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• W2947368158 abstract "Gaussian Processes (GPs) are powerful kernelized methods for non-parameteric regression used in many applications. However, their use is limited to a few thousand of training samples due to their cubic time complexity. In order to scale GPs to larger datasets, several sparse approximations based on so-called inducing points have been proposed in the literature. In this work we investigate the connection between a general class of sparse inducing point GP regression methods and Bayesian recursive estimation which enables Kalman Filter like updating for online learning. The majority of previous work has focused on the batch setting, in particular for learning the model parameters and the position of the inducing points, here instead we focus on training with mini-batches. By exploiting the Kalman filter formulation, we propose a novel approach that estimates such parameters by recursively propagating the analytical gradients of the posterior over mini-batches of the data. Compared to state of the art methods, our method keeps analytic updates for the mean and covariance of the posterior, thus reducing drastically the size of the optimization problem. We show that our method achieves faster convergence and superior performance compared to state of the art sequential Gaussian Process regression on synthetic GP as well as real-world data with up to a million of data samples." @default.
• W2947368158 created "2019-06-07" @default.
• W2947368158 creator A5007403791 @default.
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• W2947368158 date "2019-05-28" @default.
• W2947368158 modified "2023-09-27" @default.
• W2947368158 title "Recursive Estimation for Sparse Gaussian Process Regression" @default.
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• W2947368158 hasPublicationYear "2019" @default.
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