Gaussian Processes for Active Data Selection, Optimisation, Sequential Exploration and Quadrature

20 January 2011
16:00
Stephen Roberts
Abstract
This talk will focus on a family of Bayesian inference algorithms built around Gaussian processes. We firstly introduce an iterative Gaussian process for multi-sensor inference problems. Extensions to our algorithm allow us to tackle some of the decision problems faced in sensor networks, including observation scheduling. Along these lines, we also propose a general method of global optimisation, Gaussian process global optimisation (GPGO). This paradigm is extended to the Bayesian decision problem of sequential multi-scale observation selection. We show how the hyperparameters of our system can be marginalised by use of Bayesian quadrature and frame the selection of the positions of the hyperparameter samples required by Bayesian quadrature as a sequential decision problem, with the aim of minimising the uncertainty we possess about the values of the integrals we are approximating.
  • Differential Equations and Applications Seminar