1. Variational optimisation for non-conjugate likelihood Gaussian process models
- Author
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Giraldo Gutierrez, Juan Jose and Álvarez López, Mauricio Alexánder
- Abstract
In this thesis we address the problems associated to non-conjugate likelihood Gaussian process models, i.e., probabilistic models where the likelihood function and the Gaussian process priors are non-conjugate. Such problems include intractability, scalability, and poor local optima solutions for the parameters and hyper-parameters of the models. Particularly, in this thesis we address the aforementioned issues in the context of probabilistic models, where the likelihood's parameters are modelled as latent parameter functions drawn from correlated Gaussian processes. We study three ways to generate such latent parameter functions: 1. from a linear model of coregionalisation; 2. from convolution processes, i.e., a convolution integral between smoothing kernels and Gaussian process priors; and 3. using variational inducing kernels, an alternative form to generate the latent parameter functions through the convolution processes formalism, by using a double convolution integral. We borrow ideas from different variational optimisation mechanisms, that consist on introducing a variational (or exploratory) distribution over the model so as to build objective functions that: allow us to deal with intractability as well as enabling scalability when needing to hand massive amounts of data observations. Also, such variational optimisations mechanisms grant us to perform inference of the model hyper-parameters together with the posterior's parameters through a fully natural gradient optimisation scheme; a useful scheme for tackling the problem of poor local optima solutions. Such variational optimisation mechanisms have been broadly studied in the context of reinforcement and Bayesian deep learning showing to be successful exploratory-learning tools; nonetheless, they have not been much studied in the context of Gaussian process models, so we provide a study of their performance in said context.
- Published
- 2021