A scalable end-to-end Gaussian process adapter for irregularly sampled time series classification

June 14, 2016 ยท Declared Dead ยท ๐Ÿ› Neural Information Processing Systems

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Authors Steven Cheng-Xian Li, Benjamin Marlin arXiv ID 1606.04443 Category stat.ML: Machine Learning (Stat) Cross-listed cs.LG Citations 95 Venue Neural Information Processing Systems Last Checked 3 months ago
Abstract
We present a general framework for classification of sparse and irregularly-sampled time series. The properties of such time series can result in substantial uncertainty about the values of the underlying temporal processes, while making the data difficult to deal with using standard classification methods that assume fixed-dimensional feature spaces. To address these challenges, we propose an uncertainty-aware classification framework based on a special computational layer we refer to as the Gaussian process adapter that can connect irregularly sampled time series data to any black-box classifier learnable using gradient descent. We show how to scale up the required computations based on combining the structured kernel interpolation framework and the Lanczos approximation method, and how to discriminatively train the Gaussian process adapter in combination with a number of classifiers end-to-end using backpropagation.
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