# gaussian process explained

Do (updated by Honglak Lee) May 30, 2019 Many of the classical machine learning algorithms that we talked about during the rst half of this course t the following pattern: given a training set of i.i.d. We are interested in generating f* (our prediction for our test points) given X*, our test features. Chapter 5 Gaussian Process Regression 5.1 Gaussian process prior. Let’s say we receive data regarding brand lift metrics over the winter holiday season, and are trying to model consumer behavior over that critical time period: In this case, we’ll likely need to use some sort of polynomial terms to fit the data well, and the overall model will likely take the form. Every finite set of the Gaussian process distribution is a multivariate Gaussian. Let’s say we pick any random point x and find its corresponding target value y: Not the difference between x and X, and y and Y: x is the individual data point and output, respectively, and X and Y represent the entire training data set and training output sets. Unlike many popular supervised machine learning algorithms that learn exact values for every parameter in a function, the Bayesian approach infers a probability distribution over all possible values. I compute the Σ (k_x_x) and its inversion immediately upon update, since it’s wasteful to recompute this matrix and invert it for each new data point of new_predict(). We have only really scratched the surface of what GPs are capable of. This post is primarily intended for data scientists, although practical implementation details (including runtime analysis, parallel computing using multiprocessing, and code refactoring design) are also addressed for data and software engineers. So how do we start making logical inferences with as limited datasets as 4 games? When computing the Euclidean distance numerator of the RBF kernel, for instance, make sure to use the identity. GPs work very well for regression problems with small training data set sizes. What else can we use GPs for? The following example shows that some restriction on the covariance is necessary. Gaussian Process Regression has the following properties: GPs are an elegant and powerful ML method; We get a measure of (un)certainty for the predictions for free. That, in turn, means that the characteristics of those realizations are completely described by their Let’s say we are attempting to model the performance of a very large neural network. This post has hopefully helped to demystify some of the theory behind Gaussian Processes, explain how they can be applied to regression problems, and demonstrate how they may be implemented. Here’s a quick reminder how long you’ll be waiting if you attempt a native implementation with for loops: Now, let’s return to the sin(x) function we began with, and see if we can model it well, even with relatively few data points. A real-valued mathematical function is, in essence, an infinite-length vector of outputs. Whereas a multivariate Gaussian distribution is determined by its mean and covariance matrix, a Gaussian process is determined by its mean function, mu(s), and covariance function, C(s,t). ". Finally, we’ll explore a possible use case in hyperparameter optimization with the Expected Improvement algorithm. Moreover, they can be used for a wide variety of machine learning tasks- classification, regression, hyperparameter selection, even unsupervised learning. • A Gaussian process is a distribution over functions. Intuitively, in relatively unexplored regions of the feature space, the model is less confident in its mean prediction. We’ll randomly choose points from this function, and update our Gaussian Process model to see how well it fits the underlying function (represented with orange dots) with limited samples: In 10 observations, the Gaussian Process model was able to approximate relatively well the curvatures of the sin(x) function. Notice that Rasmussen and Williams refer to a mean function and covariance function. The Gaussian process regression (GPR) is yet another regression method that fits a regression function to the data samples in the given training set. The function to generate predictions can be taken directly from Rasmussen & Williams’ equations: In Python, we can implement this conditional distribution f*. A simple, somewhat crude method of fixing this is to add a small constant σ² (often < 1e-2) multiple of the identity matrix to Σ. Gaussian process (GP) is a very generic term. If we’re looking to be efficient, those are the feature space regions we’ll want to explore next. Gaussian process models are an alternative approach that assumes a probabilistic prior over functions. ), a Gaussian process can represent obliquely, but rigorously, by letting the data ‘speak’ more clearly for themselves. All it means is that any finite collection of r ealizations (or observations) have a multivariate normal (MVN) distribution. We have only really scratched the surface of what GPs are capable of. Gaussian Process Regression Gaussian Processes: Deﬁnition A Gaussian process is a collection of random variables, any ﬁnite number of which have a joint Gaussian distribution. It’s important to remember that GP models are simply another tool in your data science toolkit. Gaussian Process models are computationally quite expensive, both in terms of runtime and memory resources. Given n training points and n* test points, K(X, X*) is a n x n* matrix of covariances between each test point and each training point. A Gaussian Process is a ﬂexible distribution over functions, with many useful analytical properties. For that case, the following properties hold: The idea of prediction with Gaussian Processes boils down to, Because that is the most common prior, the poterior is normally this one, The mean is approximately the true value of y_new, http://cs229.stanford.edu/section/cs229-gaussian_processes.pdf, https://blog.dominodatalab.com/fitting-gaussian-process-models-python/, https://github.com/fonnesbeck?tab=repositories, http://fourier.eng.hmc.edu/e161/lectures/gaussianprocess/node7.html, https://www.researchgate.net/profile/Rel_Guzman, Marginalization: The marginal distributions of $x_1$ and $x_2$ are Gaussian, Conditioning: The conditional distribution of $\vec{x}_i$ given $\vec{x}_j$ is also normal with. Here we also provide the textbook definition of GP, in case you had to testify under oath: Just like a Gaussian distribution is specified by its mean and variance, a Gaus… 19 minute read. Given any set of N points in the desired domain of your functions, take a multivariate Gaussian whose covariance matrix parameter is the Gram matrix of your N points with some desired kernel, and sample from that Gaussian. Long story short, we have only a few shots at tuning this model prior to pushing it out to deployment, and we need to know exactly how many hidden layers to use. You might have noticed that the K(X,X) matrix (Σ) contains an extra conditioning term (σ²I). GPs are used to define a prior distribution of the functions that could explain our data. An important design consideration when building your machine learning classes here is to expose a consistent interface for your users. Different from all previously considered algorithms that treat as a deterministic function with an explicitly specified form, the GPR treats the regression function as a stochastic process called Gaussian process (GP), i.e., the function value at any point is assumed to be a random variable with a Gaussian distribution. Gaussian process is a generic term that pops up, taking on disparate but quite specific... 5.2 GP hyperparameters. The models are fully probabilistic so uncertainty bounds are baked in with the model. This approach was elaborated in detail for the matrix-valued Gaussian processes and generalised to processes with 'heavier tails' like Student-t processes. Our prior belief is that scoring output for any random player will ~ 0 (average), but our model is beginning to become fairly certain that Steph generates above average scoring- this information is already encoded into our model after just four games, an incredibly small data sample to generalize from. Gaussian Processes are non-parametric models for approximating functions. For this, the prior of the GP needs to be specified. Note: In this next section, I’ll be utilizing a heavy dose of Rasmussen & Willliams’ derivations, along with a simplified and modified version of Chris Follensbeck’s “Fitting Gaussian Process Models in Python” toy examples in the following walkthrough. In Gaussian Processes for Machine Learning, Rasmussen and Williams define it as. I’ve only barely scratched the surface of the applications for Gaussian Processes. For instance, while creating GaussianProcess, a large part of my time was spent handling both one-dimensional and multi-dimensional feature spaces. If we plot this function with an extremely high number of datapoints, we’ll essentially see the smooth contours of the function itself: The core principle behind Gaussian Processes is that we can marginalize over (sum over probabilities associated with the possible instances and state configurations) of all the unseen data points from the infinite vector (function). The core of this article is my notes on Gaussian processes explained in a way that helped me develop a more intuitive understanding of how they work. Contrary to first impressions, a non-parametric model is not one that has no hyperparameters. GPs work very well for regression problems with small training data set sizes. Gaussian process regression (GPR) is an even ﬁner approach than this. Since this is an Nx N matrix, runtime is O(N³), more specifically O(N³/6) using Cholesky decomposition instead of directly inverting the matrix ,as outlined by Rasmussen and Williams. They come with their own limitations and drawbacks: Both the mean prediction and the covariance of the test output require inversions of K(X,X). As luck would have it, both the marginal and conditional distribution of a subset of a multivariate Gaussian distribution are normally distributed themselves: That’s a lot of covariance matrices in one equation! Medium’s site status, or find something interesting to read. For a long time, I recall having this vague impression about Gaussian Processes (GPs) being able to magically define probability distributions over sets of functions, yet I procrastinated reading up about them for many many moons. The next step is to map this joint distribution over to a Gaussian Process. Consistency: If the GP speciﬁes y(1),y(2) ∼ N(µ,Σ), then it must also specify y(1) ∼ N(µ 1,Σ 11): A GP is completely speciﬁed by a mean function and a We assume the mean to be zero, without loss of generality. A slight alteration of that system (for example, changing the constant term “7” in the third equation to a “6”) will illustrate a system with infinitely many solutions. We’ll standardize (μ=0, σ=1) all values and begin incorporating observed data points, updating our belief regarding the relationship between free throws, turnovers, and scoring ( I made these values up, so please don’t read too much into them!). Consistency: If the GP speciﬁes y(1),y(2) ∼ N(µ,Σ), then it must also specify y(1) ∼ N(µ 1,Σ 11): A GP is completely speciﬁed by a mean function and a One of the beautiful aspects of GP is that we can generalize to any dimension data, as we’ve just seen. A Gaussian process (GP) is a generalization of a multivariate Gaussian distribution to infinitely many variables, thus functions Def: A stochastic process is Gaussian iff for every finite set of indices x 1 ... Well-explained Region. Let’s set up a hypothetical problem where we are attempting to model the points scored by one of my favorite athletes, Steph Curry, as a function of the # of free throws attempted and # of turnovers per game. The book is also freely available online. A Gaussian Process is a ﬂexible distribution over functions, with many useful analytical properties. However, the linear model shows its limitations when attempting to fit limited amounts of data, or in particular, expressive data. In layman’s terms, we want to maximize our free throw attempts (first dimension), and minimize our turnovers (second dimension), because intuitively we believed it would lead to increased points scored per game (our target output). Published: September 05, 2019 Before diving in. Here the goal is humble on theoretical fronts, but fundamental in application. examples sampled from some unknown distribution, How the Bayesian approach works is by specifying a prior distribution, p(w), on the parameter, w, and relocating probabilities based on evidence (i.e.observed data) using Bayes’ Rule: The updated distri… That, in turn, means that the characteristics of those realizations are completely described by their The central ideas under-lying Gaussian processes are presented in Section 3, and we derive the full Gaussian process … The covariance function determines properties of the functions, like smoothness, amplitude, etc. Keywords Covariance Function Gaussian Process Marginal Likelihood Posterior Variance Joint Gaussian Distribution It is fully determined by its mean m(x) and covariance k(x;x0) functions. A value of 1, for instance, means one standard deviation away from the NBA average. Gaussian Process Regression Gaussian Processes: Deﬁnition A Gaussian process is a collection of random variables, any ﬁnite number of which have a joint Gaussian distribution. They’re used for a variety of machine learning tasks, and my hope is I’ve provided a small sample of their potential applications! It represents an inherent tradeoff between exploring unknown regions and exploiting the best known results (a classical machine learning concept illustrated through the Multi-armed Bandit construct). ×.. Memory requirements are O(N²), with the bulk demands coming again from the K(X,X) matrix. The covariance function determines properties of the functions, like ), GPs are a great first step. In our Python implementation, we will define get_z() and get_expected_improvement() functions: We can now plot the expected improvement of a particular point x within our feature space (orange line), taking the maximum EI as the next hyperparameter for exploration: Taking a quick ballpark glance, it looks like the regions between 1.5 and 2, an around 5 are likely to yield the greatest expected improvement. Instead of two β coefficients, we’ll often have many, many β parameters to account for the additional complexity of the model needed to appropriately fit this more expressive data. The code to generate these contour maps is available here. The previous example shows how Gaussian elimination reveals an inconsistent system. This led to me refactoring the Kernel.get() static method to take in only 2D NumPy arrays: As a gentle reminder, when working with any sort of kernel computation, you will absolutely want to make sure you vectorize your operations, instead of using for loops. Laplace Approximation for GP Probit regression likelihood In statistics, originally in geostatistics, kriging or Gaussian process regression is a method of interpolation for which the interpolated values are modeled by a Gaussian process governed by prior covariances.Under suitable assumptions on the priors, kriging gives the best linear unbiased prediction of the intermediate values. For the sake of simplicity, we’ll use the Radial Basis Function Kernel, which is defined below: In Python, we can implement this using NumPy. What might lead a data scientist to choose a non-parametric model over a parametric model? For instance, sometimes it might not be possible to describe the kernel in simple terms. If you have just 3 hyperparameters to tune, each with approximately N possible configurations, you’ll quickly have an O(N³) runtime on your hands. The explanation for Gaussian Processes from CS229 Notes is the best I found and understood. Moreover, in the above equations, we implicitly must run through a checklist of assumptions regarding the data. However, after only 4 data points, the majority of the contour map features an output (scoring) value > 0. We explain the practical advantages of Gaussian Process and end with conclusions and a look at the current trends in GP work. A Gaussian is defined by two parameters, the mean μ μ, and the standard deviation σ σ. μ μ expresses our expectation of x x and σ σ our uncertainty of this expectation. The idea of prediction with Gaussian Processes boils down to "Given my old x, and the y values for those x, what do I expect y to be for a new x? The goals of Gaussian elimination are to make the upper-left corner element a 1, use elementary row operations to get 0s in all positions underneath that first 1, get 1s for leading coefficients in every row diagonally from the upper-left to lower-right corner, and get 0s beneath all leading coefficients. To overcome this challenge, learning specialized kernel functions from the underlying data, for example by using deep learning, is an area of … Figure: A key reference for Gaussian process models remains the excellent book "Gaussian Processes for Machine Learning" (Rasmussen and Williams (2006)).