Pavel Erofeev edited GPR.tex  over 9 years ago

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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 \textit{test set}, $D_{test} =\left\{\left(\mathbf{x}_j, y_j = f(\mathbf{x}_j)\right)\middle| j = \overline{1, N_*}\right\}$,  \begin{equation}  \label{eq:ApproxError} \label{eq:approx_error}  \varepsilon\left(\hat{f} \middle| 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.