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Monotonic Gaussian Process Flow

by   Ivan Ustyuzhaninov, et al.

We propose a new framework of imposing monotonicity constraints in a Bayesian non-parametric setting. Our approach is based on numerical solutions of stochastic differential equations [Hedge, 2019]. We derive a non-parametric model of monotonic functions that allows for interpretable priors and principled quantification of hierarchical uncertainty. We demonstrate the efficacy of the proposed model by providing competitive results to other probabilistic models of monotonic functions on a number of benchmark functions. In addition, we consider the utility of a monotonic constraint in hierarchical probabilistic models, such as deep Gaussian processes. These typically suffer difficulties in modelling and propagating uncertainties throughout the hierarchy that can lead to hidden layers collapsing to point estimates. We address this by constraining hidden layers to be monotonic and present novel procedures for learning and inference that maintain uncertainty. We illustrate the capacity and versatility of the proposed framework on the task of temporal alignment of time-series data where it is beneficial to preserve the uncertainty in the temporal warpings.


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