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Gaussian Process Conditional Density Estimation
Vincent Dutordoir · Hugh Salimbeni · James Hensman · Marc Deisenroth

Thu Dec 06 02:00 PM -- 04:00 PM (PST) @ Room 210 #86

Conditional Density Estimation (CDE) models deal with estimating conditional distributions. The conditions imposed on the distribution are the inputs of the model. CDE is a challenging task as there is a fundamental trade-off between model complexity, representational capacity and overfitting. In this work, we propose to extend the model's input with latent variables and use Gaussian processes (GP) to map this augmented input onto samples from the conditional distribution. Our Bayesian approach allows for the modeling of small datasets, but we also provide the machinery for it to be applied to big data using stochastic variational inference. Our approach can be used to model densities even in sparse data regions, and allows for sharing learned structure between conditions. We illustrate the effectiveness and wide-reaching applicability of our model on a variety of real-world problems, such as spatio-temporal density estimation of taxi drop-offs, non-Gaussian noise modeling, and few-shot learning on omniglot images.

Author Information

Vincent Dutordoir (PROWLER.io)
Hugh Salimbeni (Imperial College London)
James Hensman (PROWLER.io)
Marc Deisenroth (Imperial College London)

Professor Marc Deisenroth is the DeepMind Chair in Artificial Intelligence at University College London and the Deputy Director of UCL's Centre for Artificial Intelligence. He also holds a visiting faculty position at the University of Johannesburg and Imperial College London. Marc's research interests center around data-efficient machine learning, probabilistic modeling and autonomous decision making. Marc was Program Chair of EWRL 2012, Workshops Chair of RSS 2013, EXPO-Co-Chair of ICML 2020, and Tutorials Co-Chair of NeurIPS 2021. In 2019, Marc co-organized the Machine Learning Summer School in London. He received Paper Awards at ICRA 2014, ICCAS 2016, and ICML 2020. He is co-author of the book [Mathematics for Machine Learning](https://mml-book.github.io) published by Cambridge University Press (2020).

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