Friday, March 24, 2023
Lecture room B6
Institute for Exact Sciences
Sidlerstr. 5
CH-3012 Bern
14:30-15:30 h
On Gaussian Process Multiple-Fold Cross-Validation
In this talk I will give an overview of some recent results pertaining
to Gaussian Process multiple-fold cross-validation. In the first part, the
focus will be put on results from (arXiv:2101.03108, joint work with
Cedric Schärer), where block inversion is employed to efficiently
calculate multiple-fold cross-validation residuals and their
covariances. I will discuss implications of the resulting
cross-validation covariance structure on model diagnostics and also how
its knowledge helps clarifying some connections between
cross-validation-based parameter estimation and MLE.
In the second part I will focus on the impact of grouping the observations, referred to as
"fold design", on the estimation of kernel hyperparameters. In
particular, numerical results from a joint work with Athénaïs Gautier
and Cédric Travelletti on an inverse problem from geosciences will be
used to illustrate how the way of designing folds may affect the
estimation of a correlation length of interest.
