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Structure Discovery in Nonparametric Regression through Compositional Kernel Search

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(2013)cite arxiv:1302.4922Comment: 9 pages, 7 figures, To appear in proceedings of the 2013 International Conference on Machine Learning.

Abstract

Despite its importance, choosing the structural form of the kernel in nonparametric regression remains a black art. We define a space of kernel structures which are built compositionally by adding and multiplying a small number of base kernels. We present a method for searching over this space of structures which mirrors the scientific discovery process. The learned structures can often decompose functions into interpretable components and enable long-range extrapolation on time-series datasets. Our structure search method outperforms many widely used kernels and kernel combination methods on a variety of prediction tasks.

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