Probability

Gaussian Process Regression is one of the most elegant and theoretically rich algorithms in machine learning. With this post, I want to celebrate the mathematical beauty underlying Gaussian Processes. I will divide this post into two sections: theory and practice, accompanied by code examples. One of the key advantages of Gaussian Processes compared to Deep Learning methods is that they inherently provide interpretability (through confidence intervals and uncertainty estimation). They also offer excellent extrapolation properties, as we will see, and a way to incorporate knowledge about the structure of the data into the model. However, these benefits come at a cost. The algorithm has a wide variety of hyperparameters that are difficult to configure; for instance, kernel selection alone is challenging. Understanding and having a good intuition for the inner workings of this algorithm (and the data) is key to making the most of it. ...

This work is part of project done for a class in the MSc Applied Mathematics in the Autonomous University of Madrid. You can find the complete work here. In this manuscript, we explore the application of dimensionality reduction algorithms to real-world datasets within the context of functional data analysis. We establish several theoretical results related to Principal Component Analysis (PCA) for functional data and introduce a novel variation, Fourier PCA, inspired by Fourier theory. Additionally, we extend Kernel PCA to the functional data setting by proposing new kernels, adapted from well-known finite-dimensional counterparts, and provide theoretical foundations for their use. Finally, we evaluate and compare the performance of these methods. All code associated with this study is available in a GitHub repository. ...