Fast Variational Learning in State-Space Gaussian Process Models

Paul Chang, William Wilkinson, Mohammad Emtiyaz Khan, Arno Solin

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

Abstract

Gaussian process (GP) regression with 1D inputs can often be performed in linear time via a stochastic differential equation formulation. However, for non-Gaussian likelihoods, this requires application of approximate inference methods which can make the implementation difficult, e.g., expectation propagation can be numerically unstable and variational inference can be computationally inefficient. In this paper, we propose a new method that removes such difficulties. Building upon an existing method called conjugate-computation variational inference, our approach enables linear-time inference via Kalman recursions while avoiding numerical instabilities and convergence issues. We provide an efficient JAX implementation which exploits just-in-time compilation and allows for fast automatic differentiation through large for-loops. Overall, our approach leads to fast and stable variational inference in state-space GP models that can be scaled to time series with millions of data points.
Original languageEnglish
Title of host publication2020 IEEE 30th International Workshop on Machine Learning for Signal Processing (MLSP)
PublisherIEEE
ISBN (Electronic)978-1-7281-6662-9
DOIs
Publication statusPublished - 23 Sep 2020
MoE publication typeA4 Article in a conference publication
EventIEEE International Workshop on Machine Learning for Signal Processing - Espoo, Finland
Duration: 21 Sep 202024 Sep 2020
Conference number: 30
https://ieeemlsp.cc

Workshop

WorkshopIEEE International Workshop on Machine Learning for Signal Processing
Abbreviated titleMLSP
CountryFinland
CityEspoo
Period21/09/202024/09/2020
Internet address

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