}\end{array}\right)\right) \end{aligned} \]

Density estimation

Can I infer a density using these? Yes. One popular method is apparently the logistic Gaussian process. (Tokdar 2007; Lenk 2003)

Kernels

a.k.a. covariance models.

GP models are the meeting of Covariance estimation and kernel machines. The covariance covariance kernels are what makes this go.

Using state filtering

When one dimension of the input vector can be interpreted as a time dimension we are Kalman filtering Gaussian Processes, which has benefits in terms of speed.

On lattice observations

Gaussian processes on lattices.

Approximation with variational inference

🚧

Approximation with inducing variables

“Sparse GP”. 🚧

Approximation with variational inference and inducing variables

This combination is what makes AutoGP work. (Krauth et al. 2016). 🚧

As dimension reduction

e.g. GP-LVM (Lawrence 2005). 🚧

Readings

This lecture by the late David Mackay is probably good; the man could talk.

There is also a well-illustrated and elementary introduction by Yuge Shi.

Implementations

Bayes workhorse Stan can do Gaussian Process regression just like everything else; see Michael Betancourt’s blog, 1. 2. 3.

The current scikit-learn has semi-fancy Gaussian processes, and an introduction.

Gaussian Processes (GP) are a generic supervised learning method designed to solve regression and probabilistic classification problems.

The advantages of Gaussian processes are:

The disadvantages of Gaussian processes include:

Those last couple of points are dubious. The first is strictly correct, but not useful, in that sparse approximate GPs is a whole industry. The second is just wrong, unless I ahve misunderstood seomthing. Also the scaling costs due to dimensionality of the features is swamped by the scaling costs of the number of data points, AFAICT. Training is \(\mathcal{O}(DN^3)\) for \(N\) observations and \(D\) features.

There are fancier Gaussian process tool sets than this one, with its worrisome caveats.

Chris Fonnesbeck mentions GPflow (using tensorflow), autogp (also using tensorflow), PyMC3, and the scikit-learn implementation. I think that GPy is a common default choice. There are several GP models in the [pytorch]){filename}pytorch.md)-based pyro. Stheno seems to be popular for Julia and also comes in an alternative flavour, python stheno. There is a rather similar looking GaussianProcesses.jl, that seems to require one to define the data and likelihood simultaneously.

Plus I notice skgmm is a fancified version of the scikit-learn one. George is another python GP regression that claims to handle big data at the cost of lots of C++. GPStuff is the one for MATLAB/Octave that I have seen around the place. So… It’s easy enough to be bikeshedded is the message I’m getting here.

The GpFlow docs includes the following clarification

GPflow has origins in GPy by the GPy contributors, and much of the interface is intentionally similar for continuity (though some parts of the interface may diverge in future). GPflow has a rather different remit from GPy though:

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