Taco de Wolff

Felipe Tobar, Elsa Cazelles, Taco de Wolff

We present a computationally-efficient strategy to initialise the hyperparameters of a Gaussian process (GP) avoiding the computation of the likelihood function. Our strategy can be used as a pretraining stage to find initial conditions for maximum-likelihood (ML) training, or as a standalone method to compute hyperparameters values to be plugged in directly into the GP model. Motivated by the fact that training a GP via ML is equivalent (on average) to minimising the KL-divergence between the true and learnt model, we set to explore different metrics/divergences among GPs that are computationally inexpensive and provide hyperparameter values that are close to those found via ML. In practice, we identify the GP hyperparameters by projecting the empirical covariance or (Fourier) power spectrum onto a parametric family, thus proposing and studying various measures of discrepancy operating on the temporal and frequency domains. Our contribution extends the variogram method developed by the geostatistics literature and, accordingly, it is referred to as the generalised variogram method (GVM). In addition to the theoretical presentation of GVM, we provide experimental validation in terms of accuracy, consistency with ML and computational complexity for different kernels using synthetic and real-world data.

Taco de Wolff, Alejandro Cuevas, Felipe Tobar

We present MOGPTK, a Python package for multi-channel data modelling using Gaussian processes (GP). The aim of this toolkit is to make multi-output GP (MOGP) models accessible to researchers, data scientists, and practitioners alike. MOGPTK uses a Python front-end, relies on the GPflow suite and is built on a TensorFlow back-end, thus enabling GPU-accelerated training. The toolkit facilitates implementing the entire pipeline of GP modelling, including data loading, parameter initialization, model learning, parameter interpretation, up to data imputation and extrapolation. MOGPTK implements the main multi-output covariance kernels from literature, as well as spectral-based parameter initialization strategies. The source code, tutorials and examples in the form of Jupyter notebooks, together with the API documentation, can be found at http://github.com/GAMES-UChile/mogptk

Taco de Wolff, Hugo Carrillo, Luis Martí et al.

The carbon pump of the world's ocean plays a vital role in the biosphere and climate of the earth, urging improved understanding of the functions and influences of the ocean for climate change analyses. State-of-the-art techniques are required to develop models that can capture the complexity of ocean currents and temperature flows. This work explores the benefits of using physics-informed neural networks (PINNs) for solving partial differential equations related to ocean modeling; such as the Burgers, wave, and advection-diffusion equations. We explore the trade-offs of using data vs. physical models in PINNs for solving partial differential equations. PINNs account for the deviation from physical laws in order to improve learning and generalization. We observed how the relative weight between the data and physical model in the loss function influence training results, where small data sets benefit more from the added physics information.

Taco de Wolff, Alejandro Cuevas, Felipe Tobar

In Financial Signal Processing, multiple time series such as financial indicators, stock prices and exchange rates are strongly coupled due to their dependence on the latent state of the market and therefore they are required to be jointly analysed. We focus on learning the relationships among financial time series by modelling them through a multi-output Gaussian process (MOGP) with expressive covariance functions. Learning these market dependencies among financial series is crucial for the imputation and prediction of financial observations. The proposed model is validated experimentally on two real-world financial datasets for which their correlations across channels are analysed. We compare our model against other MOGPs and the independent Gaussian process on real financial data.