Gaussian process regression optimization

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H R
H R 2021년 9월 4일
댓글: H R 2022년 7월 26일
Can anyone please let me know how can I exclude some Kernel functions from being optimized in the following regression process?
In other words, I would like to only include 'matern32', 'matern52', and 'ardmatern52' in the optimization process to fit a Gaussian regression model to the data. When I use the following code lots of other unwanted kernel functions are also tested.
thisModel = fitrgp(X,Y,'ConstantSigma' ,true, 'Sigma',0.001,'BasisFunction','none',...
'OptimizeHyperparameters',{'KernelFunction','KernelScale','Standardize'}','HyperparameterOptimizationOptions',...
struct('Optimizer', 'bayesopt', 'MaxObjectiveEvaluations', 45,'AcquisitionFunctionName','expected-improvement-per-second-plus','ShowPlots', false, 'UseParallel', true));
Many thanks.
  댓글 수: 2
Hiro Yoshino
Hiro Yoshino 2022년 7월 26일
Seems like there are no ways to have subset of all the Kernels available.
how about running fitrgp(s) independently with the kernels fixed? You could use Parallel option too.
H R
H R 2022년 7월 26일
I actually found a way to do this. You basically need to define the optimizableVariable separatly and then feed it to OptimizeHyperparameters.

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