Collaborating Authors

Sparse Gaussian Process Based On Hat Basis Functions Machine Learning

Gaussian process is one of the most popular non-parametric Bayesian methodologies for modeling the regression problem. It is completely determined by its mean and covariance functions. And its linear property makes it relatively straightforward to solve the prediction problem. Although Gaussian process has been successfully applied in many fields, it is still not enough to deal with physical systems that satisfy inequality constraints. This issue has been addressed by the so-called constrained Gaussian process in recent years. In this paper, we extend the core ideas of constrained Gaussian process. According to the range of training or test data, we redefine the hat basis functions mentioned in the constrained Gaussian process. Based on hat basis functions, we propose a new sparse Gaussian process method to solve the unconstrained regression problem. Similar to the exact Gaussian process and Gaussian process with Fully Independent Training Conditional approximation, our method obtains satisfactory approximate results on open-source datasets or analytical functions. In terms of performance, the proposed method reduces the overall computational complexity from $O(n^{3})$ computation in exact Gaussian process to $O(nm^{2})$ with $m$ hat basis functions and $n$ training data points.

Variational Fourier features for Gaussian processes Machine Learning

This work brings together two powerful concepts in Gaussian processes: the variational approach to sparse approximation and the spectral representation of Gaussian processes. This gives rise to an approximation that inherits the benefits of the variational approach but with the representational power and computational scalability of spectral representations. The work hinges on a key result that there exist spectral features related to a finite domain of the Gaussian process which exhibit almost-independent covariances. We derive these expressions for Matern kernels in one dimension, and generalize to more dimensions using kernels with specific structures. Under the assumption of additive Gaussian noise, our method requires only a single pass through the dataset, making for very fast and accurate computation. We fit a model to 4 million training points in just a few minutes on a standard laptop. With non-conjugate likelihoods, our MCMC scheme reduces the cost of computation from O(NM2) (for a sparse Gaussian process) to O(NM) per iteration, where N is the number of data and M is the number of features.

Know Your Boundaries: Constraining Gaussian Processes by Variational Harmonic Features Machine Learning

Gaussian processes (GPs) provide a powerful framework for extrapolation, interpolation, and noise removal in regression and classification. This paper considers constraining GPs to arbitrarily-shaped domains with boundary conditions. We solve a Fourier-like generalised harmonic feature representation of the GP prior in the domain of interest, which both constrains the GP and attains a low-rank representation that is used for speeding up inference. The method scales as $\mathcal{O}(nm^2)$ in prediction and $\mathcal{O}(m^3)$ in hyperparameter learning for regression, where $n$ is the number of data points and $m$ the number of features. Furthermore, we make use of the variational approach to allow the method to deal with non-Gaussian likelihoods. The experiments cover both simulated and empirical data in which the boundary conditions allow for inclusion of additional physical information.

Hilbert Space Methods for Reduced-Rank Gaussian Process Regression Machine Learning

This paper proposes a novel scheme for reduced-rank Gaussian process regression. The method is based on an approximate series expansion of the covariance function in terms of an eigenfunction expansion of the Laplace operator in a compact subset of $\mathbb{R}^d$. On this approximate eigenbasis the eigenvalues of the covariance function can be expressed as simple functions of the spectral density of the Gaussian process, which allows the GP inference to be solved under a computational cost scaling as $\mathcal{O}(nm^2)$ (initial) and $\mathcal{O}(m^3)$ (hyperparameter learning) with $m$ basis functions and $n$ data points. The approach also allows for rigorous error analysis with Hilbert space theory, and we show that the approximation becomes exact when the size of the compact subset and the number of eigenfunctions go to infinity. The expansion generalizes to Hilbert spaces with an inner product which is defined as an integral over a specified input density. The method is compared to previously proposed methods theoretically and through empirical tests with simulated and real data.

Deep Neural Networks as Point Estimates for Deep Gaussian Processes Machine Learning

Bayesian inference has the potential to improve deep neural networks (DNNs) by providing 1) uncertainty estimates for robust prediction and downstream decision-making, and 2) an objective function (the marginal likelihood) for hyperparameter selection [MacKay, 1992a; 1992b; 2003]. The recent success of deep learning [Krizhevsky et al., 2012; Vaswani et al., 2017; Schrittwieser et al., 2020] has renewed interest in large-scale Bayesian Neural Networks (BNNs) as well, with effort mainly focused on obtaining useful uncertainty estimates [Blundell et al., 2015; Kingma et al., 2015; Gal and Ghahramani, 2016]. Despite already providing usable uncertainty estimates, there is significant evidence that current approximations to the uncertainty on neural network weights can still be significantly improved [Hron et al., 2018; Foong et al., 2020]. The accuracy of the uncertainty approximation is also linked to the quality of the marginal likelihood estimate [Blei et al., 2017]. Since hyperparameter learning using the marginal likelihood fails for most common approximations [e.g., Blundell et al., 2015], the accuracy of the uncertainty estimates is also questionable. Damianou and Lawrence [2013] used Gaussian processes [Rasmussen and Williams, 2006] as layers to create a different Bayesian analogue to a DNN: the Deep Gaussian process (DGP). Gaussian processes (GPs) are a different representation of a single layer neural network, which is promising because it allows high-quality approximations to uncertainty [Titsias, 2009; Burt et al., 2019].