Confidence of Gaussian Processes

Laura Ruusmann
Machine learning is a field in computer science that provides computer systems with the ability to learn independently. Machine learning methods are used for both descriptive and predictive purposes. When a machine learning model is used to predict a real valued number it is called regression. In practice, it is often important in regression to take into account that false predictions might have severe consequences. To avoid such false predictions, it is helpful if the model is able to rate how accurate its prediction is. An example of this is for the model to provide an interval where it predicts the true value with 95% certainty. This approach is unique to Gaussian process regression model and this
interval is called confidence interval. It is important that the model rates itself accurately and not overly confidently.
Evaluating confidence of machine learning models is important since software solutions equipped with machine learning algorithms are becoming more common and are being trusted with decisions that require more responsibility. This Bachelor’s thesis focuses on the confidence of Gaussian process regression models. This research examines how often are true values contained in the intervals where model predicts them with 95% probability.
Measurement results on 6651 models show that the majority of true labels are included in the confidence interval in less than 95% of cases, which means that Gaussian process regression model is overconfident. Mean ratio of true labels in confidence intervals per model was 0.93.
Main result of the research is that for 73% of the models the confidence interval
contained less true labels than was expected by the probability. It is noteworthy that for input values that had smallest or largest values the model was more often overconfident.

Confidence of Gaussian processes has not been researched before and this research provides evaluation on how reliable are Gaussian processes. The results of this thesis enable users of Gaussian processes models to consider overconfidence of models.
Graduation Thesis language
Graduation Thesis type
Bachelor - Computer Science
Meelis Kull
Defence year