A Framework for Interdomain and Multioutput Gaussian Processes

• URL: http://arxiv.org/abs/2003.01115v1
• Date: Mon, 2 Mar 2020 16:24:59 GMT
• Title: A Framework for Interdomain and Multioutput Gaussian Processes
• Authors: Mark van der Wilk, Vincent Dutordoir, ST John, Artem Artemev, Vincent Adam, and James Hensman
• Abstract summary: We present a mathematical and software framework for scalable approximate inference in GPs. Our framework, implemented in GPflow, provides a unified interface for many existing multioutput models.
• Score: 22.62911488724047
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: One obstacle to the use of Gaussian processes (GPs) in large-scale problems, and as a component in deep learning system, is the need for bespoke derivations and implementations for small variations in the model or inference. In order to improve the utility of GPs we need a modular system that allows rapid implementation and testing, as seen in the neural network community. We present a mathematical and software framework for scalable approximate inference in GPs, which combines interdomain approximations and multiple outputs. Our framework, implemented in GPflow, provides a unified interface for many existing multioutput models, as well as more recent convolutional structures. This simplifies the creation of deep models with GPs, and we hope that this work will encourage more interest in this approach.

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