How Deep Are Deep GPs, Really? A Sharp Threshold and a Non-Gaussian Limit for Compositional GPs

Compositional priors describe the generic properties of layered functions in deep Bayesian models, where deep neural networks with random weights are a canonical example. In the wide-network limit, the prior is a Gaussian process with a depth-dependent kernel, and its behaviour as depth grows has been extensively studied through this kernel. Here, we study another case, where each layer itself is a vector valued Gaussian process, and our aim is similarly to understand the structure induced by these priors as depth grows. Previous GP work has established that for the RBF kernel and a certain range of bandwidths $r$, the prior degenerates in the limit, converging to the set of constant functions --- which is not useful as a probabilistic model. In this paper we establish several new results. First, we identify a sharp bandwidth threshold $r_c(d) = \Theta(\sqrt{d})$ above which the limit is degenerate, strengthening the earlier bounds. Second, and more importantly, we show that for $r$ below the threshold $r_c(d)$ the prior converges to a limit distribution $\pi_{\bar{Z}}$. We also prove that these distributions are non-degenerate and non-Gaussian, with non-vanishing dependence between coordinates. In contrast to the previously known degenerate regime, deep Gaussian process priors can therefore admit non-trivial limits. Empirically, we verify the threshold across a range of dimensions $d$, and demonstrate a complex multimodal behaviour of the limit distributions $\pi_{\bar{Z}}$ --- a regime that becomes increasingly narrow with $d$ and would be hard to identify without knowing the threshold.