Abstract
The mixture of Gaussian processes (MGP) is a powerful statistical learning model for regression and prediction and the EM algorithm is an effective method for its parameter learning or estimation. However, the feasible EM algorithms for MGPs are certain approximations of the real EM algorithm since Q-function cannot be computed efficiently in this situation. To overcome this problem, we propose an MCMC based EM algorithm for MGPs where Q-function is alternatively estimated on a set of simulated samples via the Markov Chain Monte Carlo (MCMC) method. It is demonstrated by the experiments on both the synthetic and real-world datasets that our proposed MCMC based EM algorithm is more effective than the other three EM algorithms for MGPs.
Preview
Unable to display preview. Download preview PDF.
References
Rasmussen, C.E., Williams, C.K.I.: Gaussian process for machine learning. MIT Press, Cambridge (2006)
Tresp, V.: Mixtures of Gaussian processes. In: Proc. of the Conf. on Neural Information Processing Systems (NIPS), pp. 654–660 (2000)
Chen, Z., Ma, J., Zhou, Y.: A precise hard-cut EM algorithm for mixtures of Gaussian processes. In: Huang, D.-S., Jo, K.-H., Wang, L. (eds.) ICIC 2014. LNCS, vol. 8589, pp. 68–75. Springer, Heidelberg (2014)
Yang, Y., Ma, J.: An efficient EM approach to parameter learning of the mixture of Gaussian processes. In: Liu, D., Zhang, H., Polycarpou, M., Alippi, C., He, H. (eds.) ISNN 2011, Part II. LNCS, vol. 6676, pp. 165–174. Springer, Heidelberg (2011)
Nguyen, T., Bonilla, E.: Fast allocation of Gaussian process experts. In: Proceedings of the 31st International Conference on Machine Learning (ICML), pp. 145–153 (2014)
Sun, S., Xu, X.: Variational inference for infinite mixtures of Gaussian processes with applications to traffic flow prediction. IEEE Transactions on Intelligent Transportation Systems 12(2), 466–475 (2011)
Yuan, C., Neubauer, C.: Variational mixture of Gaussian process experts. In: Advances in Neural Information Processing Systems, vol. 21, pp. 1897–1904 (2008)
Lazaro-Gredilla, M., Vaerenbergh, S.V., Lawrence, N.D.: Overlapping mixtures of Gaussian processes for the data association problem. Pattern Recognition 45, 1386–1395 (2012)
Rasmussen, C.E., Ghahramani, Z.: Infinite mixture of Gaussian process experts. In: Advances in Neural Information Processing Systems, vol. 2, pp. 881–888 (2002)
Tayal, A., Poupart, P., Li, Y.: Hierarchical double Dirichlet process mixture of Gaussian processes. Association for the Advancement of Artificial Intelligence (2012)
Meeds, E., Osindero, S.: An alternative infinite mixture of Gaussian process experts. In: Advances in Neural Information Processing Systems, vol. 18, pp. 883–890 (2006)
Sun, S.: Infinite mixtures of multivariate Gaussian processes. In: Proceedings of the International Conference on Machine Learning and Cybernetics, pp. 1–6 (2013)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2015 Springer International Publishing Switzerland
About this paper
Cite this paper
Wu, D., Chen, Z., Ma, J. (2015). An MCMC Based EM Algorithm for Mixtures of Gaussian Processes. In: Hu, X., Xia, Y., Zhang, Y., Zhao, D. (eds) Advances in Neural Networks – ISNN 2015. ISNN 2015. Lecture Notes in Computer Science(), vol 9377. Springer, Cham. https://doi.org/10.1007/978-3-319-25393-0_36
Download citation
DOI: https://doi.org/10.1007/978-3-319-25393-0_36
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-25392-3
Online ISBN: 978-3-319-25393-0
eBook Packages: Computer ScienceComputer Science (R0)