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Parameter selection in Gaussian process interpolation: an empirical study of selection criteria

Abstract : This article revisits the fundamental problem of parameter selection for Gaussian process interpolation. By choosing the mean and the covariance functions of a Gaussian process within parametric families, the user obtains a family of Bayesian procedures to perform predictions about the unknown function, and must choose a member of the family that will hopefully provide good predictive performances. We base our study on the general concept of scoring rules, which provides an effective framework for building leave-one-out selection and validation criteria, and a notion of extended likelihood criteria based on an idea proposed by Fasshauer and co-authors in 2009, which makes it possible to recover standard selection criteria such as, for instance, the generalized cross-validation criterion. Under this setting, we empirically show on several test problems of the literature that the choice of an appropriate family of models is often more important than the choice of a particular selection criterion (e.g., the likelihood versus a leave-one-out selection criterion). Moreover, our numerical results show that the regularity parameter of a Matérn covariance can be selected effectively by most selection criteria.
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Preprints, Working Papers, ...
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https://hal-centralesupelec.archives-ouvertes.fr/hal-03285513
Contributor : Julien Bect Connect in order to contact the contributor
Submitted on : Thursday, November 10, 2022 - 10:05:49 AM
Last modification on : Wednesday, November 23, 2022 - 9:16:47 AM

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Distributed under a Creative Commons Attribution - NonCommercial - NoDerivatives 4.0 International License

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  • HAL Id : hal-03285513, version 3
  • ARXIV : 2107.06006

Citation

Sébastien Petit, Julien Bect, Paul Feliot, Emmanuel Vazquez. Parameter selection in Gaussian process interpolation: an empirical study of selection criteria. {date}. ⟨hal-03285513v3⟩

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