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Kernel Methods – Gaussian Processes. Presented by Shankar Bhargav. Gaussian Processes. Extending role of kernels to probabilistic discriminative models leads to framework of Gaussian processes Linear regression model Evaluate posterior distribution over W

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kernel methods gaussian processes

Kernel Methods – Gaussian Processes

Presented by Shankar Bhargav

Arizona State University DMML

gaussian processes
Gaussian Processes
  • Extending role of kernels to probabilistic discriminative models leads to framework of Gaussian processes
  • Linear regression model
    • Evaluate posterior distribution over W
  • Gaussian Processes: Define probability distribution over functions directly

Arizona State University DMML

linear regression
Linear regression

x - input vector

w – M Dimensional weight vector

Prior distribution of w given by the Gaussian form

Prior distribution over w induces a probability distribution over function y(x)

Arizona State University DMML

linear regression4
Linear regression

Y is a linear combination of Gaussian distributed variables given by elements of W,

where is the design matrix with elements

We need only mean and covariance to find the joint distribution of Y

where K is the Gram matrix with elements

Arizona State University DMML

gaussian processes5
Gaussian Processes
  • Defn. : Probability distributions over functions y(x) such that the set of values of y(x) evaluated at an arbitrary set of points jointly have a gaussian distribution
    • Mean is assumed zero
    • Covariance of y(x) evaluated at any two values of x is given by the kernel function

Arizona State University DMML

gaussian processes for regression
Gaussian Processes for regression

To apply Gaussian process models for regression we need to take account of noise on observed target values

Consider noise processes with gaussian distribution

with

To find marginal distribution over ‘t’ we need to integrate over ‘Y’

where covariance matrix C

has elements

Arizona State University DMML

gaussian processes for regression7
Gaussian Processes for regression

Joint distribution over is given by

Conditional distribution of is a Gaussian distribution with mean and covariance given by

where and is N*N covariance matrix

Arizona State University DMML

learning the hyperparameters
Learning the hyperparameters
  • Rather than fixing the covariance function we can use a parametric family of functions and then infer the parameter values from the data
  • Evaluation of likelihood function where denotes the hyperparameters of Gaussian process model
  • Simplest approach is to make a point estimate of by maximizing the log likelihood function

Arizona State University DMML

gaussian process for classification
Gaussian Process for classification
  • We can adapt gaussian processes to classification problems by transforming the output using an appropriate nonlinear activation function
    • Define Gaussian process over a function a(x), and transform using Logistic sigmoid function ,we obtain a non-Gaussian stochastic process over functions

Arizona State University DMML

slide10

The left plot shows a sample from the Gaussian process prior over functions a(x). The right plot shows the result of transforming this sample using a logistic sigmoid function.

Probability distribution function over target variable is given by Bernoulli distribution on one dimensional input space

Arizona State University DMML

gaussian process for classification11
Gaussian Process for classification
  • To determine the predictive distribution

we introduce a Gaussian process prior over vector , the Gaussian prior takes the form

The predictive distribution is given by

where

Arizona State University DMML

gaussian process for classification12
Gaussian Process for classification
  • The integral is analytically intractable so may be approximated using sampling methods.
  • Alternatively techniques based on analytical approximation can be used
    • Variational Inference
    • Expectation propagation
    • Laplace approximation

Arizona State University DMML

slide13

Illustration of Gaussian process for classification

Optimal decision boundary – Green

Decision boundary from Gaussian Process classifier - Black

Arizona State University DMML

connection to neural networks
Connection to Neural Networks
  • For a broad class of prior distributions over w, the distribution of functions generated by a neural network will tend to a Gaussian process as M -> Infinity
  • In this Gaussian process limit the ouput variables of the neural network become independent.

Arizona State University DMML

thank you
Thank you

Arizona State University DMML

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