Structure Discovery in Nonparametric Regression through Compositional Kernel Search
; Proceedings of the 30th International Conference on Machine Learning, PMLR 28(3):1166-1174, 2013.
Despite its importance, choosing the structural form of the kernel in nonparametric regression remains a black art. We define a space of kernel structures which are built compositionally by adding and multiplying a small number of base kernels. We present a method for searching over this space of structures which mirrors the scientific discovery process. The learned structures can often decompose functions into interpretable components and enable long-range extrapolation on time-series datasets. Our structure search method outperforms many widely used kernels and kernel combination methods on a variety of prediction tasks.