Proper Complex Gaussian Processes for Regression

• Published in: arXiv.org 2015-02
• Main Authors: Boloix-Tortosa, Rafael, Payán-Somet, F Javier, Arias-de-Reyna, Eva, Murillo-Fuentes, Juan José
• Format: Article
• Language: English
• Subjects: Covariance; Gaussian process; Kernels; Neural networks; Random variables; Regression; Signal processing
• ISSN: 2331-8422

Complex-valued signals are used in the modeling of many systems in engineering and science, hence being of fundamental interest. Often, random complex-valued signals are considered to be proper. A proper complex random variable or process is uncorrelated with its complex conjugate. This assumption is a good model of the underlying physics in many problems, and simplifies the computations. While linear processing and neural networks have been widely studied for these signals, the development of complex-valued nonlinear kernel approaches remains an open problem. In this paper we propose Gaussian processes for regression as a framework to develop 1) a solution for proper complex-valued kernel regression and 2) the design of the reproducing kernel for complex-valued inputs, using the convolutional approach for cross-covariances. In this design we pay attention to preserve, in the complex domain, the measure of similarity between near inputs. The hyperparameters of the kernel are learned maximizing the marginal likelihood using Wirtinger derivatives. Besides, the approach is connected to the multiple output learning scenario. In the experiments included, we first solve a proper complex Gaussian process where the cross-covariance does not cancel, a challenging scenario when dealing with proper complex signals. Then we successfully use these novel results to solve some problems previously proposed in the literature as benchmarks, reporting a remarkable improvement in the estimation error.