A piece-wise constant approximation for non-conjugate Gaussian Process models
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Abstract (arXiv)
Gaussian Processes (GPs) are a versatile and popular method in Bayesian Machine Learning. A common modification are Sparse Variational Gaussian Processes (SVGPs) which are well suited to deal with large datasets. While GPs allow to elegantly deal with Gaussian-distributed target variables in closed form, their applicability can be extended to non-Gaussian data as well. These extensions are usually impossible to treat in closed form and hence require approximate solutions. This paper proposes to approximate the inverse-link function, which is necessary when working with non-Gaussian likelihoods, by a piece-wise constant function. It will be shown that this yields a closed form solution for the corresponding SVGP lower bound. In addition, it is demonstrated how the piece-wise constant function itself can be optimized, resulting in an inverse-link function that can be learnt from the data at hand.
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References · 5
- 2013Gaussian Processes for Big Datacited by 383
- 2014Scalable Variational Gaussian Process Classificationcited by 228
- 2013Expectation Propagation for approximate Bayesian inferencecited by 174
- 2017Doubly Stochastic Variational Inference for Deep Gaussian Processescited by 143
- 2019A Differentiable Programming System to Bridge Machine Learning and Scientific Computingcited by 83
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