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Aligned Multi-Task Gaussian Process
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Robotics, Perception and Learning, RPL.ORCID iD: 0000-0001-6315-2106
University of Cambridge, University of Cambridge.
University of Bath, University of Bath.
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Robotics, Perception and Learning, RPL.ORCID iD: 0000-0002-5750-9655
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Number of Authors: 62022 (English)In: Proceedings of the 25th International Conference on Artificial Intelligence and Statistics, AISTATS 2022, ML Research Press , 2022, p. 2970-2988Conference paper, Published paper (Refereed)
Abstract [en]

Multi-task learning requires accurate identification of the correlations between tasks. In real-world time-series, tasks are rarely perfectly temporally aligned; traditional multitask models do not account for this and subsequent errors in correlation estimation will result in poor predictive performance and uncertainty quantification. We introduce a method that automatically accounts for temporal misalignment in a unified generative model that improves predictive performance. Our method uses Gaussian processes (GPs) to model the correlations both within and between the tasks. Building on the previous work by Kazlauskaite et al. (2019), we include a separate monotonic warp of the input data to model temporal misalignment. In contrast to previous work, we formulate a lower bound that accounts for uncertainty in both the estimates of the warping process and the underlying functions. Also, our new take on a monotonic stochastic process, with efficient path-wise sampling for the warp functions, allows us to perform full Bayesian inference in the model rather than MAP estimates. Missing data experiments, on synthetic and real time-series, demonstrate the advantages of accounting for misalignments (vs standard unaligned method) as well as modelling the uncertainty in the warping process (vs baseline MAP alignment approach).

Place, publisher, year, edition, pages
ML Research Press , 2022. p. 2970-2988
Series
Proceedings of Machine Learning Research, ISSN 26403498
National Category
Probability Theory and Statistics Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-331672ISI: 000828072703003Scopus ID: 2-s2.0-85163135661OAI: oai:DiVA.org:kth-331672DiVA, id: diva2:1782414
Conference
25th International Conference on Artificial Intelligence and Statistics, AISTATS 2022, Virtual, Online, Spain, Mar 28 2022 - Mar 30 2022
Note

QC 20230713

Available from: 2023-07-13 Created: 2023-07-13 Last updated: 2023-08-24Bibliographically approved

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Mikheeva, OlgaKjellström, Hedvig

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