Gaussian Process Regression Models 2

Gaussian Process Regression is a powerful and flexible non-parametric Bayesian approach used for regression tasks. It provides a probabilistic framework to predict values and quantify uncertainty in predictions.

Here's a brief overview:

1. Basics:

   • GPR is based on the concept of Gaussian processes, where a Gaussian process (GP) is a collection of random variables, any finite number of which have a joint Gaussian distribution.

   • It's characterized by a mean function and a covariance function (kernel).

2. Key Components:

   • Mean Function (m(x)): Represents the expected value of the function at a given point x. It's often assumed to be zero for simplicity.

   • Covariance Function (k(x, x')): Describes the covariance (or similarity) between pairs of input points. Common kernels include the squared exponential (RBF) kernel and the Matérn kernel.

3. Model:

   • Given a set of training data, GPR defines a joint Gaussian distribution over the observed data and the function values at new test points.

   • The predictive distribution for new test points is derived by conditioning the joint Gaussian distribution on the observed data.

4. Advantages:

   • Flexibility: Can model complex functions without explicitly specifying a functional form.

   • Uncertainty Quantification: Provides a measure of uncertainty in predictions.

   • Non-parametric: Does not require specifying the number of parameters in advance.

5. Disadvantages:

   • Computationally Intensive: Requires inversion of the covariance matrix, which can be expensive for large datasets.

   • Choice of Kernel: Performance depends on the choice of the covariance function and its hyperparameters.

% Load your data
data = readmatrix('path_to_your_data.csv');
x = data(:, 1); % First column as X
y = data(:, 2); % Second column as Y

% Fit the Gaussian Process Regression model
gprMdl = fitrgp(x, y, 'KernelFunction', 'squaredexponential', 'BasisFunction', 'constant', 'FitMethod', 'exact', 'PredictMethod', 'exact');

% Make predictions
x_pred = linspace(min(x), max(x), 1000)'; % Generate 1000 points for prediction
[y_pred, y_sd, y_int] = predict(gprMdl, x_pred);

% Plot the original data and predictions
figure;
plot(x, y, 'r.', 'MarkerSize', 10); % Original data
hold on;
plot(x_pred, y_pred, 'b-', 'LineWidth', 1.5); % Predictions
fill([x_pred; flipud(x_pred)], [y_pred - 1.96*y_sd; flipud(y_pred + 1.96*y_sd)], 'k', 'FaceAlpha', 0.2, 'EdgeColor', 'none'); % 95% confidence interval
hold off;
xlabel('X');
ylabel('Y');
title('Gaussian Process Regression');
legend('Original Data', 'Predictions', '95% Confidence Interval');
grid on;

This code demonstrates how to use GPR to model data and make predictions. Y