Block-GP: Scalable Gaussian Process Regression for Multimodal Data

In many cases, regression algorithms such as linear regression or neural networks attempt to fit the target variable as a function of the input variables without regard to the underlying joint distribution of the variables. As a result, these global models are not sensitive to variations in the local structure of the input space.

Several algorithms, including the mixture of experts model, classification and regression trees (CART), and others have been developed, motivated by the fact that a variability in the local distribution of inputs may be reflective of a significant change in the target variable. While these methods can handle the non-stationarity in the relationships to varying degrees, they are often not scalable and, therefore, not used in large scale data mining applications.