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Monotonic Gaussian Process Flows

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Peer-reviewed

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Conference Object

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Authors

Ustyuzhaninov, I 
Ek, CH 
Campbell, NDF 

Abstract

We propose a new framework for imposing monotonicity constraints in a Bayesian nonparametric setting based on numerical solutions of stochastic differential equations. We derive a nonparametric model of monotonic functions that allows for interpretable priors and principled quantification of hierarchical uncertainty. We demonstrate the efficacy of the proposed model by providing competitive results to other probabilistic monotonic models on a number of benchmark functions. In addition, we consider the utility of a monotonic random process as a part of a hierarchical probabilistic model; we examine the task of temporal alignment of time-series data where it is beneficial to use a monotonic random process in order to preserve the uncertainty in the temporal warpings.

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Journal Title

Proceedings of Machine Learning Research

Conference Name

Proceedings of the 23nd International Conference on Artificial Intelligence and Statistics (AISTATS) 2020

Journal ISSN

2640-3498
2640-3498

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All rights reserved