Highlights Integration of machine learning and discrete choice models. New choice model referred to as Gaussian process latent class choice model. Derivation and implementation of an expectation-maximization algorithm. More complex and flexible representation of unobserved heterogeneity. The model improves prediction accuracy without weakening economic interpretability.
Abstract We present a Gaussian Process – Latent Class Choice Model (GP-LCCM) to integrate a non-parametric class of probabilistic machine learning within discrete choice models (DCMs). Gaussian Processes (GPs) are kernel-based algorithms that incorporate expert knowledge by assuming priors over latent functions rather than priors over parameters, which makes them more flexible in addressing nonlinear problems. By integrating a Gaussian Process within a LCCM structure, we aim at improving discrete representations of unobserved heterogeneity. The proposed model would assign individuals probabilistically to behaviorally homogeneous clusters (latent classes) using GPs and simultaneously estimate class-specific choice models by relying on random utility models. Furthermore, we derive and implement an Expectation-Maximization (EM) algorithm to jointly estimate/infer the hyperparameters of the GP kernel function and the class-specific choice parameters by relying on a Laplace approximation and gradient-based numerical optimization methods, respectively. The model is tested on two different mode choice applications and compared against different LCCM benchmarks. Results show that GP-LCCM allows for a more complex and flexible representation of heterogeneity and improves both in-sample fit and out-of-sample predictive power. Moreover, behavioral and economic interpretability is maintained at the class-specific choice model level while local interpretation of the latent classes can still be achieved, although the non-parametric characteristic of GPs lessens the transparency of the model.
Gaussian process latent class choice models
2021-12-31
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
Integrating psychometric indicators in latent class choice models
Elsevier | 2014
|Latent class models of international air carrier choice
Online Contents | 2010
|Latent class models of international air carrier choice
Elsevier | 2009
|Learning GP-BayesFilters via Gaussian process latent variable models
British Library Online Contents | 2011
|