Scalable Inference for Gaussian Process Models with Black-Box Likelihoods

Amir Dezfouli, Edwin V. Bonilla
2015 Neural Information Processing Systems  
We propose a sparse method for scalable automated variational inference (AVI) in a large class of models with Gaussian process (GP) priors, multiple latent functions, multiple outputs and non-linear likelihoods. Our approach maintains the statistical efficiency property of the original AVI method, requiring only expectations over univariate Gaussian distributions to approximate the posterior with a mixture of Gaussians. Experiments on small datasets for various problems including regression,
more » ... ssification, Log Gaussian Cox processes, and warped GPs show that our method can perform as well as the full method under high sparsity levels. On larger experiments using the MNIST and the SARCOS datasets we show that our method can provide superior performance to previously published scalable approaches that have been handcrafted to specific likelihood models.
dblp:conf/nips/DezfouliB15 fatcat:fhx5627irzdm7imeppau36lcry