Multi-View Deep Gaussian Processes for Supervised Learning

Multi-view learning is a widely studied topic in machine learning, which considers learning with multiple views of samples to improve the prediction performance. Even though some approaches have sprung up recently, it is still challenging to jointly explore information contained in different views. Multi-view deep Gaussian processes have shown strong advantages in unsupervised representation learning. However, they are limited when dealing with labeled multi-view data for supervised learning, and ignore the application potential of uncertainty estimation. In this paper, we propose a supervised multi-view deep Gaussian process model (named SupMvDGP), which uses the label of the views to further improve the performance, and takes the quantitative uncertainty estimation as a supplement to assist humans to make better use of prediction. According to the diversity of views, the SupMvDGP can establish asymmetric depth structure to better model different views, so as to make full use of the property of each view. We provide a variational inference method to effectively solve the complex model. Finally, we conduct comprehensive comparative experiments on multiple real world datasets to evaluate the performance of SupMvDGP. The experimental results show that the SupMvDGP achieves the state-of-the-art results in multiple tasks, which verifies the effectiveness and superiority of the proposed approach. Meanwhile, we provide a case study to show that the SupMvDGP has the ability to provide uncertainty estimation than alternative deep models, which can alert people to better treat the prediction results in high-risk applications.