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Gaussian Processes 1

Moderator: Chiranjib Bhattacharyya


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Thu 22 July 5:00 - 5:20 PDT

Tighter Bounds on the Log Marginal Likelihood of Gaussian Process Regression Using Conjugate Gradients

Artem Artemev · David Burt · Mark van der Wilk

We propose a lower bound on the log marginal likelihood of Gaussian process regression models that can be computed without matrix factorisation of the full kernel matrix. We show that approximate maximum likelihood learning of model parameters by maximising our lower bound retains many benefits of the sparse variational approach while reducing the bias introduced into hyperparameter learning. The basis of our bound is a more careful analysis of the log-determinant term appearing in the log marginal likelihood, as well as using the method of conjugate gradients to derive tight lower bounds on the term involving a quadratic form. Our approach is a step forward in unifying methods relying on lower bound maximisation (e.g. variational methods) and iterative approaches based on conjugate gradients for training Gaussian processes. In experiments, we show improved predictive performance with our model for a comparable amount of training time compared to other conjugate gradient based approaches.

Thu 22 July 5:20 - 5:25 PDT

Isometric Gaussian Process Latent Variable Model for Dissimilarity Data

Martin Jørgensen · Søren Hauberg

We present a probabilistic model where the latent variable respects both the distances and the topology of the modeled data. The model leverages the Riemannian geometry of the generated manifold to endow the latent space with a well-defined stochastic distance measure, which is modeled locally as Nakagami distributions. These stochastic distances are sought to be as similar as possible to observed distances along a neighborhood graph through a censoring process. The model is inferred by variational inference based on observations of pairwise distances. We demonstrate how the new model can encode invariances in the learned manifolds.

Thu 22 July 5:25 - 5:30 PDT

Variational Auto-Regressive Gaussian Processes for Continual Learning

Sanyam Kapoor · Theofanis Karaletsos · Thang Bui

Through sequential construction of posteriors on observing data online, Bayes’ theorem provides a natural framework for continual learning. We develop Variational Auto-Regressive Gaussian Processes (VAR-GPs), a principled posterior updating mechanism to solve sequential tasks in continual learning. By relying on sparse inducing point approximations for scalable posteriors, we propose a novel auto-regressive variational distribution which reveals two fruitful connections to existing results in Bayesian inference, expectation propagation and orthogonal inducing points. Mean predictive entropy estimates show VAR-GPs prevent catastrophic forgetting, which is empirically supported by strong performance on modern continual learning benchmarks against competitive baselines. A thorough ablation study demonstrates the efficacy of our modeling choices.

Thu 22 July 5:30 - 5:35 PDT

Sparse within Sparse Gaussian Processes using Neighbor Information

Gia-Lac Tran · Dimitrios Milios · Pietro Michiardi · Maurizio Filippone

Approximations to Gaussian processes (GPs) based on inducing variables, combined with variational inference techniques, enable state-of-the-art sparse approaches to infer GPs at scale through mini-batch based learning. In this work, we further push the limits of scalability of sparse GPs by allowing large number of inducing variables without imposing a special structure on the inducing inputs. In particular, we introduce a novel hierarchical prior, which imposes sparsity on the set of inducing variables. We treat our model variationally, and we experimentally show considerable computational gains compared to standard sparse GPs when sparsity on the inducing variables is realized considering the nearest inducing inputs of a random mini-batch of the data. We perform an extensive experimental validation that demonstrates the effectiveness of our approach compared to the state-of-the-art. Our approach enables the possibility to use sparse GPs using a large number of inducing points without incurring a prohibitive computational cost.

Thu 22 July 5:35 - 5:40 PDT

SigGPDE: Scaling Sparse Gaussian Processes on Sequential Data

Maud Lemercier · Cristopher Salvi · Thomas Cass · Edwin V Bonilla · Theodoros Damoulas · Terry Lyons

Making predictions and quantifying their uncertainty when the input data is sequential is a fundamental learning challenge, recently attracting increasing attention. We develop SigGPDE, a new scalable sparse variational inference framework for Gaussian Processes (GPs) on sequential data. Our contribution is twofold. First, we construct inducing variables underpinning the sparse approximation so that the resulting evidence lower bound (ELBO) does not require any matrix inversion. Second, we show that the gradients of the GP signature kernel are solutions of a hyperbolic partial differential equation (PDE). This theoretical insight allows us to build an efficient back-propagation algorithm to optimize the ELBO. We showcase the significant computational gains of SigGPDE compared to existing methods, while achieving state-of-the-art performance for classification tasks on large datasets of up to 1 million multivariate time series.

Thu 22 July 5:40 - 5:45 PDT

On Signal-to-Noise Ratio Issues in Variational Inference for Deep Gaussian Processes

Tim G. J. Rudner · Oscar Key · Yarin Gal · Tom Rainforth

We show that the gradient estimates used in training Deep Gaussian Processes (DGPs) with importance-weighted variational inference are susceptible to signal-to-noise ratio (SNR) issues. Specifically, we show both theoretically and via an extensive empirical evaluation that the SNR of the gradient estimates for the latent variable's variational parameters decreases as the number of importance samples increases. As a result, these gradient estimates degrade to pure noise if the number of importance samples is too large. To address this pathology, we show how doubly-reparameterized gradient estimators, originally proposed for training variational autoencoders, can be adapted to the DGP setting and that the resultant estimators completely remedy the SNR issue, thereby providing more reliable training. Finally, we demonstrate that our fix can lead to consistent improvements in the predictive performance of DGP models.

Thu 22 July 5:45 - 5:50 PDT

Scalable Variational Gaussian Processes via Harmonic Kernel Decomposition

Shengyang Sun · Jiaxin Shi · Andrew Wilson · Roger Grosse

We introduce a new scalable variational Gaussian process approximation which provides a high fidelity approximation while retaining general applicability. We propose the harmonic kernel decomposition (HKD), which uses Fourier series to decompose a kernel as a sum of orthogonal kernels. Our variational approximation exploits this orthogonality to enable a large number of inducing points at a low computational cost. We demonstrate that, on a range of regression and classification problems, our approach can exploit input space symmetries such as translations and reflections, and it significantly outperforms standard variational methods in scalability and accuracy. Notably, our approach achieves state-of-the-art results on CIFAR-10 among pure GP models.

Thu 22 July 5:50 - 5:55 PDT