Beyond Intuition, a Framework for Applying GPs to Real-World Data

Kenza Tazi, Jihao Andreas Lin, Ross Viljoen, Alex Gardner, S. T. John, Hong Ge, Richard E Turner

Keywords: Gaussian Process, framework, real-world data

TL;DR: Stop using a squared exponential kernel for your GP baseline

Abstract:

Gaussian Processes (GPs) offer an attractive method for regression over small, structured and correlated datasets. However, their deployment is hindered by computational costs and limited guidelines on how to apply GPs beyond simple low-dimensional datasets. We propose a framework to identify the suitability of GPs to a given problem and how to set up a robust and well-specified GP model. The guidelines formalise the decisions of experienced GP practitioners, with an emphasis on kernel design and scaling options. The framework is then applied to a case study of glacier elevation change yielding more accurate results at test time.

Submission Number: 69