Tractable nonparametric Bayesian inference in Poisson processes with Gaussian process intensities

ABSTRACT

The inhomogeneous Poisson process is a point process that has varying intensity across its domain (usually time or space). For nonparametric Bayesian modeling, the Gaussian process is a useful way to place a prior distribution on this intensity. The combination of a Poisson process and GP is known as a Gaussian Cox process, or doubly-stochastic Poisson process. Likelihood-based inference in these models requires an intractable integral over an infinite-dimensional random function. In this paper we present the first approach to Gaussian Cox processes in which it is possible to perform inference without introducing approximations or finitedimensional proxy distributions. We call our method the Sigmoidal Gaussian Cox Process, which uses a generative model for Poisson data to enable tractable inference via Markov chain Monte Carlo. We compare our methods to competing methods on synthetic data and apply it to several real-world data sets.

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INDEX TERMS

Primary Classification:
  I. Computing Methodologies
  I.2 ARTIFICIAL INTELLIGENCE
      I.2.3 Deduction and Theorem Proving
          Subjects: Inference engines

Additional Classification:
  G. Mathematics of Computing
  G.3 PROBABILITY AND STATISTICS
      Subjects: Probabilistic algorithms (including Monte Carlo); Nonparametric statistics; Markov processes

  I. Computing Methodologies
  I.6 SIMULATION AND MODELING
      I.6.4 Model Validation and Analysis
      I.6.5 Model Development
          Subjects: Modeling methodologies

General Terms:
Algorithms, Design, Performance, Theory