Sara Wade & Karla Monterrubio-Gomez (Edinburgh): On MCMC for variationally sparse Gaussian processes: A pseudo-marginal approach.
From OLLIE Quinn on March 1st, 2021
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26 February 2021
Gaussian processes (GPs) are frequently used in machine learning and statistics to construct powerful models. However, when employing GPs in practice, important considerations must be made, regarding the high computational burden, approximation of the posterior, form of the covariance function and inference of its hyperparmeters. To address these issues, Hensman et al. (2015) combine variationally sparse GPs with Markov chain Monte Carlo (MCMC) to derive a scalable, flexible, and general framework for GP models. Nevertheless, the resulting approach requires intractable likelihood evaluations for many observation models. To bypass this problem, we propose a pseudo-marginal (PM) scheme that offers asymptotically exact inference as well computational gains through doubly stochastic estimators for the intractable likelihood and large datasets. In complex models, the advantages of the PM scheme are particularly evident, and we demonstrate this on a two-level GP regression model with a nonparametric covariance function to capture non-stationarity.