Heterogeneous multi-task Gaussian Cox processes

Feng Zhou

doi:10.1007/s10994-023-06382-1

Heterogeneous multi-task Gaussian Cox processes

2023-09-08

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DOI：10.1007/s10994-023-06382-1

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This paper presents a novel extension of multi-task Gaussian Cox processes for modeling multiple heterogeneous correlated tasks jointly, e.g., classification and regression, via multi-output Gaussian processes (MOGP). A MOGP prior over the parameters of the dedicated likelihoods for classification, regression and point process tasks can facilitate sharing of information between heterogeneous tasks, while allowing for nonparametric parameter estimation. To circumvent the non-conjugate Bayesian inference in the MOGP modulated heterogeneous multi-task framework, we employ the data augmentation technique and derive a mean-field approximation to realize closed-form iterative updates for estimating model parameters. We demonstrate the performance and inference on both 1D synthetic data as well as 2D urban data of Vancouver.

Keywords:

Heterogeneous correlation

Multi-task learning

Cox process

Multi-output Gaussian processes

Conditionally conjugate

Heterogeneous multi-task Gaussian Cox processes

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