Fast Gaussian Process Methods for Point Process Intensity Estimation
author:
John Cunningham,
Department of Electrical Engineering, Stanford University
Description
Point processes are difficult to analyze because they provide only a sparse and noisy observation of the intensity function driving the process. Gaussian Processes offer an attractive theoretical framework by which to infer optimal estimates of these underlying intensity functions. The result of this inference is a continuous function defined across time that is typically more amenable to analytical efforts. However, a naive implementation of this intensity estimation will become computationally infeasible in any problem of reasonable size, both in memory and run-time requirements. We demonstrate problem specific methods for a class of renewal processes that eliminate the memory burden and reduce the solve time by orders of magnitude.
You might be experiencing some problems with Your Video player.
| Slides | |
| 0:00 | Fast Gaussian Process Methods for Point Process Intensity Estimation |
| 0:09 | Outline |
| 0:50 | Outline - Introduction |
| 0:51 | Introduction - 1 |
| 1:19 | Introduction - 2 |
| 1:29 | Introduction - 3 |
| 1:43 | Introduction - 4 |
| 1:57 | Introduction - 5 |
| 2:35 | Outline - Problem Statement & Specific Implementation |
| 2:37 | Problem Statement |
| 3:27 | Specific Implementation - 1 |
| 4:19 | Specific Implementation - 2 |
| 5:32 | Specific Implementation - 3 |
| 6:20 | Outline - Algorithmic Solution |
| 6:27 | Algorithmic Solution (1/3) – MAP Estimation |
| 9:47 | Algorithmic Solution (2/3) – MAP Estimation |
| 11:01 | Algorithmic Solution (3/3) – Model Selection |
| 13:11 | Outline - Results |
| 13:21 | Results - 1 |
| 14:12 | Results - 2 |
| 15:51 | Outline - Generalizing to Other Problems & Conclusion |
| 15:54 | Generalizing This Result |
| 17:02 | Conclusion |
| 18:07 | - Questions |
| 19:08 | - Questions |
| 20:14 | - Questions |
Lecture rating
| People found this lecture: | ||
| Worth seeing | ||
| because it is: | ||
| Valuable and informative | ||
| Well presented | ||
| Easily understandable | ||
| Acceptably recorded | ||
| You need to login to cast your vote. | ||
Report a problem or upload files
If you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
SEE ALSO:
Link this page
Would you like to put a link to this lecture on your homepage?Go ahead! Copy the HTML snippet !




