Related papers: Convergence properties of the expected improvement…
A recent novel extension of multi-output Gaussian processes handles heterogeneous outputs assuming that each output has its own likelihood function. It uses a vector-valued Gaussian process prior to jointly model all likelihoods' parameters…
In the last five years, the financial industry has been impacted by the emergence of digitalization and machine learning. In this article, we explore two methods that have undergone rapid development in recent years: Gaussian processes and…
The $k$ principal points of a random vector $\mathbf{X}$ are defined as a set of points which minimize the expected squared distance between $\mathbf{X}$ and the nearest point in the set. They are thoroughly studied in Flury (1990, 1993),…
In this contribution we describe an approach to evolve composite covariance functions for Gaussian processes using genetic programming. A critical aspect of Gaussian processes and similar kernel-based models such as SVM is, that the…
We provide guarantees for approximate Gaussian Process (GP) regression resulting from two common low-rank kernel approximations: based on random Fourier features, and based on truncating the kernel's Mercer expansion. In particular, we…
We provide guarantees for approximate Gaussian Process (GP) regression resulting from two common low-rank kernel approximations: based on random Fourier features, and based on truncating the kernel's Mercer expansion. In particular, we…
Bayesian optimization is a sample-efficient method for finding a global optimum of an expensive-to-evaluate black-box function. A global solution is found by accumulating a pair of query point and its function value, repeating these two…
Gaussian Processes (GPs) are powerful kernelized methods for non-parameteric regression used in many applications. However, their use is limited to a few thousand of training samples due to their cubic time complexity. In order to scale GPs…
Probabilistic machine learning models are distinguished by their ability to integrate prior knowledge of noise statistics, smoothness parameters, and training data uncertainty. A common approach involves modeling data with Gaussian…
This paper presents a new variable selection approach integrated with Gaussian process (GP) regression. We consider a sparse projection of input variables and a general stationary covariance model that depends on the Euclidean distance…
We consider the problem of global optimization of a function over a continuous domain. In our setup, we can evaluate the function sequentially at points of our choice and the evaluations are noisy. We frame it as a continuum-armed bandit…
We analyse and explain the increased generalisation performance of iterate averaging using a Gaussian process perturbation model between the true and batch risk surface on the high dimensional quadratic. We derive three phenomena…
Sequential maximization of expected improvement (EI) is one of the most widely used policies in Bayesian optimization because of its simplicity and ability to handle noisy observations. In particular, the improvement function often uses the…
Gaussian Process (GP) regression is a popular and sample-efficient approach for many engineering applications, where observations are expensive to acquire, and is also a central ingredient of Bayesian optimization (BO), a highly prevailing…
This work studies finite sample approximations of the exact and entropic regularized Wasserstein distances between centered Gaussian processes and, more generally, covariance operators of functional random processes. We first show that…
This paper extends algorithms that remove the fixed point bias of decentralized gradient descent to solve the more general problem of distributed optimization over subspace constraints. Leveraging the integral quadratic constraint…
We consider Bayesian inference problems with computationally intensive likelihood functions. We propose a Gaussian process (GP) based method to approximate the joint distribution of the unknown parameters and the data. In particular, we…
Bayesian hyperparameter optimization relies heavily on Gaussian Process (GP) surrogates, due to robust distributional posteriors and strong performance on limited training samples. GPs however underperform in categorical hyperparameter…
The ensemble Gaussian mixture filter combines the simplicity and power of Gaussian mixture models with the provable convergence and power of particle filters. The quality of the ensemble Gaussian mixture filter heavily depends on the choice…
Neural-net-induced Gaussian process (NNGP) regression inherits both the high expressivity of deep neural networks (deep NNs) as well as the uncertainty quantification property of Gaussian processes (GPs). We generalize the current NNGP to…