#2497 closed defect (done)

Improve scaling of inputs and optionally target values for the Gaussian process

Reported by: gkronber Owned by: gkronber
Priority: medium Milestone: HeuristicLab 3.3.13
Component: Algorithms.DataAnalysis Version: 3.3.12
Keywords: Cc:

Description

There are some issues related to scaling of data in the Gaussian process model.

  1. input features are always scaled to the range [0..1]. This has the effect that the period length in the periodic covariance function cannot be set to a natural value. Assume that we have a time series with daily observations where we want to model a weekly periodic signal. In this case it would be great if we could set the period = 7 in the periodic covariance function. However, because of scaling the correct value depends on minimum and maximum observed day.
  2. All hyper-parameters are initialized randomly using a log-uniform distribution. This is a good assumption for length scales if all input variables have been scaled to the same range. But for other hyper-parameters (esp. for hyper-parameters for mean functions) this initialization might not be ideal. Especially, for the constant mean function and for the noise hyper-parameter of the Gaussian likelihood it might be better to initialize these hyperparameters to the empirical mean and variance.

Change History (7)

comment:1 Changed 18 months ago by gkronber

This is also relevant for #2501 as we must assume that a regression model for the mean function expects unscaled inputs.

comment:2 Changed 18 months ago by gkronber

r13118: added hidden parameter to turn on/off scaling of input variables in Gaussian process models

comment:3 Changed 18 months ago by gkronber

r13119: added parameter for input scaling also to Gaussian process classification models

comment:4 Changed 18 months ago by gkronber

  • Milestone changed from HeuristicLab 4.0.x Backlog to HeuristicLab 3.3.13
  • Owner set to gkronber
  • Status changed from new to accepted

comment:5 Changed 18 months ago by gkronber

  • Owner changed from gkronber to mkommend
  • Status changed from accepted to reviewing

comment:6 Changed 18 months ago by mkommend

  • Owner changed from mkommend to gkronber
  • Status changed from reviewing to readytorelease

Reviewed r13118 & r13119.

comment:7 Changed 18 months ago by gkronber

  • Resolution set to done
  • Status changed from readytorelease to closed

r13147: merged r13118:13119 from trunk to stable

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