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Variational Inference for Infinite Mixtures of Gaussian Processes With Applications to Traffic Flow Prediction

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2 Author(s)
Shiliang Sun ; Dept. of Comput. Sci. & Technol., East China Normal Univ., Shanghai, China ; Xin Xu

This paper proposes a new variational approximation for infinite mixtures of Gaussian processes. As an extension of the single Gaussian process regression model, mixtures of Gaussian processes can characterize varying covariances or multimodal data and reduce the deficiency of the computationally cubic complexity of the single Gaussian process model. The infinite mixture of Gaussian processes further integrates a Dirichlet process prior to allowing the number of mixture components to automatically be determined from data. We use variational inference and a truncated stick-breaking representation of the Dirichlet process to approximate the posterior of hidden variables involved in the model. To fix the hyperparameters of the model, the variational EM algorithm and a greedy algorithm are employed. In addition to presenting the variational infinite-mixture model, we apply it to the problem of traffic flow prediction. Experiments with comparisons to other approaches show the effectiveness of the proposed model.

Published in:

Intelligent Transportation Systems, IEEE Transactions on  (Volume:12 ,  Issue: 2 )

Date of Publication:

June 2011

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