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Robust Gaussian process regression based on iterative trimming.

Project description

robustgp

Robust Gaussian Process Regression Based on Iterative Trimming (ITGP)

The Gaussian process (GP) regression can be severely biased when the data are contaminated by outliers. ITGP is a new robust GP regression algorithm that iteratively trims the most extreme data points. While the new algorithm retains the attractive properties of the standard GP as a nonparametric and flexible regression method, it can greatly improve the model accuracy for contaminated data even in the presence of extreme or abundant outliers. It is also easier to implement compared with previous robust GP variants that rely on approximate inference. Applied to a wide range of experiments with different contamination levels, the proposed method significantly outperforms the standard GP and the popular robust GP variant with the Student-t likelihood in most test cases. In addition, as a practical example in the astrophysical study, we show that this method can precisely determine the main-sequence ridge line in the color-magnitude diagram of star clusters.

Install

pip install robustgp

Dependency:

Quick start

One can start with examples in this notebook.

Usage

from robustgp import ITGP

# train ITGP
res = ITGP(X, Y, alpha1=0.5, alpha2=0.975, nsh=2, ncc=2, nrw=1)
gp, consistency = res.gp, res.consistency

# make prediction
y_avg, y_var = gp.predict(x_new)
y_var *= consistency

Here gp is a GPy.core.GP object, whose usage is further illustrated here.

References

License

The MIT License

Project details


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