Sparse within sparse gaussian processes using neighbor information

Tran, Gia-Lac; Dimitrios, Milios; Michiardi, Pietro; Filippone, Maurizio
ICML 2021, 38th International Conference on Machine Learning, 18-24 July, 2021 (Virtual Conference)

Approximations to Gaussian processes (GPs) based on inducing variables, combined with variational inference techniques, enable stateof-the-art sparse approaches to infer GPs at scale through mini-batch-based learning. In this work, we address one limitation of sparse GPs, which is due to the challenge in dealing with a 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. 

Data Science
Eurecom Ref:
© 2021 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE.