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The Gaussian Process Density Sampler
Ryan Adams · Iain Murray · David MacKay

Tue Dec 09 03:28 PM -- 03:29 PM (PST) @
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We present the Gaussian Process Density Sampler (GPDS), an exchangeable generative model for use in nonparametric Bayesian density estimation. Samples drawn from the GPDS are consistent with exact, independent samples from a fixed density function that is a transformation of a function drawn from a Gaussian process prior. Our formulation allows us to infer an unknown density from data using Markov chain Monte Carlo, which gives samples from the posterior distribution over density functions and from the predictive distribution on data space. We can also infer the hyperparameters of the Gaussian process. We compare this density modeling technique to several existing techniques on a toy problem and a skull-reconstruction task.

Author Information

Ryan Adams (Princeton University)
Iain Murray (University of Edinburgh)

Iain Murray is a SICSA Lecturer in Machine Learning at the University of Edinburgh. Iain was introduced to machine learning by David MacKay and Zoubin Ghahramani, both previous NIPS tutorial speakers. He obtained his PhD in 2007 from the Gatsby Computational Neuroscience Unit at UCL. His thesis on Monte Carlo methods received an honourable mention for the ISBA Savage Award. He was a commonwealth fellow in Machine Learning at the University of Toronto, before moving to Edinburgh in 2010. Iain's research interests include building flexible probabilistic models of data, and probabilistic inference from indirect and uncertain observations. Iain is passionate about teaching. He has lectured at several Summer schools, is listed in the top 15 authors on videolectures.net, and was awarded the EUSA Van Heyningen Award for Teaching in Science and Engineering in 2015.

David MacKay

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