Doubly stochastic variational inference for deep Gaussian processes
Hugh Salimbeni (Imperial College London)
Friday 19th January, 2018 15:00-16:00 Maths 311B
Gaussian processes (GPs) are a good choice for function approximation as they are flexible, robust to over-fitting, and provide well-calibrated predictive uncertainty. Deep Gaussian processes (DGPs) are multi-layer generalisations of GPs, but inference in these models has proved challenging. Existing approaches to inference in DGP models assume approximate posteriors that force independence between the layers, and do not work well in practice. We present a doubly stochastic variational inference algorithm, which does not force independence between layers. With our method of inference we demonstrate that a DGP model can be used effectively on data ranging in size from hundreds to a billion points. We provide strong empirical evidence that our inference scheme for DGPs works well in practice in both classification and regression. We present also recent work on deep lengthscale GPs, which are DGPs with non-stationary kernels at each layer.