Clustering time series using Gaussian processes and variational Bayes.
User guide and tutorials are available via the included notebooks.
Currently implemented models are
- MOG - Mixture of Gaussians
- MOHGP - Mixtures of Hierarchical Gaussian processes
- OMGP - Overlapping mixtures of Gaussian processes
The underlying algorithm is based on the 2012 NIPS paper:
http://books.nips.cc/papers/files/nips25/NIPS2012_1314.pdf
@article{hensman2012fast,
title={Fast variational inference in the conjugate exponential family},
author={Hensman, James and Rattray, Magnus and Lawrence, Neil D},
journal={Advances in Neural Information Processing Systems},
year={2012}
}The code also implements clustering of Hierachical Gaussian Processes using that inference framework, detailed in the two following works:
http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=6802369
@article{hensman2014fast,
author={Hensman, J. and Rattray, M. and Lawrence, N.},
journal={Pattern Analysis and Machine Intelligence, IEEE Transactions on},
title={Fast nonparametric clustering of structured time-series},
year={2014},
volume={PP},
number={99},
keywords={Biological system modeling;Computational modeling;Data models;Gaussian processes;Optimization;Time series analysis},
doi={10.1109/TPAMI.2014.2318711},
ISSN={0162-8828}
}http://www.biomedcentral.com/1471-2105/14/252
@article{hensman2013hierarchical,
title={Hierarchical Bayesian modelling of gene expression time series across irregularly sampled replicates and clusters},
author={Hensman, James and Lawrence, Neil D and Rattray, Magnus},
journal={BMC bioinformatics},
volume={14},
number={1},
pages={1--12},
year={2013},
publisher={BioMed Central}
}Additionally Overlapping Mixtures of Gaussian Processes model is implemented (using the variational methods described in the above), which was published in this paper:
@article{Lazaro-Gredilla2012,
title = {{Overlapping Mixtures of Gaussian Processes for the data association problem}},
author = {L{\'{a}}zaro-Gredilla, Miguel and {Van Vaerenbergh}, Steven and Lawrence, Neil D.},
doi = {10.1016/j.patcog.2011.10.004},
journal = {Pattern Recognition},
month = {apr},
number = {4},
pages = {1386--1395},
url = {},
volume = {45},
year = {2012}
}This work depends on the GPy project, as well as the numpy/scipy stack. matplotlib is optional for plotting.
I've tested the demos with GPy v0.8, but it should work with later versions also.
- James Hensman
- Valentine Svensson
- Max Zwiessele