• Title/Summary/Keyword: Gaussian process regression

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Gaussian Process Regression and Its Application to Mathematical Finance (가우시언 과정의 회귀분석과 금융수학의 응용)

  • Lim, Hyuncheul
    • Journal for History of Mathematics
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    • v.35 no.1
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    • pp.1-18
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    • 2022
  • This paper presents a statistical machine learning method that generates the implied volatility surface under the rareness of the market data. We apply the practitioner's Black-Scholes model and Gaussian process regression method to construct a Bayesian inference system with observed volatilities as a prior information and estimate the posterior distribution of the unobserved volatilities. The variance instead of the volatility is the target of the estimation, and the radial basis function is applied to the mean and kernel function of the Gaussian process regression. We present two types of Gaussian process regression methods and empirically analyze them.

Adversarial Detection with Gaussian Process Regression-based Detector

  • Lee, Sangheon;Kim, Noo-ri;Cho, Youngwha;Choi, Jae-Young;Kim, Suntae;Kim, Jeong-Ah;Lee, Jee-Hyong
    • KSII Transactions on Internet and Information Systems (TIIS)
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    • v.13 no.8
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    • pp.4285-4299
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    • 2019
  • Adversarial attack is a technique that causes a malfunction of classification models by adding noise that cannot be distinguished by humans, which poses a threat to a deep learning model. In this paper, we propose an efficient method to detect adversarial images using Gaussian process regression. Existing deep learning-based adversarial detection methods require numerous adversarial images for their training. The proposed method overcomes this problem by performing classification based on the statistical features of adversarial images and clean images that are extracted by Gaussian process regression with a small number of images. This technique can determine whether the input image is an adversarial image by applying Gaussian process regression based on the intermediate output value of the classification model. Experimental results show that the proposed method achieves higher detection performance than the other deep learning-based adversarial detection methods for powerful attacks. In particular, the Gaussian process regression-based detector shows better detection performance than the baseline models for most attacks in the case with fewer adversarial examples.

Trajectory Estimation of Center of Plantar Foot Pressure Using Gaussian Process Regression (가우시안 프로세스 회귀를 이용한 족저압 중심 궤적 추정)

  • Choi, Yuna;Lee, Daehun;Choi, Youngjin
    • The Journal of Korea Robotics Society
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    • v.17 no.3
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    • pp.296-302
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    • 2022
  • This paper proposes a center of plantar foot pressure (CoP) trajectory estimation method based on Gaussian process regression, with the aim to show robust results regardless of the regions and numbers of FSRs of the insole sensor. This method can bring an interpolation between the measurement points inside the wearable insole sensor, and two experiments are conducted for performance evaluation. For this purpose, the input data used in the experiment are generated in three types (13 FSRs, 8 FSRs, 5 FSRs) according to the regions and numbers of FSRs. First, the estimation results of the CoP trajectory are compared using Gaussian process regression and weighted mean. As a result of each method, the estimation results of the two methods were similar in the case of 13 FSRs data. On the other hand, in the case of the 8 and 5 FSRs data, the weighted mean varies depending on the regions and numbers of FSRs, but the estimation results of Gaussian process regression showed similar results in spite of reducing the regions and numbers. Second, the estimation results of the CoP trajectory based on Gaussian process regression during several gait cycles are analyzed. In five gait cycles, the previous cycle and the current estimation results are compared, and it was confirmed that similar trajectories appeared in all. In this way, the method of estimating the CoP trajectory based on Gaussian process regression showed robust results, and stability was confirmed by yielding similar results in several gait cycles.

Screening and Clustering for Time-course Yeast Microarray Gene Expression Data using Gaussian Process Regression (효모 마이크로어레이 유전자 발현데이터에 대한 가우시안 과정 회귀를 이용한 유전자 선별 및 군집화)

  • Kim, Jaehee;Kim, Taehoun
    • The Korean Journal of Applied Statistics
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    • v.26 no.3
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    • pp.389-399
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    • 2013
  • This article introduces Gaussian process regression and shows its application with time-course microarray gene expression data. Gene screening for yeast cell cycle microarray expression data is accomplished with a ratio of log marginal likelihood that uses Gaussian process regression with a squared exponential covariance kernel function. Gaussian process regression fitting with each gene is done and shown with the nine top ranking genes. With the screened data the Gaussian model-based clustering is done and its silhouette values are calculated for cluster validity.

3D Shape Recovery from Image Focus using Gaussian Process Regression (가우시안 프로세스 회귀분석을 이용한 영상초점으로부터의 3차원 형상 재구성)

  • Mahmood, Muhammad Tariq;Choi, Young Kyu
    • Journal of the Semiconductor & Display Technology
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    • v.11 no.3
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    • pp.19-25
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    • 2012
  • The accuracy of Shape From Focus (SFF) technique depends on the quality of the focus measurements which are computed through a focus measure operator. In this paper, we introduce a new approach to estimate 3D shape of an object based on Gaussian process regression. First, initial depth is estimated by applying a conventional focus measure on image sequence and maximizing it in the optical direction. In second step, input feature vectors consisting of eginvalues are computed from 3D neighborhood around the initial depth. Finally, by utilizing these features, a latent function is developed through Gaussian process regression to estimate accurate depth. The proposed approach takes advantages of the multivariate statistical features and covariance function. The proposed method is tested by using image sequences of various objects. Experimental results demonstrate the efficacy of the proposed scheme.

Gaussian Processes for Source Separation: Pseudo-likelihood Maximization (유사-가능도 최대화를 통한 가우시안 프로세스 기반 음원분리)

  • Park, Sun-Ho;Choi, Seung-Jin
    • Journal of KIISE:Software and Applications
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    • v.35 no.7
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    • pp.417-423
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    • 2008
  • In this paper we present a probabilistic method for source separation in the case here each source has a certain temporal structure. We tackle the problem of source separation by maximum pseudo-likelihood estimation, representing the latent function which characterizes the temporal structure of each source by a random process with a Gaussian prior. The resulting pseudo-likelihood of the data is Gaussian, determined by a mixing matrix as well as by the predictive mean and covariance matrix that can easily be computed by Gaussian process (GP) regression. Gradient-based optimization is applied to estimate the demixing matrix through maximizing the log-pseudo-likelihood of the data. umerical experiments confirm the useful behavior of our method, compared to existing source separation methods.

Gaussian process approach for dose mapping in radiation fields

  • Khuwaileh, Bassam A.;Metwally, Walid A.
    • Nuclear Engineering and Technology
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    • v.52 no.8
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    • pp.1807-1816
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    • 2020
  • In this work, a Gaussian Process (Kriging) approach is proposed to provide efficient dose mapping for complex radiation fields using limited number of responses. Given a few response measurements (or simulation data points), the proposed approach can help the analyst in completing a map of the radiation dose field with a 95% confidence interval, efficiently. Two case studies are used to validate the proposed approach. The First case study is based on experimental dose measurements to build the dose map in a radiation field induced by a D-D neutron generator. The second, is a simulation case study where the proposed approach is used to mimic Monte Carlo dose predictions in the radiation field using a limited number of MCNP simulations. Given the low computational cost of constructing Gaussian Process (GP) models, results indicate that the GP model can reasonably map the dose in the radiation field given a limited number of data measurements. Both case studies are performed on the nuclear engineering radiation laboratories at the University of Sharjah.

Model selection algorithm in Gaussian process regression for computer experiments

  • Lee, Youngsaeng;Park, Jeong-Soo
    • Communications for Statistical Applications and Methods
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    • v.24 no.4
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    • pp.383-396
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    • 2017
  • The model in our approach assumes that computer responses are a realization of a Gaussian processes superimposed on a regression model called a Gaussian process regression model (GPRM). Selecting a subset of variables or building a good reduced model in classical regression is an important process to identify variables influential to responses and for further analysis such as prediction or classification. One reason to select some variables in the prediction aspect is to prevent the over-fitting or under-fitting to data. The same reasoning and approach can be applicable to GPRM. However, only a few works on the variable selection in GPRM were done. In this paper, we propose a new algorithm to build a good prediction model among some GPRMs. It is a post-work of the algorithm that includes the Welch method suggested by previous researchers. The proposed algorithms select some non-zero regression coefficients (${\beta}^{\prime}s$) using forward and backward methods along with the Lasso guided approach. During this process, the fixed were covariance parameters (${\theta}^{\prime}s$) that were pre-selected by the Welch algorithm. We illustrated the superiority of our proposed models over the Welch method and non-selection models using four test functions and one real data example. Future extensions are also discussed.

Predicting the Young's modulus of frozen sand using machine learning approaches: State-of-the-art review

  • Reza Sarkhani Benemaran;Mahzad Esmaeili-Falak
    • Geomechanics and Engineering
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    • v.34 no.5
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    • pp.507-527
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    • 2023
  • Accurately estimation of the geo-mechanical parameters in Artificial Ground Freezing (AGF) is a most important scientific topic in soil improvement and geotechnical engineering. In order for this, one way is using classical and conventional constitutive models based on different theories like critical state theory, Hooke's law, and so on, which are time-consuming, costly, and troublous. The others are the application of artificial intelligence (AI) techniques to predict considered parameters and behaviors accurately. This study presents a comprehensive data-mining-based model for predicting the Young's Modulus of frozen sand under the triaxial test. For this aim, several single and hybrid models were considered including additive regression, bagging, M5-Rules, M5P, random forests (RF), support vector regression (SVR), locally weighted linear (LWL), gaussian process regression (GPR), and multi-layered perceptron neural network (MLP). In the present study, cell pressure, strain rate, temperature, time, and strain were considered as the input variables, where the Young's Modulus was recognized as target. The results showed that all selected single and hybrid predicting models have acceptable agreement with measured experimental results. Especially, hybrid Additive Regression-Gaussian Process Regression and Bagging-Gaussian Process Regression have the best accuracy based on Model performance assessment criteria.

Cloud Removal Using Gaussian Process Regression for Optical Image Reconstruction

  • Park, Soyeon;Park, No-Wook
    • Korean Journal of Remote Sensing
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    • v.38 no.4
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    • pp.327-341
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    • 2022
  • Cloud removal is often required to construct time-series sets of optical images for environmental monitoring. In regression-based cloud removal, the selection of an appropriate regression model and the impact analysis of the input images significantly affect the prediction performance. This study evaluates the potential of Gaussian process (GP) regression for cloud removal and also analyzes the effects of cloud-free optical images and spectral bands on prediction performance. Unlike other machine learning-based regression models, GP regression provides uncertainty information and automatically optimizes hyperparameters. An experiment using Sentinel-2 multi-spectral images was conducted for cloud removal in the two agricultural regions. The prediction performance of GP regression was compared with that of random forest (RF) regression. Various combinations of input images and multi-spectral bands were considered for quantitative evaluations. The experimental results showed that using multi-temporal images with multi-spectral bands as inputs achieved the best prediction accuracy. Highly correlated adjacent multi-spectral bands and temporally correlated multi-temporal images resulted in an improved prediction accuracy. The prediction performance of GP regression was significantly improved in predicting the near-infrared band compared to that of RF regression. Estimating the distribution function of input data in GP regression could reflect the variations in the considered spectral band with a broader range. In particular, GP regression was superior to RF regression for reproducing structural patterns at both sites in terms of structural similarity. In addition, uncertainty information provided by GP regression showed a reasonable similarity to prediction errors for some sub-areas, indicating that uncertainty estimates may be used to measure the prediction result quality. These findings suggest that GP regression could be beneficial for cloud removal and optical image reconstruction. In addition, the impact analysis results of the input images provide guidelines for selecting optimal images for regression-based cloud removal.