A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
A new model for Gaussian process experts tackles scalability and uncertainty issues.
problem Scalability and excessive number of experts degrade predictive performance and increase uncertainty.
method Nested partitioning scheme infers the number of components, a generalised GP framework accommodates multiple response types, and a factorised exponential family structure handles multiple input types.
result Effectiveness demonstrated on synthetic data and an Alzheimer's challenge dataset.
We introduce a framework for analyzing transductive combination of Gaussian process (GP) experts, where independently trained GP experts are combined in a way that depends on test point location, in order to scale GPs to big data. The framework provides some theoretical justification for the generalized product of GP e…
Training Gaussian process-based models typically involves an O(N3) computational bottleneck due to inverting the covariance matrix. Popular methods for overcoming this matrix inversion problem cannot adequately model all types of latent functions, and are often not parallelizable. However, judicious choice of model…
We propose a practical and scalable Gaussian process model for large-scale nonlinear probabilistic regression. Our mixture-of-experts model is conceptually simple and hierarchically recombines computations for an overall approximation of a full Gaussian process. Closed-form and distributed computations allow for effici…
In this work, we propose a generalized product of experts (gPoE) framework for combining the predictions of multiple probabilistic models. We identify four desirable properties that are important for scalability, expressiveness and robustness, when learning and inferring with a combination of multiple models. Through a…
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also incorporate discrete-time expert opinions as an external source of information. For estimating the hidden drift it is crucial…
We present a novel approach for supervised domain adaptation that is based upon the probabilistic framework of Gaussian processes (GPs). Specifically, we introduce domain-specific GPs as local experts for facial expression classification from face images. The adaptation of the classifier is facilitated in probabilistic…
This paper investigates a financial market where stock returns depend on a hidden Gaussian mean reverting drift process. Information on the drift is obtained from returns and expert opinions in the form of noisy signals about the current state of the drift arriving at the jump times of a homogeneous Poisson process. Dr…
We develop a personalized real time risk scoring algorithm that provides timely and granular assessments for the clinical acuity of ward patients based on their (temporal) lab tests and vital signs. Heterogeneity of the patients population is captured via a hierarchical latent class model. The proposed algorithm aims t…
This paper investigates optimal portfolio strategies in a financial market where the drift of the stock returns is driven by an unobserved Gaussian mean reverting process. Information on this process is obtained from observing stock returns and expert opinions. The latter provide at discrete time points an unbiased est…
In order to scale standard Gaussian process (GP) regression to large-scale datasets, aggregation models employ factorized training process and then combine predictions from distributed experts. The state-of-the-art aggregation models, however, either provide inconsistent predictions or require time-consuming aggregatio…
Heteroscedastic regression considering the varying noises among observations has many applications in the fields like machine learning and statistics. Here we focus on the heteroscedastic Gaussian process (HGP) regression which integrates the latent function and the noise function together in a unified non-parametric B…
We present a learning-based system for rapid mass-scale material synthesis that is useful for novice and expert users alike. The user preferences are learned via Gaussian Process Regression and can be easily sampled for new recommendations. Typically, each recommendation takes 40-60 seconds to render with global illumi…
Machine learning algorithms frequently require careful tuning of model hyperparameters, regularization terms, and optimization parameters. Unfortunately, this tuning is often a "black art" that requires expert experience, unwritten rules of thumb, or sometimes brute-force search. Much more appealing is the idea of deve…