Heterogeneous Multi-output Gaussian Process Prediction
We present a novel extension of multi-output Gaussian processes for handling heterogeneous outputs. We assume that each output has its own likelihood function and use a vector-valued Gaussian process prior to jointly model the parameters in all likelihoods as latent functions. Our multi-output Gaussian process uses a covariance function with a linear model of coregionalisation form. Assuming conditional independence across the underlying latent functions together with an inducing variable framework, we are able to obtain tractable variational bounds amenable to stochastic variational inference. We illustrate the performance of the model on synthetic data and two real datasets: a human behavioral study and a demographic high-dimensional dataset.
## [Updated after author feedback] Thank you for your feedback. I am happy to see the updated results and I hope you will add them to the paper.   While I agree with the other reviewers that the individual parts of the idea are not new, I find the combination elegant - a whole that is greater than the sum of its parts. I will, therefore, keep my score.  ## Summary The paper presents an extension to multi-output Gaussian processes enabling them to deal with heterogeneous outputs specified by different distributions, thus requiring different likelihood functions. By assuming that each output is completely specified by a distribution, the task is to infer the parameters of the distributions. Each parameter is modelled as the (non-linear transformation of the) output of a latent parameter function f, which itself is a linear combination of Q latent functions u. The main novelty is then to impose a multi-output GP prior on f, allowing the model to learn correlations between all parameters for all outputs. The authors introduce inducing variables and derive bounds allowing for stochastic variational inference, thus making the model applicable to large datasets.  ## Quality The paper is of high technical quality. Some of the derivations are left out or moved to the supplementary material. Is some sense this is justified, as they follow previous work which is adequately cited. However, a pointer to the gradient specification in the appendix would be appreciated.  The authors present four experiments for empirical analysis. I hate to be that reviewer asking for additional experiments, but I think it would be interesting to see how the model performs on a dataset with a large number of outputs. The maximum number of outputs evaluated is three, whereas a high-dimensional input problem is considered. A high-dimensional output problem is, in my opinion, at least as interesting. Using synthetic data as in the first problem would be just fine.  In table 1 and 2, I cannot find information on how the uncertainties were obtained. That should be included. Also, I am unsure what is meant by the "Global" column. How does the covariance function look here?  ## Clarity The paper is clear and well-written. The authors have clearly spent time on the writing and the structure. The main problem and contribution are both clearly stated.  I really like the paragraph headlines in section 2.2 - they provide a structured and easy to follow overview.  One suggestion is to consider making a sketch of the setup. With both latent functions and parameter functions, things quickly get complex with lots of subscripts and indices. Not that the text is unclear, it is just a complex problem to wrap your head around.  ## Originality Related work section is clear and concise. I could not find papers that have been missed.  To my knowledge, a multi-output GP model capable (in principle) of handling any type and number of outputs has not been proposed before.  ## Significance The paper addresses an important issue, namely learning correlations between heterogeneous outputs using GPs. The authors further make it scalable to large datasets by casting it in the stochastic variational inference framework. This method is an important contribution to the field of GPs.  ## Comments line 100: "there is no always" -> "there is not always". line 170: I believe the mean should be \mu_{u_q} instead of u_q? line 291: "slighty difference" -> "slight difference"