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loss

Regression error for Gaussian process regression model

Description

L = loss(gprMdl,Xnew,Ynew) returns the mean squared error for the Gaussian process regression (GPR) model gprMdl, using the predictors in Xnew and observed response in Ynew.

example

L = loss(gprMdl,Xnew,Ynew,Name,Value) returns the mean squared error for the GPR model, gprMdl, with additional options specified by one or more name-value arguments. For example, you can specify a custom loss function or the observation weights.

example

Examples

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Load the sample data.

load('gprdata.mat')

The data has 8 predictor variables and contains 500 observations in training data and 100 observations in test data. This is simulated data.

Fit a GPR model using the squared exponential kernel function with separate length scales for each predictor. Standardize the predictor values in the training data. Use the exact method for fitting and prediction.

gprMdl = fitrgp(Xtrain,ytrain,'FitMethod','exact',...
'PredictMethod','exact','KernelFunction','ardsquaredexponential',...
'Standardize',1);

Compute the regression error for the test data.

L = loss(gprMdl,Xtest,ytest)
L = 
0.6928

Predict the responses for test data.

ypredtest = predict(gprMdl,Xtest);

Plot the test response along with the predictions.

figure;
plot(ytest,'r');
hold on;
plot(ypredtest,'b');
legend('Data','Predictions','Location','Best');

Figure contains an axes object. The axes object contains 2 objects of type line. These objects represent Data, Predictions.

Manually compute the regression loss.

L = (ytest - ypredtest)'*(ytest - ypredtest)/length(ytest)
L = 
0.6928

Load the sample data and store in a table.

load fisheriris
tbl = table(meas(:,1),meas(:,2),meas(:,3),meas(:,4),species,...
'VariableNames',{'meas1','meas2','meas3','meas4','species'});

Fit a GPR model using the first measurement as the response and the other variables as the predictors.

mdl = fitrgp(tbl,'meas1');

Predict the responses using the trained model.

ypred = predict(mdl,tbl);

Compute the mean absolute error.

n = height(tbl);
y = tbl.meas1;
fun = @(y,ypred,w) sum(abs(y-ypred))/n;
L = loss(mdl,tbl,'lossfun',fun)
L = 
0.2345

Input Arguments

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Gaussian process regression model, specified as a RegressionGP (full) or CompactRegressionGP (compact) object.

New data, specified as a table or an n-by-d matrix, where m is the number of observations, and d is the number of predictor variables in the training data.

If you trained gprMdl on a table, then Xnew must be a table that contains all the predictor variables used to train gprMdl.

If Xnew is a table, then it can also contain Ynew. And if it does, then you do not have to specify Ynew.

If you trained gprMdl on a matrix, then Xnew must be a numeric matrix with d columns, and can only contain values for the predictor variables.

Data Types: single | double | table

New observed response values, that correspond to the predictor values in Xnew, specified as an n-by-1 vector. n is the number of rows in Xnew. Each entry in Ynew is the observed response based on the predictor data in the corresponding row of Xnew.

If Xnew is a table containing new response values, you do not have to specify Ynew.

Data Types: single | double

Name-Value Arguments

Specify optional pairs of arguments as Name1=Value1,...,NameN=ValueN, where Name is the argument name and Value is the corresponding value. Name-value arguments must appear after other arguments, but the order of the pairs does not matter.

Before R2021a, use commas to separate each name and value, and enclose Name in quotes.

Example: loss(grpMdl,Xnew,Ynew,"PredictionForMissingValue","omitted") specifies to omit observations with missing prediction values from the loss computation.

Loss function, specified as 'mse' (mean squared error) or a function handle.

If you pass a function handle, say fun, loss calls it as shown below: fun(Y,Ypred,W), where Y, Ypred and W are numeric vectors of length n, and n is the number of rows in Xnew. Y is the observed response, Ypred is the predicted response, and W is the observation weights.

Example: 'lossfun',Fct calls the loss function Fct.

Data Types: char | string | function_handle

Since R2023b

Predicted response value to use for observations with missing predictor values, specified as "median", "mean", "omitted", or a numeric scalar.

ValueDescription
"median"loss uses the median of the observed response values in the training data as the predicted response value for observations with missing predictor values.
"mean"loss uses the mean of the observed response values in the training data as the predicted response value for observations with missing predictor values.
"omitted"loss excludes observations with missing predictor values from the loss computation.
Numeric scalarloss uses this value as the predicted response value for observations with missing predictor values.

If an observation is missing an observed response value or an observation weight, then loss does not use the observation in the loss computation.

Example: PredictionForMissingValue="omitted"

Data Types: single | double | char | string

Observation weights, specified as n-by-1 vector, where n is the number of rows in Xnew. By default, the weight of each observation is 1.

Example: 'weights',W uses the observation weights in vector W.

Data Types: double | single

Output Arguments

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Regression error for the trained Gaussian process regression model, gprMdl, returned as a scalar value.

Alternatives

You can use resubLoss to compute the regression error for the trained GPR model at the observations in the training data.

Extended Capabilities

Version History

Introduced in R2015b

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