Opened 3 years ago
Closed 3 years ago
#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.
- 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.
- 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 3 years ago by gkronber
comment:2 Changed 3 years ago by gkronber
r13118: added hidden parameter to turn on/off scaling of input variables in Gaussian process models
comment:3 Changed 3 years ago by gkronber
r13119: added parameter for input scaling also to Gaussian process classification models
comment:4 Changed 3 years 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 3 years ago by gkronber
- Owner changed from gkronber to mkommend
- Status changed from accepted to reviewing
comment:6 Changed 3 years ago by mkommend
- Owner changed from mkommend to gkronber
- Status changed from reviewing to readytorelease
comment:7 Changed 3 years 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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This is also relevant for #2501 as we must assume that a regression model for the mean function expects unscaled inputs.