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arXiv 1808.00560cs.LGstat.ML

可压缩谱混合核与稀疏依赖结构用于高斯过程

Compressible Spectral Mixture Kernels with Sparse Dependency Structures for Gaussian Processes

The Chinese University of Hong Kong, Shenzhen(香港中文大学(深圳));Central South University(中南大学)

Kai Chen, Yijue Dai, Feng Yin, Elena Marchiori, Sergios Theodoridis

AI总结:

本文提出一种具有稀疏依赖结构的可压缩谱混合核(SMD),通过互协方差和互卷积推广依赖结构,并用时间-相位延迟增强表达力,结合结构自适应算法,提升高斯过程的泛化性能。

摘要:

谱混合(SM)核构成了一类强大的广义核,用于高斯过程(GPs)以描述复杂模式。本文向原始(SM)核引入了模型压缩以及时间-相位(TP)调制的依赖结构,以改进GPs的泛化能力。具体而言,通过采用Bienaymé恒等式,我们通过SM分量之间的互协方差来推广依赖结构。然后,我们通过使用SM分量之间的互卷积,提出了一种具有依赖结构的新型SM核(SMD)。此外,我们通过用时间和相位延迟参数化依赖结构,增强了依赖结构的表达能力。该依赖结构在谱密度、协方差行为和采样路径方面具有清晰的解释。为了用有效的超参数初始化、可压缩的SM核分量和稀疏依赖结构来丰富SMD,我们最后引入了一种新颖的结构自适应(SA)算法。对合成和实际应用中的SMD进行的全面比较分析证实了其有效性。

英文摘要:

Spectral mixture (SM) kernels comprise a powerful class of generalized kernels for Gaussian processes (GPs) to describe complex patterns. This paper introduces model compression and time- and phase (TP) modulated dependency structures to the original (SM) kernel for improved generalization of GPs. Specifically, by adopting Bienaymés identity, we generalize the dependency structure through cross-covariance between the SM components. Then, we propose a novel SM kernel with a dependency structure (SMD) by using cross-convolution between the SM components. Furthermore, we ameliorate the expressiveness of the dependency structure by parameterizing it with time and phase delays. The dependency structure has clear interpretations in terms of spectral density, covariance behavior, and sampling path. To enrich the SMD with effective hyperparameter initialization, compressible SM kernel components, and sparse dependency structures, we introduce a novel structure adaptation (SA) algorithm in the end. A thorough comparative analysis of the SMD on both synthetic and real-life applications corroborates its efficacy.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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