A New Monte Carlo Based Algorithm for the Gaussian Process Classification Problem

Gaussian process is a very promising novel technology that has been applied to both the regression problem and the classification problem. While for the regression problem it yields simple exact solutions, this is not the case for the classification problem, because we encounter intractable integral...

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Veröffentlicht in:arXiv.org 2013-10
Hauptverfasser: Atiya, Amir F, Fayed, Hatem A, Abdel-Gawad, Ahmed H
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description Gaussian process is a very promising novel technology that has been applied to both the regression problem and the classification problem. While for the regression problem it yields simple exact solutions, this is not the case for the classification problem, because we encounter intractable integrals. In this paper we develop a new derivation that transforms the problem into that of evaluating the ratio of multivariate Gaussian orthant integrals. Moreover, we develop a new Monte Carlo procedure that evaluates these integrals. It is based on some aspects of bootstrap sampling and acceptancerejection. The proposed approach has beneficial properties compared to the existing Markov Chain Monte Carlo approach, such as simplicity, reliability, and speed.
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subjects Algorithms
Classification
Gaussian process
Integrals
Markov analysis
Markov chains
Monte Carlo simulation
title A New Monte Carlo Based Algorithm for the Gaussian Process Classification Problem
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