Shift-invariant grouped multi-task learning for Gaussian processes

  • Authors:
  • Yuyang Wang;Roni Khardon;Pavlos Protopapas

  • Affiliations:
  • Tufts University, Medford, MA;Tufts University, Medford, MA;Harvard-Smithsonian Center for Astrophysics, Cambridge, MA

  • Venue:
  • ECML PKDD'10 Proceedings of the 2010 European conference on Machine learning and knowledge discovery in databases: Part III
  • Year:
  • 2010

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Abstract

Multi-task learning leverages shared information among data sets to improve the learning performance of individual tasks. The paper applies this framework for data where each task is a phase-shifted periodic time series. In particular, we develop a novel Bayesian nonparametric model capturing a mixture of Gaussian processes where each task is a sum of a group-specific function and a component capturing individual variation, in addition to each task being phase shifted. We develop an efficient em algorithm to learn the parameters of the model. As a special case we obtain the Gaussian mixture model and EM algorithm for phased-shifted periodic time series. Experiments in regression, classification and class discovery demonstrate the performance of the proposed model using both synthetic data and real-world time series data from astrophysics. Our methods are particularly useful when the time series are sparsely and non-synchronously sampled.