Skip to yearly menu bar Skip to main content


Poster

Deep Gaussian Processes with Importance-Weighted Variational Inference

Hugh Salimbeni · Vincent Dutordoir · James Hensman · Marc P Deisenroth

Pacific Ballroom #218

Keywords: [ Approximate Inference ] [ Bayesian Deep Learning ] [ Gaussian Processes ] [ Generative Models ]


Abstract:

Deep Gaussian processes (DGPs) can model complex marginal densities as well as complex mappings. Non-Gaussian marginals are essential for modelling real-world data, and can be generated from the DGP by incorporating uncorrelated variables to the model. Previous work in the DGP model has introduced noise additively, and used variational inference with a combination of sparse Gaussian processes and mean-field Gaussians for the approximate posterior. Additive noise attenuates the signal, and the Gaussian form of variational distribution may lead to an inaccurate posterior. We instead incorporate noisy variables as latent covariates, and propose a novel importance-weighted objective, which leverages analytic results and provides a mechanism to trade off computation for improved accuracy. Our results demonstrate that the importance-weighted objective works well in practice and consistently outperforms classical variational inference, especially for deeper models.

Live content is unavailable. Log in and register to view live content