Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Fast nonparametric clustering of structured time-series
AU - Hensman, James
AU - Rattray, Magnus
AU - Lawrence, Neil D.
PY - 2015/2/1
Y1 - 2015/2/1
N2 - In this publication, we combine two Bayesian nonparametric models: the Gaussian Process (GP) and the Dirichlet Process (DP). Our innovation in the GP model is to introduce a variation on the GP prior which enables us to model structured time-series data, i.e., data containing groups where we wish to model inter- and intra-group variability. Our innovation in the DP model is an implementation of a new fast collapsed variational inference procedure which enables us to optimize our variational approximation significantly faster than standard VB approaches. In a biological time series application we show how our model better captures salient features of the data, leading to better consistency with existing biological classifications, while the associated inference algorithm provides a significant speed-up over EM-based variational inference.
AB - In this publication, we combine two Bayesian nonparametric models: the Gaussian Process (GP) and the Dirichlet Process (DP). Our innovation in the GP model is to introduce a variation on the GP prior which enables us to model structured time-series data, i.e., data containing groups where we wish to model inter- and intra-group variability. Our innovation in the DP model is an implementation of a new fast collapsed variational inference procedure which enables us to optimize our variational approximation significantly faster than standard VB approaches. In a biological time series application we show how our model better captures salient features of the data, leading to better consistency with existing biological classifications, while the associated inference algorithm provides a significant speed-up over EM-based variational inference.
KW - Gaussian processes
KW - Data models
KW - Time series analysis
KW - Biological system modeling
KW - Computational modeling
KW - Optimization
KW - Vectors
U2 - 10.1109/TPAMI.2014.2318711
DO - 10.1109/TPAMI.2014.2318711
M3 - Journal article
AN - SCOPUS:84920982448
VL - 37
SP - 383
EP - 393
JO - IEEE Transactions on Pattern Analysis and Machine Intelligence
JF - IEEE Transactions on Pattern Analysis and Machine Intelligence
SN - 0162-8828
IS - 2
M1 - 6802369
ER -