# A piece-wise constant approximation for non-conjugate Gaussian Process models

arXiv: https://arxiv.org/abs/2204.10575 · HTML: https://mlsanity.com/paper/2204.10575/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 5 of its 18 references that are in the map.
- First posted on arXiv 22 Apr 2022.

## Builds on (most cited first, 5 of 5)

- [Gaussian Processes for Big Data](https://mlsanity.com/paper/1309.6835/) (2013)
- [Scalable Variational Gaussian Process Classification](https://mlsanity.com/paper/1411.2005/) (2014)
- [Expectation Propagation for approximate Bayesian inference](https://mlsanity.com/paper/1301.2294/) (2013)
- [Doubly Stochastic Variational Inference for Deep Gaussian Processes](https://mlsanity.com/paper/1705.08933/) (2017)
- [A Differentiable Programming System to Bridge Machine Learning and Scientific Computing](https://mlsanity.com/paper/1907.07587/) (2019)

## 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.