gp_loo: Model assessment and comparison

In gplite: General Purpose Gaussian Process Modelling

Model assessment and comparison

Description

Function gp_loo computes the approximate leave-one-out (LOO) cross-validation statistics for the given GP model with the current hyperparameters. Function gp_compare estimates the difference in the expected predictive accuracy of two or more GP models given their LOO statistics.

Usage

gp_loo(
  gp,
  x,
  y,
  quadrature = TRUE,
  quad_order = 11,
  draws = 4000,
  jitter = NULL,
  seed = NULL,
  ...
)

gp_compare(..., ref = NULL)

Arguments

gp	The gp model object to be fitted.
x	n-by-d matrix of input values (n is the number of observations and d the input dimension). Can also be a vector of length n if the model has only a single input.
y	Vector of n output (target) values.
quadrature	Whether to use deterministic Gauss-Hermite quadrature to estimate the required integrals. If FALSE, then Monte Carlo estimate is used.
quad_order	Order of the numerical quadrature (only applicable if quadrature=TRUE).
draws	Number of posterior draws to estimate the required integrals (only applicable if quadrature=FALSE).
jitter	Magnitude of diagonal jitter for covariance matrices for numerical stability. Default is 1e-6.
seed	Random seed.
...	For gp_compare, LOO statistics for the models to compare. For gp_loo, possible additional data that is required for LOO predictions (for example, argument trials in case of binomial likelihood).
ref	Index of the model against which to compare the other models (pairwise comparison for LOO difference). If not given, then the model with the best LOO is used as the reference for comparisons.

Value

gp_loo returns a list with LOO statistics. gp_compare returns a matrix with comparison statistics (LOO differences and stardard errors in the estimates).

References

Vehtari A., Mononen T., Tolvanen V., Sivula T. and Winther O. (2016). Bayesian Leave-One-Out Cross-Validation Approximations for Gaussian Latent Variable Models. Journal of Machine Learning Research 17(103):1-38.

Examples

# Generate some toy data
set.seed(32004)
n <- 50
sigma <- 0.1
x <- rnorm(n)
ycont <- sin(3 * x) * exp(-abs(x)) + rnorm(n) * sigma
y <- rep(0, n)
y[ycont > 0] <- 1
trials <- rep(1, n)

# Set up two models
gp1 <- gp_init(cf_sexp(), lik_binomial())
gp2 <- gp_init(cf_matern32(), lik_binomial())

# Optimize
gp1 <- gp_optim(gp1, x, y, trials = trials)
gp2 <- gp_optim(gp2, x, y, trials = trials)

# Compare
loo1 <- gp_loo(gp1, x, y, trials = trials)
loo2 <- gp_loo(gp2, x, y, trials = trials)
gp_compare(loo1, loo2)

gplite documentation built on Aug. 24, 2022, 9:07 a.m.