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100 nips-2011-Gaussian Process Training with Input Noise


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Author: Andrew Mchutchon, Carl E. Rasmussen

Abstract: In standard Gaussian Process regression input locations are assumed to be noise free. We present a simple yet effective GP model for training on input points corrupted by i.i.d. Gaussian noise. To make computations tractable we use a local linear expansion about each input point. This allows the input noise to be recast as output noise proportional to the squared gradient of the GP posterior mean. The input noise variances are inferred from the data as extra hyperparameters. They are trained alongside other hyperparameters by the usual method of maximisation of the marginal likelihood. Training uses an iterative scheme, which alternates between optimising the hyperparameters and calculating the posterior gradient. Analytic predictive moments can then be found for Gaussian distributed test points. We compare our model to others over a range of different regression problems and show that it improves over current methods. 1

Reference: text


Summary: the most important sentenses genereted by tfidf model

sentIndex sentText sentNum sentScore

1 uk Abstract In standard Gaussian Process regression input locations are assumed to be noise free. [sent-5, score-0.526]

2 We present a simple yet effective GP model for training on input points corrupted by i. [sent-6, score-0.349]

3 This allows the input noise to be recast as output noise proportional to the squared gradient of the GP posterior mean. [sent-11, score-1.082]

4 The input noise variances are inferred from the data as extra hyperparameters. [sent-12, score-0.536]

5 They are trained alongside other hyperparameters by the usual method of maximisation of the marginal likelihood. [sent-13, score-0.304]

6 Training uses an iterative scheme, which alternates between optimising the hyperparameters and calculating the posterior gradient. [sent-14, score-0.26]

7 Standard GP regression [1] makes two assumptions about the noise in datasets: firstly that measurements of input points, x, are noise-free, and, secondly, that output points, y, are corrupted by constant-variance Gaussian noise. [sent-20, score-0.703]

8 In this paper we look at datasets where the input measurements, as well as the output, are corrupted by noise. [sent-24, score-0.255]

9 If, as an approximation, we treat the input measurements as if they were deterministic, and inflate the corresponding output variance to compensate, this leads to the output noise variance varying across the input space, a feature often called heteroscedasticity. [sent-26, score-1.074]

10 One method for modelling datasets with input noise is, therefore, to hold the input measurements to be deterministic and then use a heteroscedastic GP model. [sent-27, score-1.011]

11 However, referring the input noise to the output in this way results in heteroscedasticity with a very particular structure. [sent-29, score-0.572]

12 This structure can be exploited to improve upon current heteroscedastic GP models for datasets with input noise. [sent-30, score-0.402]

13 One can imagine that in regions where a process is changing its output value rapidly, corrupted input measurements will have a much greater effect than in regions Pre-conference version 1 where the output is almost constant. [sent-31, score-0.515]

14 In other words, the effect of the input noise is related to the gradient of the function mapping input to output. [sent-32, score-0.659]

15 We fit a local linear model to the GP posterior mean about each training point. [sent-34, score-0.282]

16 The input noise variance can then be referred to the output, proportional to the square of the posterior mean function’s gradient. [sent-35, score-0.823]

17 This approach is particularly powerful in the case of time-series data where the output at time t becomes the input at time t + 1. [sent-36, score-0.237]

18 In this situation, input measurements are clearly not noise-free: the noise on a particular measurement is the same whether it is considered an input or output. [sent-37, score-0.706]

19 Furthermore, we can estimate the noise variance on each input dimension, which is often very useful for analysis. [sent-39, score-0.567]

20 [2], is to make the noise variance a random variable and attempt to estimate its form at the same time as estimating the posterior mean. [sent-42, score-0.56]

21 suggested using a second GP to model the noise level as a function of the input location. [sent-44, score-0.478]

22 Snelson and Ghahramani [6] suggest a different approach whereby the importance of points in a pseudo-training set can be varied, allowing the posterior variance to vary as well. [sent-49, score-0.303]

23 Although all of these methods could be applied to datasets with input noise, they are designed for a more general class of heteroscedastic problems and so none of them exploits the structure inherent in input noise datasets. [sent-51, score-0.852]

24 However, their method requires prior knowledge of the noise variance, rather than inferring it as we do in this paper. [sent-55, score-0.293]

25 Let x and y be a pair of measurements from a process, where x is a D dimensional input to the process and y is the corresponding scalar output. [sent-57, score-0.269]

26 In standard GP regression we assume that y is a noisy measurement of the actual output of the process y , ˜ y=y+ ˜ y (1) 2 where, y ∼ N 0, σy . [sent-58, score-0.255]

27 In our model, we further assume that the inputs are also noisy measurements of the actual input x, ˜ x=x+ x ˜ (2) where x ∼ N (0, Σx ). [sent-59, score-0.303]

28 ), we can write the output as a function of the input in the following form, y = f (˜ + x ) + y x (3) For a GP model the posterior distribution based on equation 3 is intractable. [sent-62, score-0.441]

29 Note that if the posterior mean gradient is constant across the input space the heteroscedasticity is removed and our model is essentially identical to a standard GP. [sent-83, score-0.475]

30 As the input noise levels are the same for each of the output dimensions, our model can use data from all of the outputs when learning the input noise variances. [sent-85, score-1.099]

31 Not only does this give more information about the noise variances without needing further input measurements but it also reduces over-fitting as the learnt noise variances must agree with all E output dimensions. [sent-86, score-1.06]

32 For time-series datasets (where the model has to predict the next state given the current), each dimension’s input and output noise variance can be constrained to be the same since the noise level on a measurement is independent of whether it is an input or output. [sent-87, score-1.189]

33 This further constraint increases the ability of the model to recover the actual noise variances. [sent-88, score-0.321]

34 3 Training Our model introduces an extra D hyperparameters compared to the standard GP - one noise variance hyperparameter per input dimension. [sent-90, score-0.815]

35 A major advantage of our model is that these hyperparameters can be trained alongside any others by maximisation of the marginal likelihood. [sent-91, score-0.332]

36 This approach automatically includes regularisation of the noise parameters and reduces the effect of over-fitting. [sent-92, score-0.319]

37 In order to calculate the marginal likelihood of the training data we need the posterior distribution, and the slope of its mean, at each of the training points. [sent-93, score-0.441]

38 Therefore, we define a two-step approach: first we ¯ evaluate a standard GP with the training data, using our initial hyperparameter settings and ignoring the input noise. [sent-95, score-0.3]

39 We then find the slope of the posterior mean of this GP at each of the training points and use it to add in the corrective variance term, diag{∆f Σx ∆T }. [sent-96, score-0.542]

40 The marginal likelihood of the GP with the corrected variance is then computed, along with its derivatives with respect to the initial hyperparameters, which include the input noise variances. [sent-98, score-0.676]

41 Figure 1c shows the GP posterior for the trained hyperparameters and shows how NIGP can reduce output noise level estimates by taking input noise into account. [sent-101, score-1.15]

42 (a) A standard GP posterior distribution can be computed from an initial set of hyperparameters and a training data set, shown by the blue crosses. [sent-104, score-0.364]

43 The gradients of the posterior mean at each training point can then be found analytically. [sent-105, score-0.254]

44 (b) The NIGP method increases the posterior variance by the square of the posterior mean slope multiplied by the current setting of the input noise variance hyperparameter. [sent-106, score-1.123]

45 (c) This plot shows the standard GP posterior using the newly trained hyperparameters. [sent-112, score-0.291]

46 Comparing to plot (a) shows that the output noise hyperparameter has been greatly reduced. [sent-113, score-0.45]

47 (d) This plot shows the NIGP fit - plot(c) with the input noise corrective variance term, diag{∆f Σx ∆T }. [sent-114, score-0.669]

48 To improve the fit further we can iterate this procedure: we use the slopes of the current trained NIGP, instead of a standard GP, to calculate the effect of the input noise, i. [sent-116, score-0.286]

49 4 Prediction We turn now to the task of making predictions at noisy input locations with our model. [sent-119, score-0.229]

50 We therefore use the trained hyperparameters and the training data to define a GP posterior mean, which we differentiate at each test point and each training point. [sent-121, score-0.495]

51 The posterior mean slope at the test points is only used to calculate the variance over observations, where we increase the predictive variance by the noise variances. [sent-123, score-0.914]

52 If a single test point is considered to have a Gaussian distribution and all the training points are certain then, although the GP posterior is unknown, its mean and variance can be calculated exactly [11]. [sent-125, score-0.467]

53 As our model estimates the input noise variance Σx during training, we can consider a test point to be Gaussian distributed: x∗ ∼ N (x∗ , Σx ). [sent-126, score-0.627]

54 This method is computationally slower than using equation 7 and is vulnerable to worse results if the learnt input noise variance Σx is very different from the true value. [sent-129, score-0.655]

55 ’s ‘most likely heteroscedastic GP’ (MLHGP) model, a state-of-the-art heteroscedastic GP model. [sent-133, score-0.414]

56 We used the squared exponential kernel with Automatic Relevance Determination, 1 2 k(xi , xj ) = σf exp − (xi − xj )T Λ−1 (xi − xj ) (12) 2 2 where Λ is a diagonal matrix of the squared lengthscale hyperparameters and σf is a signal variance hyperparameter. [sent-134, score-0.431]

57 While the predictive means are similar, both our model and MLHGP pinch in the variance around the low noise areas. [sent-156, score-0.584]

58 Our model correctly expands the variance around all steep areas whereas MLHGP can only do so where high noise is observed (see areas around x= -6 and x = 1). [sent-157, score-0.672]

59 This function was chosen as it has areas 5 of steep gradient and near flat gradient and thus suffers from the heteroscedastic problems we are trying to solve. [sent-160, score-0.366]

60 The standard GP model has to take into account the large noise seen around the steep sloped areas by assuming large noise everywhere, which leads to the much larger error bars. [sent-162, score-0.799]

61 Our model can recover the actual noise levels by taking the input noise into account. [sent-163, score-0.824]

62 Both our model and MLHGP pinch the variance in around the flat regions of the function and expand it around the steep areas. [sent-164, score-0.335]

63 For the example shown in figure 2 the standard GP estimated an output noise standard deviation of 0. [sent-165, score-0.483]

64 Our model also learnt an input noise standard deviation of 0. [sent-169, score-0.614]

65 MLHGP does not produce a single estimate of noise levels. [sent-172, score-0.293]

66 Part of the reason for our improvement over MLHGP can be seen around x = 1: our model has near-symmetric ‘horns’ in the variance around the corners of the square wave, whereas MLHGP only has one ‘horn’. [sent-178, score-0.292]

67 This is because in our model, the amount of noise expected is proportional to the derivative of the mean squared, which is the same for both sides of the square wave. [sent-179, score-0.445]

68 ’s model the noise is estimated from the training points themselves. [sent-181, score-0.425]

69 In this example the training points around x = 1 happen to have low noise and so the learnt variance is smaller. [sent-182, score-0.618]

70 This illustrates an important aspect of our model: the accuracy in plotting the varying effect of noise is only dependent on the accuracy of the mean posterior function and not on an extra, learnt noise model. [sent-184, score-0.86]

71 This means that our model typically requires fewer data points to achieve the same accuracy as MLHGP on input noise datasets. [sent-185, score-0.514]

72 The figure shows that NIGP performs very well on all the functions, always outperforming the standard GP when there is input noise and nearly always MLHGP; wherever there is a significant difference our model is favoured. [sent-195, score-0.514]

73 Training on all the outputs at once only gives an improvement for some of the functions, which suggests that, for the others, the input noise levels could be estimated from the individual functions alone. [sent-196, score-0.572]

74 These results show our model consistently calculates a more accurate predictive posterior variance than either a standard GP or a state-of-the-art heteroscedastic GP model. [sent-199, score-0.6]

75 In this situation the input and output noise variance will be the same. [sent-201, score-0.647]

76 We tested NIGP on a timeseries dataset and compared the two modes (with separate input and output noise hyperparameters and with combined) and also to standard GP regression (MLHGP was not available for multiple input dimensions). [sent-203, score-0.925]

77 All four versions of our model perform better than the 6 Negative log predictive posterior sin(x) Near−square wave 2 0. [sent-211, score-0.331]

78 7 Input noise standard deviation Near−square wave exp(−0. [sent-299, score-0.458]

79 1 Input noise standard deviation Input noise standard deviation 0. [sent-360, score-0.734]

80 7 Input noise standard deviation Figure 3: Comparison of models for suite of 6 test functions. [sent-412, score-0.429]

81 The plots show our model has lower negative log posterior predictive than standard GP on all the functions, particularly the exponentially decaying sine wave and the multiplication between tan and sin. [sent-418, score-0.409]

82 There is also a slight improvement using the combined noise levels although, again, the difference is contained within the error bars. [sent-422, score-0.377]

83 A better comparison between the two modes is to look at the input noise variance values recovered. [sent-423, score-0.619]

84 Both modes struggle to recover the correct noise level on the second dimension and this is probably why the angular velocity prediction performance shown in figure 4 is worse than the angle prediction performance. [sent-433, score-0.469]

85 indicate whether the model combined the input and output noise parameters or treated them separately. [sent-438, score-0.558]

86 icantly improved the recovered noise value although the difference between the two NIGP modes then shrank as there was sufficient information to correctly deduce the noise levels separately. [sent-440, score-0.691]

87 6 Conclusion The correct way of training on input points corrupted by Gaussian noise is to consider every input point as a Gaussian distribution. [sent-441, score-0.771]

88 In our model, we refer the input noise to the output by passing it through a local linear expansion. [sent-443, score-0.53]

89 This adds a term to the likelihood which is proportional to the squared posterior mean gradient. [sent-444, score-0.303]

90 Not only does this lead to tractable computations but it makes intuitive sense - input noise has a larger effect in areas where the function is changing its output rapidly. [sent-445, score-0.599]

91 It can make use of multiple outputs and can recover a noise variance parameter for each input dimension, which is often useful for analysis. [sent-448, score-0.605]

92 In our approximate model, exact inference can be performed as the model hyperparameters can be trained simultaneously by marginal likelihood maximisation. [sent-449, score-0.289]

93 A proper handling of time-series data would constrain the specific noise levels on each training point to be the same for when they are considered inputs and outputs. [sent-450, score-0.453]

94 By allowing input noise and fixing the input and output noise variances to be identical, our model is a computationally efficient alternative. [sent-452, score-1.059]

95 It is important to state that this model has been designed to tackle a particular situation, that of constant-variance input noise, and would not perform so well on a general heteroscedastic problem. [sent-454, score-0.392]

96 It could not be expected to improve over a standard GP on problems where noise levels are proportional to the function or input value for example. [sent-455, score-0.577]

97 We do not see this limitation as too restricting however, as we maintain that constant input noise situations (including those where this is a sufficient approximation) are reasonably common. [sent-456, score-0.45]

98 We would expect this to be a good approximation for any function providing the input noise levels are not too large (i. [sent-460, score-0.503]

99 In practice, we could require that the input noise level is not larger than the input characteristic length scale. [sent-463, score-0.607]

100 Variable noise and dimensionality reduction for sparse gaussian processes. [sent-491, score-0.342]


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