State space Gaussian processes with non-Gaussian likelihood

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Conference article in proceedings
Date
2018
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Language
en
Pages
3789-3798
Series
35th International Conference on Machine Learning, ICML 2018, Proceedings of Machine Learning Research, Volume 80
Abstract
We provide a comprehensive overview and tooling for GP modelling with non-Gaussian likelihoods using state space methods. The state space formulation allows for solving one-dimensonal GP models in O(n) time and memory complexity. While existing literature has focused on the connection between GP regression and state space methods, the computational primitives allowing for inference using general likelihoods in combination with the Laplace approximation (LA), variational Bayes (VB), and assumed density filtering (ADF) / expectation propagation (EP) schemes has been largely overlooked. We present means of combining the efficient O(n) state space methodology with existing inference methods. We also furher extend existing methods, and provide unifying code implementing all approaches.
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Nickisch , H , Solin , A & Grigorevskiy , A 2018 , State space Gaussian processes with non-Gaussian likelihood . in J Dy & A Krause (eds) , 35th International Conference on Machine Learning, ICML 2018 . Proceedings of Machine Learning Research , vol. 80 , JMLR , pp. 3789-3798 , International Conference on Machine Learning , Stockholm , Sweden , 10/07/2018 . < http://proceedings.mlr.press/v80/nickisch18a.html >