论文标题
完全贝叶斯推断潜在可变高斯过程模型
Fully Bayesian inference for latent variable Gaussian process models
论文作者
论文摘要
真正的工程和科学应用通常涉及一个或多个定性投入。但是,标准高斯流程(GPS)无法直接适应定性输入。最近引入的潜在变量高斯过程(LVGP)通过首先将每个定性因子映射到潜在的潜在变量(LVS),然后在这些LV上使用任何标准的GP协方差函数来克服此问题。通过最大似然估计,LV与其他GP超级参数的估计相似,然后插入预测表达式中。但是,这种插入式方法将无法解释LVS估计的不确定性,这可能是重要的,尤其是在有限的培训数据中。在这项工作中,我们为LVGP模型开发了一种完全贝叶斯的方法,并通过其LVS可视化定性输入的效果。我们还开发了用于扩大LVGP和LVGP超参数的完全贝叶斯推断的近似值。我们进行了数值研究,将插入推理与一些工程模型和材料设计应用程序进行了比较插入推理。与先前对标准GP建模的研究相反,这些研究在很大程度上得出结论是,完全贝叶斯的治疗可提供有限的改进,我们的结果表明,对于LVGP建模,它在预测准确性和对插件方法的不确定性量化方面具有显着提高。
Real engineering and scientific applications often involve one or more qualitative inputs. Standard Gaussian processes (GPs), however, cannot directly accommodate qualitative inputs. The recently introduced latent variable Gaussian process (LVGP) overcomes this issue by first mapping each qualitative factor to underlying latent variables (LVs), and then uses any standard GP covariance function over these LVs. The LVs are estimated similarly to the other GP hyperparameters through maximum likelihood estimation, and then plugged into the prediction expressions. However, this plug-in approach will not account for uncertainty in estimation of the LVs, which can be significant especially with limited training data. In this work, we develop a fully Bayesian approach for the LVGP model and for visualizing the effects of the qualitative inputs via their LVs. We also develop approximations for scaling up LVGPs and fully Bayesian inference for the LVGP hyperparameters. We conduct numerical studies comparing plug-in inference against fully Bayesian inference over a few engineering models and material design applications. In contrast to previous studies on standard GP modeling that have largely concluded that a fully Bayesian treatment offers limited improvements, our results show that for LVGP modeling it offers significant improvements in prediction accuracy and uncertainty quantification over the plug-in approach.