PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Tractable nonparametric Bayesian inference in Poisson processes with Gaussian process intensities
Ryan Adams, Iain Murray and David MacKay
Proceedings of the 26th International Conference on Machine Learning (ICML) 2009.


The inhomogeneous Poisson process is a point process that has varying intensity across its domain (usually time or space). For nonparametric Bayesian modeling, the Gaussian process is a useful way to place a prior distribution on this intensity. The combination of a Poisson process and GP is known as a Gaussian Cox process, or doubly-stochastic Poisson process. Likelihood-based inference in these models requires an intractable integral over an infinite-dimensional random function. In this paper we present the first approach to Gaussian Cox processes in which it is possible to perform inference without introducing approximations or finite-dimensional proxy distributions. We call our method the Sigmoidal Gaussian Cox Process, which uses a generative model for Poisson data to enable tractable inference via Markov chain Monte Carlo. We compare our methods to competing methods on synthetic data and apply it to several real-world data sets.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:5940
Deposited By:Iain Murray
Deposited On:08 March 2010