Heterogeneous Multi-output Gaussian Process Prediction

Part of Advances in Neural Information Processing Systems 31 (NeurIPS 2018)

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Pablo Moreno-Muñoz, Antonio Artés, Mauricio Álvarez


<p>We present a novel extension of multi-output Gaussian processes for handling heterogeneous outputs. We assume that each output has its own likelihood function and use a vector-valued Gaussian process prior to jointly model the parameters in all likelihoods as latent functions. Our multi-output Gaussian process uses a covariance function with a linear model of coregionalisation form. Assuming conditional independence across the underlying latent functions together with an inducing variable framework, we are able to obtain tractable variational bounds amenable to stochastic variational inference. We illustrate the performance of the model on synthetic data and two real datasets: a human behavioral study and a demographic high-dimensional dataset.</p>