Automatic relevance determination for Gaussian process regression with functional inputs

Damiano, Luis

Automatic relevance determination for Gaussian process regression with functional inputs

File

Damiano_iastate_0097E_20802.pdf (2.56 MB)

Date

2023-05

Authors

Damiano, Luis

Advisor

Niemi, Jarad

Caragea, Petruţa

Morris, Max D

Dutta, Somak

Qiu, Yumou

Department

Statistics

Abstract

We introduce the novel automatic dynamic relevance determination (ADRD) framework for Gaussian process regression with functional inputs, an adaptation of automatic relevance determination (ARD) priors for vector inputs. In this framework, relevance varies smoothly over the input index space resulting in smooth and parsimonious relevance profiles learned from data whose posterior can be inspected for scientific interpretation and used in downstream analyses. An ADRD model requires us to specify a weight function form that is appropriate for a given application. We explore two strategies to design the weights, namely setting up a parametric form and generating them via a basis expansion. First, we introduce the asymmetric double and squared exponential weight functions for unimodal, smoothly decaying predictive relevance profiles. Second, we present a general form for the basis expansion of the weights and explore, specifically, the Fourier, B-spline, and adaptive spline expansions. We establish an equivalence between the ADRD and ARD weights and propose an adaptation to permutation feature importance. Both motivate different exploratory tools to elicit a weight function form from data. We also discuss a fully Bayesian estimation framework via MCMC, including a set of weakly informative priors for the model parameters, as well as statistics for model validation. In two simulation studies, we show that a well specified model is able to recover the true weight function. Moreover, we present two applications to scientific data generated by an atmospheric radiative transfer computer model and a soil erosion computer model. We show empirically that, compared to ARD, ADRD generates smoother weight patterns and produces information useful for scientific interpretation and downstream analyses with a drastic reduction in the number of model parameters without compromising on prediction accuracy.