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Pavel Erofeev edited GPR.tex
over 9 years ago
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In multidimensional regression problem we assume that $f: \mathcal{X} \rightarrow \mathbb{R}, \mathcal{X}\subset\mathbb{R}^m$ is an unknow dependency function. We are given a noisy \textit{learning set} $D = \left\{\left(\mathbf{x}_i, y_i\right)\right\}$, where $y_i = f(\mathbf{x}_i) + \varepsilon_i, \mathbf{x}_i\in\mathcal{X}, \varepsilon_i\sim\mathcal{N}(0,\sigma^2)$ for $i=1,\dots,N$ sampled independently and identically distributed (i.i.d.) from some unknown distribution. The goal is to predict the response $\hat y^*$ on unseen test points $x^*$ with small mean-squared error under the data distribution, i.e. find such function $\hat{f}$ from specific class $\mathcal{C}$ that approximation error on test set $D_{test} = \bigl(X_*, Y_*\bigr) = \bigl\{\bigl(\mathbf{x}_j, y_j = f(\mathbf{x}_j)\bigr), j = \overline{1, N_*}\bigr\}$
\begin{equation}
\label{eq:ApproxError}
\varepsilon(\hat{f} \varepsilon\left(\hat{f} |
D_{test}) D_{test}\right) = \sqrt{\frac{1}{N_*} \sum\limits_{j = 1}^{N_*} \bigl(y_j - \hat{f}(\mathbf{x}_j)\bigr)^2}.
\end{equation}
is minimum.