Timezone: »

 
Poster
Scalable Levy Process Priors for Spectral Kernel Learning
Phillip Jang · Andrew Loeb · Matthew Davidow · Andrew Wilson

Mon Dec 04 06:30 PM -- 10:30 PM (PST) @ Pacific Ballroom #198
in Posters Mon »

Gaussian processes are rich distributions over functions, with generalization properties determined by a kernel function. When used for long-range extrapolation, predictions are particularly sensitive to the choice of kernel parameters. It is therefore critical to account for kernel uncertainty in our predictive distributions. We propose a distribution over kernels formed by modelling a spectral mixture density with a Levy process. The resulting distribution has support for all stationary covariances---including the popular RBF, periodic, and Matern kernels---combined with inductive biases which enable automatic and data efficient learning, long-range extrapolation, and state of the art predictive performance. The proposed model also presents an approach to spectral regularization, as the Levy process introduces a sparsity-inducing prior over mixture components, allowing automatic selection over model order and pruning of extraneous components. We exploit the algebraic structure of the proposed process for O(n) training and O(1) predictions. We perform extrapolations having reasonable uncertainty estimates on several benchmarks, show that the proposed model can recover flexible ground truth covariances and that it is robust to errors in initialization.

Keywords: Spectral Methods · Kernel Methods · Bayesian Nonparametrics · Gaussian Processes · Time Series Analysis

Author Information

Phillip Jang (Cornell University)
Andrew Loeb (Cornell University)
Matthew Davidow (Cornell University)

Applied Math Grad Student at Cornell

Andrew Wilson (Cornell University)

More from the Same Authors