In plain words: Gaussian processes fit smooth curves to data by tuning settings to make the observed points most likely, but this tuning often breaks down numerically. The study traces those failures and shows simple fixes to widely used free software make the fitting more reliable.
Abstract · Numerical issues in maximum likelihood parameter estimation for Gaussian process interpolation
This article investigates the origin of numerical issues in maximum likelihood parameter estimation for Gaussian process (GP) interpolation and investigates simple but effective strategies for improving commonly used open-source software implementations. This work targets a basic problem but a host of studies, particularly in the literature of Bayesian optimization, rely on off-the-shelf GP implementations. For the conclusions of these studies to be reliable and reproducible, robust GP implementations are critical.
Subhasish Basak, Sébastien Petit, Julien Bect, Emmanuel Vazquez
arXiv:2101.09747 · stat.ML, cs.LG, stat.CO · submitted Jan 24, 2021 · updated Jul 27, 2021
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