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Learning Gaussian Process Kernels via Hierarchical Bayes

Anton Schwaighofer, Volker Tresp, and Kai Yu

Abstract

We present a novel method for learning with Gaussian process regression in a hierarchical Bayesian framework. In a first step, kernel matrices on a fixed set of input points are learned from data using a simple and efficient EM algorithm. This step is nonparametric, in that it does not require a parametric form of covariance function. In a second step, kernel functions are fitted to approximate the learned covariance matrix using a generalized Nystroem method, which results in a complex, data driven kernel. We evaluate our approach as a recommendation engine for art images, where the proposed hierarchical Bayesian method leads to excellent prediction performance.

Details

Publication typeInproceedings
Published inAdvances in Neural Information Processing Systems 17
PublisherMIT Press
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