gp_optim: Optimize hyperparameters of a GP model

In gplite: General Purpose Gaussian Process Modelling

Optimize hyperparameters of a GP model

Description

This function can be used to optimize the hyperparameters of the model to the maximum marginal likelihood (or maximum marginal posterior if priors are used), using Nelder-Mead algorithm.

Usage

gp_optim(
  gp,
  x,
  y,
  tol = 1e-04,
  tol_param = 0.1,
  maxiter = 500,
  restarts = 1,
  verbose = TRUE,
  warnings = TRUE,
  ...
)

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.
tol	Relative change in the objective function value (marginal log posterior) after which the optimization is terminated. This will be passed to the function stats::optim as a convergence criterion.
tol_param	After the optimizer (Nelder-Mead) has terminated, the found hyperparameter values will be checked for convergence within tolerance tol_param. More precisely, if we perturb any of the hyperparameters by the amount tol_param or -tol_param, then the resulting log posterior must be smaller than the value with the found hyperparameter values. If not, then the optimizer will automatically attempt a restart (see argument restarts). Note: tol_param will be applied for the logarithms of the parameters (e.g. log length-scale), not for the native parameter values.
maxiter	Maximum number of iterations.
restarts	Number of possible restarts during optimization. The Nelder-Mead iteration can sometimes terminate prematurely before a local optimum is found, and this argument can be used to specify how many times the optimization is allowed to restart from where it left when Nelder-Mead terminated. By setting restarts > 0, one can often find local optimum without having to call gp_optim several times. Note: usually there is no need to allow more than a few (say 1-3) restarts; if the optimization does not converge with a few restarts, then one usually must try to reduce argument tol in order to achieve convergence. If this does not help either, then the optimization problem is usually ill-conditioned somehow.
verbose	If TRUE, then some information about the progress of the optimization is printed to the console.
warnings	Whether to print out some potential warnings (such as maximum number of iterations reached) during the optimization.
...	Further arguments to be passed to gp_fit that are needed in the fitting process, for example trials in the case of binomial likelihood.

Value

An updated GP model object.

References

Rasmussen, C. E. and Williams, C. K. I. (2006). Gaussian processes for machine learning. MIT Press.

Examples

# Generate some toy data
set.seed(1242)
n <- 50
x <- matrix(rnorm(n * 3), nrow = n)
f <- sin(x[, 1]) + 0.5 * x[, 2]^2 + x[, 3]
y <- f + 0.5 * rnorm(n)
x <- data.frame(x1 = x[, 1], x2 = x[, 2], x3 = x[, 3])

# Basic usage
cf <- cf_sexp()
lik <- lik_gaussian()
gp <- gp_init(cf, lik)
gp <- gp_optim(gp, x, y)

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