Practical Non-Stationary Graph Gaussian Processes
Organizations: Brevan Howard Centre for Financial Analysis, Imperial Business School · School of Informatics, University of Edinburgh
Abstract
Gaussian processes on graphs provide a principled framework for prediction and uncertainty estimation, but modelling heterogeneous networks often requires balancing flexibility against parameter complexity. Variability at a node may reflect useful signal that should propagate through the network, unreliable measurements whose influence should be suppressed, or a mixture of both. We introduce Variance-Coupled Gaussian Processes (VCGPs), which use a positive auxiliary signal to modulate graph interactions through a single learned coupling exponent. The exponent controls how strongly high-variability nodes propagate or attenuate information, while a cluster-wise extension accommodates different regimes within the same graph. Under stated structural assumptions, we characterize the unique stationary-rescaling point of the basic family, where correlations match those of a stationary graph kernel while node-dependent variances remain. Experiments on traffic, air-quality and weather datasets show competitive prediction and uncertainty estimation relative to stationary and per-node non-stationary baselines, with the largest gains on networks requiring multiple coupling regimes. Stationary correlations after variance rescaling remain sufficient on some data, and performance depends on the auxiliary signal and model selection.
Figures & tables
| Method | Specialisation | Precision / Kernel | Free parameters |
|---|---|---|---|
| stat | |||
| fem | |||
| het | |||
| lgamma | learned scalar | ||
| lgamma_block | piecewise , blocks | with | |
| lgamma_m15 | Matérn | same as lgamma |
| Dataset | method | NLL/pt | RMSE | recNLL/pt | cat |
|---|---|---|---|---|---|
| METR-LA | lgamma_fisher | VCGP | |||
| lgamma | VCGP | ||||
| het | VCGP | ||||
| lgamma_fisher_m15 | VCGP | ||||
| lgamma_m15 | VCGP | ||||
| fuglreg_lam1.0 | base |
| Dataset | stat | fem | het | leader | ||||
|---|---|---|---|---|---|---|---|---|
| METR-LA | CV | 1.2612 | 1.2537 | 1.2201 | 1.2018 | 0.0075 | 0.0336 | 0.0183 |
| PEMS-BAY | CV | 1.3594 | 1.3245 | 1.2767 | 1.2720 | 0.0349 | 0.0478 | 0.0047 |
| LAQN | site-type | 1.6013 | 1.5590 | 1.5234 | 1.4519 | 0.0423 | 0.0355 | 0.0715 |
| PM2.5 | annual std | 1.1329 | 1.1557 | 1.2403 | 0.9756 | -0.0228 | -0.0846 | 0.2647 |
| CA Weather | daily-var | 1.0436 | 1.0673 | 1.1661 | 0.8685 | -0.0237 | -0.0988 | 0.2976 |
Appendix figures & tables18 assets
Supplementary material from the paper’s appendix.
Appendix
| Member | Line | Edit |
|---|---|---|
| lgamma_block | 4 | replace with ; learn |
| lgamma_m15 | 5 | |
| lgamma_fisher | 6 | add to the loss ( , ) |
| Method | NLL/pt | RMSE | recNLL/pt | vs. leader | cat |
|---|---|---|---|---|---|
| lgamma_fisher | — | family (leader) | |||
| lgamma | family | ||||
| het | family | ||||
| lgamma_fisher_m15 | family | ||||
| lgamma_m15 | family | ||||
| fuglreg_lam1.0 | base |
| Method | NLL/pt | RMSE | recNLL/pt | vs. leader | cat |
|---|---|---|---|---|---|
| lgamma_fisher | — | family (leader) | |||
| het | family | ||||
| lgamma | family | ||||
| lgamma_fisher_m15 | family | ||||
| spectral_bic_lgamma_block | family | ||||
| lgamma_m15 | family |
| Method | NLL/pt | RMSE | recNLL/pt | vs. leader | cat |
|---|---|---|---|---|---|
| lgamma_m15 | — | family (leader) | |||
| lgamma | family | ||||
| lgamma_fisher_m15 | family | ||||
| lgamma_fisher | family | ||||
| spectral_bic_lgamma_block | family | ||||
| het | family |
| Method | NLL/pt | RMSE | recNLL/pt | cat | |
|---|---|---|---|---|---|
| lgamma_block_aug ( ) | — | family (ldr) | |||
| lgamma_block_aug ( ) | family | ||||
| lgamma_block_aug ( ) | family | ||||
| lgamma_block_aug ( ) | family | ||||
| lgamma_block_aug ( ) | family | ||||
| lgamma_block_aug ( ) | family |
| Method | NLL/pt | RMSE | recNLL/pt | cat | |
|---|---|---|---|---|---|
| lgamma_block_aug | — | family (ldr) | |||
| ps | base | ||||
| se_kriging | base | ||||
| spectral_bic_lgamma_block | family | ||||
| fuglreg_lam1.0 | base | ||||
| lgamma | family |
| Setting | (DE lg) | |||||||
|---|---|---|---|---|---|---|---|---|
| METR-LA | ||||||||
| PEMS-BAY | ||||||||
| LAQN | ||||||||
| PM2.5 | ||||||||
| CAW Jan | ||||||||
| CAW Feb |
| Month | Comparator | NLL/pt aug. | NLL/pt comp. | NLL/pt | RMSE aug. | RMSE comp. |
|---|---|---|---|---|---|---|
| Jan | ps | |||||
| Feb | ps | |||||
| Mar | ps | |||||
| Apr | se_kriging | |||||
| May | se_kriging | |||||
| Jun | spectral_bic_lgamma_block |
| Dataset | mean deg. | dense (ms) | sparse (ms) | speed-up | |
|---|---|---|---|---|---|
| LAQN | 52 | 4.9 | 0.1 | 0.1 | 1.2 |
| METR-LA | 207 | 12.7 | 71.2 | 1.0 | 72.9 |
| PEMS-BAY | 325 | 12.8 | 7.0 | 1.6 | 4.5 |
| CA Weather | 649 | 12.2 | 26.5 | 2.7 | 9.7 |
| PM2.5 | 988 | 10.1 | 47.2 | 4.5 | 10.4 |
| Dataset | Partition | |||||||
|---|---|---|---|---|---|---|---|---|
| LAQN | spectral | 1.4855 | 1.5011 | 1.5559 | 2.1434 | 1.5386 | — | — |
| PM2.5 ( std) | augmented ( ) | 1.0803 | — | — | 1.0597 | — | 1.0078 | 0.9756 |
| CA Weather | augmented ( ) | 0.9040 | — | — | 0.8866 | — | 0.8685 | 0.9081 |
| Dataset | honest NLL/pt | RMSE | oracle | gap | versus baselines |
|---|---|---|---|---|---|
| PM2.5 (20 seeds) | beats all ( fuglreg , m15 ) | ||||
| CA Weather (12 months) | ties ps ; beats the rest | ||||
| LAQN (20 seeds) | below the fixed member lgamma | ||||
| PEMS-BAY (20 seeds) | below the fixed member het | ||||
| METR-LA (20 seeds) | below the fixed member het |
| Auxiliary | best validation NLL/pt | selected |
|---|---|---|
| std (external) | ||
| spatial_k8 (signal-derived) | ||
| spatial_k12 (signal-derived) |
| Proxy | NLL/pt | RMSE |
|---|---|---|
| Oracle proxy | ||
| Noisy proxy ( ) | ||
| Noisy proxy ( ) | ||
| Noisy proxy ( ) | ||
| Noisy proxy ( ) | ||
| Rank-only proxy |
| Dataset | NLL/pt | RMSE | recNLL/pt |
|---|---|---|---|
| METR-LA | |||
| PEMS-BAY | |||
| LAQN | |||
| PM2.5 | |||
| CA Weather |
Gaussian Processes
Gaussian Processes are probabilistic models of functions that use kernels to make predictions with explicit uncertainty.
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