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It is all in the noise: Efficient multi-task Gaussian process inference with structured residuals
Barbara Rakitsch · Christoph Lippert · Karsten Borgwardt · Oliver Stegle

Sat Dec 07 07:00 PM -- 11:59 PM (PST) @ Harrah's Special Events Center, 2nd Floor

Multi-task prediction models are widely being used to couple regressors or classification models by sharing information across related tasks. A common pitfall of these models is that they assume that the output tasks are independent conditioned on the inputs. Here, we propose a multi-task Gaussian process approach to model both the relatedness between regressors as well as the task correlations in the residuals, in order to more accurately identify true sharing between regressors. The resulting Gaussian model has a covariance term that is the sum of Kronecker products, for which efficient parameter inference and out of sample prediction are feasible. On both synthetic examples and applications to phenotype prediction in genetics, we find substantial benefits of modeling structured noise compared to established alternatives.

Author Information

Barbara Rakitsch (MPI Tübingen)
Christoph Lippert (Human Longevity, Inc.)
Karsten Borgwardt (ETH Zurich)

Karsten Borgwardt is Professor of Data Mining at ETH Zürich, at the Department of Biosystems located in Basel. His work has won several awards, including the NIPS 2009 Outstanding Paper Award, the Krupp Award for Young Professors 2013 and a Starting Grant 2014 from the ERC-backup scheme of the Swiss National Science Foundation. Since 2013, he is heading the Marie Curie Initial Training Network for "Machine Learning for Personalized Medicine" with 12 partner labs in 8 countries (http://www.mlpm.eu). The business magazine "Capital" listed him as one of the "Top 40 under 40" in Science in/from Germany in 2014, 2015 and 2016. For more information, visit: https://www.bsse.ethz.ch/mlcb

Oliver Stegle (German Cancer Research Center)

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