Papers › Non-Stationary Gaussian Process Regression with Hamiltonian Monte Carlo
Non-Stationary Gaussian Process Regression with Hamiltonian Monte Carlo
Markus Heinonen, Henrik Mannerström, Juho Rousu, Samuel Kaski, Harri Lähdesmäki
We present a novel approach for fully non-stationary Gaussian process regression (GPR), where all three key parameters -- noise variance, signal variance and lengthscale -- can be simultaneously input-dependent. We develop gradient-based inference methods to learn the unknown function and the non-stationary model parameters, without requiring any model approximations. We propose to infer full parameter posterior with Hamiltonian Monte Carlo (HMC), which conveniently extends the analytical gradient-based GPR learning by guiding the sampling with model gradients. We also learn the MAP solution from the posterior by gradient ascent. In experiments on several synthetic datasets and in modelling of temporal gene expression, the nonstationary GPR is shown to be necessary for modeling realistic input-dependent dynamics, while it performs comparably to conventional stationary or previous non-stationary GPR models otherwise.
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