论文标题
高维功能输入的高斯过程回归的自动动态相关性测定
Automatic Dynamic Relevance Determination for Gaussian process regression with high-dimensional functional inputs
论文作者
论文摘要
在使用功能输入的高斯过程回归的背景下,通常将输入视为向量是很常见的。随着功能点的数量增加,参数空间变得非常复杂,从而有效地成为了高维问题中自动相关性确定的障碍。概括一个时间变化输入的框架,我们引入了不对称的拉普拉斯功能权重(ALF):灵活的参数函数,可在索引空间上驱动预测性相关性。每个输入变量的三个未知数可以实现自动动态相关性确定(ADRD),并在索引空间上实现平滑度。此外,我们讨论了一种筛选技术,以完全缺乏先验和模拟ADRD是否与数据一致的筛选技术。这种工具可以用于探索性分析和模型诊断。 ADRD应用于遥感数据,并对大气功能输入产生预测。进行完全贝叶斯的估计以确定功能输入空间的相关区域。对传统矢量输入模型规范进行验证以基准测试。我们发现,通过功能主成分分析,ADRD优于降低输入维度的模型。此外,就平均预测和不确定性而言,预测能力与高维模型相媲美,调谐参数少10倍。在预测相关性概况上实施平稳性规定与矢量输入模型相关的不稳定模式。
In the context of Gaussian process regression with functional inputs, it is common to treat the input as a vector. The parameter space becomes prohibitively complex as the number of functional points increases, effectively becoming a hindrance for automatic relevance determination in high-dimensional problems. Generalizing a framework for time-varying inputs, we introduce the asymmetric Laplace functional weight (ALF): a flexible, parametric function that drives predictive relevance over the index space. Automatic dynamic relevance determination (ADRD) is achieved with three unknowns per input variable and enforces smoothness over the index space. Additionally, we discuss a screening technique to assess under complete absence of prior and model information whether ADRD is reasonably consistent with the data. Such tool may serve for exploratory analyses and model diagnostics. ADRD is applied to remote sensing data and predictions are generated in response to atmospheric functional inputs. Fully Bayesian estimation is carried out to identify relevant regions of the functional input space. Validation is performed to benchmark against traditional vector-input model specifications. We find that ADRD outperforms models with input dimension reduction via functional principal component analysis. Furthermore, the predictive power is comparable to high-dimensional models, in terms of both mean prediction and uncertainty, with 10 times fewer tuning parameters. Enforcing smoothness on the predictive relevance profile rules out erratic patterns associated with vector-input models.