Gaussian processes for classification: mean field algorithms:mean-field algorithms

We derive a mean field algorithm for binary classification with Gaussian processes which is based on the TAP approach originally proposed in Statistical Physics of disordered systems. The theory also yields an approximate leave-one-out estimator for the generalization error which is computed with no extra computational cost. We show that from the TAP approach, it is possible to derive both a simpler 'naive' mean field theory and support vector machines (SVM) as limiting cases. For both mean field algorithms and support vectors machines, simulation results for three small benchmark data sets are presented. They show 1. that one may get state of the art performance by using the leave-one-out estimator for model selection and 2. the built-in leave-one-out estimators are extremely precise when compared to the exact leave-one-out estimate. The latter result is a taken as a strong support for the internal consistency of the mean field approach.

Gaussian processes and SVM: Mean field results and leave-one-out

In this chapter, we elaborate on the well-known relationship between Gaussian processes (GP) and Support Vector Machines (SVM). Secondly, we present approximate solutions for two computational problems arising in GP and SVM. The first one is the calculation of the posterior mean for GP classifiers using a `naive' mean field approach. The second one is a leave-one-out estimator for the generalization error of SVM based on a linear response method. Simulation results on a benchmark dataset show similar performances for the GP mean field algorithm and the SVM algorithm. The approximate leave-one-out estimator is found to be in very good agreement with the exact leave-one-out error.

Sparse on-line Gaussian processes

We develop an approach for sparse representations of Gaussian Process (GP) models (which are Bayesian types of kernel machines) in order to overcome their limitations for large data sets. The method is based on a combination of a Bayesian online algorithm together with a sequential construction of a relevant subsample of the data which fully specifies the prediction of the GP model. By using an appealing parametrisation and projection techniques that use the RKHS norm, recursions for the effective parameters and a sparse Gaussian approximation of the posterior process are obtained. This allows both for a propagation of predictions as well as of Bayesian error measures. The significance and robustness of our approach is demonstrated on a variety of experiments.

Learning curves for Gaussian processes models: fluctuations and universality

Based on a statistical mechanics approach, we develop a method for approximately computing average case learning curves and their sample fluctuations for Gaussian process regression models. We give examples for the Wiener process and show that universal relations (that are independent of the input distribution) between error measures can be derived.

Gaussian processes:iterative sparse approximations

In recent years there has been an increased interest in applying non-parametric methods to real-world problems. Significant research has been devoted to Gaussian processes (GPs) due to their increased flexibility when compared with parametric models. These methods use Bayesian learning, which generally leads to analytically intractable posteriors. This thesis proposes a two-step solution to construct a probabilistic approximation to the posterior. In the first step we adapt the Bayesian online learning to GPs: the final approximation to the posterior is the result of propagating the first and second moments of intermediate posteriors obtained by combining a new example with the previous approximation. The propagation of em functional forms is solved by showing the existence of a parametrisation to posterior moments that uses combinations of the kernel function at the training points, transforming the Bayesian online learning of functions into a parametric formulation. The drawback is the prohibitive quadratic scaling of the number of parameters with the size of the data, making the method inapplicable to large datasets. The second step solves the problem of the exploding parameter size and makes GPs applicable to arbitrarily large datasets. The approximation is based on a measure of distance between two GPs, the KL-divergence between GPs. This second approximation is with a constrained GP in which only a small subset of the whole training dataset is used to represent the GP. This subset is called the em Basis Vector, or BV set and the resulting GP is a sparse approximation to the true posterior. As this sparsity is based on the KL-minimisation, it is probabilistic and independent of the way the posterior approximation from the first step is obtained. We combine the sparse approximation with an extension to the Bayesian online algorithm that allows multiple iterations for each input and thus approximating a batch solution. The resulting sparse learning algorithm is a generic one: for different problems we only change the likelihood. The algorithm is applied to a variety of problems and we examine its performance both on more classical regression and classification tasks and to the data-assimilation and a simple density estimation problems.

A new entropy measure based on the Renyi entropy rate using Gaussian kernels

The concept of entropy rate is well defined in dynamical systems theory but is impossible to apply it directly to finite real world data sets. With this in mind, Pincus developed Approximate Entropy (ApEn), which uses ideas from Eckmann and Ruelle to create a regularity measure based on entropy rate that can be used to determine the influence of chaotic behaviour in a real world signal. However, this measure was found not to be robust and so an improved formulation known as the Sample Entropy (SampEn) was created by Richman and Moorman to address these issues. We have developed a new, related, regularity measure which is not based on the theory provided by Eckmann and Ruelle and proves a more well-behaved measure of complexity than the previous measures whilst still retaining a low computational cost.

Derivations of variational gaussian process approximation framework

Recently, within the VISDEM project (EPSRC funded EP/C005848/1), a novel variational approximation framework has been developed for inference in partially observed, continuous space-time, diffusion processes. In this technical report all the derivations of the variational framework, from the initial work, are provided in detail to help the reader better understand the framework and its assumptions.

Sparse on-line Gaussian processes

We develop an approach for sparse representations of Gaussian Process (GP) models (which are Bayesian types of kernel machines) in order to overcome their limitations for large data sets. The method is based on a combination of a Bayesian online algorithm together with a sequential construction of a relevant subsample of the data which fully specifies the prediction of the GP model. By using an appealing parametrisation and projection techniques that use the RKHS norm, recursions for the effective parameters and a sparse Gaussian approximation of the posterior process are obtained. This allows both for a propagation of predictions as well as of Bayesian error measures. The significance and robustness of our approach is demonstrated on a variety of experiments.

Statistical mechanics analysis of LDPC coding in MIMO Gaussian channels

Using analytical methods of statistical mechanics, we analyse the typical behaviour of a multiple-input multiple-output (MIMO) Gaussian channel with binary inputs under low-density parity-check (LDPC) network coding and joint decoding. The saddle point equations for the replica symmetric solution are found in particular realizations of this channel, including a small and large number of transmitters and receivers. In particular, we examine the cases of a single transmitter, a single receiver and symmetric and asymmetric interference. Both dynamical and thermodynamical transitions from the ferromagnetic solution of perfect decoding to a non-ferromagnetic solution are identified for the cases considered, marking the practical and theoretical limits of the system under the current coding scheme. Numerical results are provided, showing the typical level of improvement/deterioration achieved with respect to the single transmitter/receiver result, for the various cases. © 2007 IOP Publishing Ltd.

Bayesian classification with Gaussian processes

We consider the problem of assigning an input vector to one of m classes by predicting P(c|x) for c=1,...,m. For a two-class problem, the probability of class one given x is estimated by s(y(x)), where s(y)=1/(1+e-y). A Gaussian process prior is placed on y(x), and is combined with the training data to obtain predictions for new x points. We provide a Bayesian treatment, integrating over uncertainty in y and in the parameters that control the Gaussian process prior the necessary integration over y is carried out using Laplace's approximation. The method is generalized to multiclass problems (m>2) using the softmax function. We demonstrate the effectiveness of the method on a number of datasets.

Perceiving edge blur: Gaussian-derivative filtering and a rectifying nonlinearity

We studied the visual mechanisms that encode edge blur in images. Our previous work suggested that the visual system spatially differentiates the luminance profile twice to create the `signature' of the edge, and then evaluates the spatial scale of this signature profile by applying Gaussian derivative templates of different sizes. The scale of the best-fitting template indicates the blur of the edge. In blur-matching experiments, a staircase procedure was used to adjust the blur of a comparison edge (40% contrast, 0.3 s duration) until it appeared to match the blur of test edges at different contrasts (5% - 40%) and blurs (6 - 32 min of arc). Results showed that lower-contrast edges looked progressively sharper. We also added a linear luminance gradient to blurred test edges. When the added gradient was of opposite polarity to the edge gradient, it made the edge look progressively sharper. Both effects can be explained quantitatively by the action of a half-wave rectifying nonlinearity that sits between the first and second (linear) differentiating stages. This rectifier was introduced to account for a range of other effects on perceived blur (Barbieri-Hesse and Georgeson, 2002 Perception 31 Supplement, 54), but it readily predicts the influence of the negative ramp. The effect of contrast arises because the rectifier has a threshold: it not only suppresses negative values but also small positive values. At low contrasts, more of the gradient profile falls below threshold and its effective spatial scale shrinks in size, leading to perceived sharpening.

The primal sketch revisited: locating and representing edges in human vision via Gaussian-derivative filtering

Marr's work offered guidelines on how to investigate vision (the theory - algorithm - implementation distinction), as well as specific proposals on how vision is done. Many of the latter have inevitably been superseded, but the approach was inspirational and remains so. Marr saw the computational study of vision as tightly linked to psychophysics and neurophysiology, but the last twenty years have seen some weakening of that integration. Because feature detection is a key stage in early human vision, we have returned to basic questions about representation of edges at coarse and fine scales. We describe an explicit model in the spirit of the primal sketch, but tightly constrained by psychophysical data. Results from two tasks (location-marking and blur-matching) point strongly to the central role played by second-derivative operators, as proposed by Marr and Hildreth. Edge location and blur are evaluated by finding the location and scale of the Gaussian-derivative `template' that best matches the second-derivative profile (`signature') of the edge. The system is scale-invariant, and accurately predicts blur-matching data for a wide variety of 1-D and 2-D images. By finding the best-fitting scale, it implements a form of local scale selection and circumvents the knotty problem of integrating filter outputs across scales. [Supported by BBSRC and the Wellcome Trust]

Adding constrained discontinuities to Gaussian process models of wind fields

Gaussian Processes provide good prior models for spatial data, but can be too smooth. In many physical situations there are discontinuities along bounding surfaces, for example fronts in near-surface wind fields. We describe a modelling method for such a constrained discontinuity and demonstrate how to infer the model parameters in wind fields with MCMC sampling.

Gaussian process approximations of stochastic differential equations

Stochastic differential equations arise naturally in a range of contexts, from financial to environmental modeling. Current solution methods are limited in their representation of the posterior process in the presence of data. In this work, we present a novel Gaussian process approximation to the posterior measure over paths for a general class of stochastic differential equations in the presence of observations. The method is applied to two simple problems: the Ornstein-Uhlenbeck process, of which the exact solution is known and can be compared to, and the double-well system, for which standard approaches such as the ensemble Kalman smoother fail to provide a satisfactory result. Experiments show that our variational approximation is viable and that the results are very promising as the variational approximate solution outperforms standard Gaussian process regression for non-Gaussian Markov processes.

Approximately optimal experimental design for heteroscedastic Gaussian process models

This paper presents a greedy Bayesian experimental design criterion for heteroscedastic Gaussian process models. The criterion is based on the Fisher information and is optimal in the sense of minimizing parameter uncertainty for likelihood based estimators. We demonstrate the validity of the criterion under different noise regimes and present experimental results from a rabies simulator to demonstrate the effectiveness of the resulting approximately optimal designs.