Python implementation for the paper "Collaborative Multi-Output Gaussian Processes for Collections of Sparse Multivariate Time Series".

Here is an example to illustrate how to train Collaborative Multi-Output Gaussian Processes (COGPs) given a collection of sparse multivariate time series, and make predictions.

We first create an instance of MultiOutputGP. In this example, there are three channels which are assumed to be generated by two latent Gaussian processes.

from elbo_pqn import MultiOutputGP
mogp = MultiOutputGP(n_channels=3, n_latent_gps=2)

For multi-output GPs, we consider several schemes to regularize the combination weight matrix with size n_channels by n_latent_gps. We can pass the w_reg_group argment into MultiOutputGP to specify the regularization option. Four options are available:

• 'none': no regularization.
• 'individual': L1 regularized over each individual entries.
• 'row': group lasso with each row as a group.
• 'column': group lasso with each column as a group.

For w_reg_group='individual', an extra argument w_reg specifies the regularization strength. The smaller the value of w_reg is the sparser the combination weight matrix would be. On the other hand, for 'row' and 'column', an extra argument w_reg specifies the regularization strength. The larger the value of w_reg is the sparser the combination weight matrix would be.

Here is an example that regularizes each column as a group:

mogp = MultiOutputGP(n_channels=3, n_latent_gps=2, n_inducing_points=20,
                     w_reg_group='column', w_reg=1.5)

Given the training data train_data in the form of a list of three tuples, each of which contains two numpy vectors (xi, yi) as the time series for the i-th channel. The data structure train_ts contains the hyperparameters to be trained using mogp.train().

train_ts = mogp.gen_collection(train_data)
mogp.train(train_ts, maxiter=50)

For a test time series (test_obs_x, test_obs_y), where test_obs_x contains three numpy vectors corresponds to the time points in each channel, and the test_obs_y that contains three numpy vectors stores the corresponding observed values. The numpy vector test_mis_x is a numpy vector that stores the time points to compute the predictive Gaussians over. The predictive Gaussian mean and covariance matrix are post_mean and post_cov respectively.

test_obs_ts = TimeSeries(test_obs_x, test_obs_y, mogp.shared)
post_mean, post_cov = mogp.predictive_gaussian(test_obs_ts, test_mis_x)

MIT

The development of this code was supported by the National Science Foundation through award # IIS-1350522.