Most likely heteroscedastic Gaussian process regression

This paper presents a novel Gaussian process (GP) approach to regression with inputdependent noise rates. We follow Goldberg et al.'s approach and model the noise variance using a second GP in addition to the GP governing the noise-free output value. In contrast to Goldberg et al., however, we do not use a Markov chain Monte Carlo method to approximate the posterior noise variance but a most likely noise approach. The resulting model is easy to implement and can directly be used in combination with various existing extensions of the standard GPs such as sparse approximations. Extensive experiments on both synthetic and real-world data, including a challenging perception problem in robotics, show the effectiveness of most likely heteroscedastic GP regression.

• Type: Conference
• Year: 2007
• Where: ICML
• Authors: Kristian Kersting, Christian Plagemann, Patrick Pfaff, Wolfram Burgard
• Keywords: Heteroscedastic Gp Regression, ICML 2007, Likely Noise Approach, Machine Learning, Posterior Noise Variance