Automatic Model Selection of the Mixtures of Gaussian Processes for Regression
For the learning of mixtures of Gaussian processes, model selection is an important but difficult problem. In this paper, we develop an automatic model selection algorithm for mixtures of Gaussian processes in the light of the reversible jump Markov chain Monte Carlo framework for Gaussian mixtures. In this way, the component number and the parameters are updated according the five types of random moves and model selection can be made automatically. The key idea is that the moves of component splitting or merging preserve the zeroth, first and second moments of the components so that the covariance parameters of the new components can be related to the origin ones. It is demonstrated by the simulation experiments that this automatic model selection algorithm is feasible and effective.
KeywordsMixtures of Gaussian processes Reversible jump MCMC Model selection Regression Split and merge moves
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