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Derivation of Output Correlation Inferences for Multi-Output (aka Multi-Task) Gaussian Process

Created by
  • Haebom

Author

Shuhei Watanabe

Outline

This paper presents a formulation of multi-task Gaussian Process (MTGP) for Bayesian Optimization (BO) considering dependencies between multiple outputs, along with a friendly derivation of its gradient. Gaussian Process (GP) is widely used in machine learning, but the formulation and gradient derivation of MTGP considering dependencies between multiple outputs are not fully understood in the existing literature. This paper aims to overcome this difficulty and help in understanding MTGP.

Takeaways, Limitations

Takeaways: Contributes to research and application in the field of Bayesian optimization by providing a clear and understandable explanation of the MTGP formulation and gradient derivation. Provides efficient modeling and optimization methods for multi-output problems.
Limitations: This paper focuses on the formulation and gradient derivation of MTGP, and does not present practical applications or experimental results on specific datasets. It lacks comparative analysis with various MTGP variants or other machine learning methods.
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