Uncertainty in Artificial Intelligence
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Sparse-posterior Gaussian Processes for general likelihoods
Yuan (Alan) Qi, Ahmed Abdel-Gawad, Thomas Minka
Gaussian processes (GPs) provide a probabilistic nonparametric representation of functions in regression, classification, and other problems. Unfortunately, exact learning with GPs is intractable for large datasets. A variety of approximate GP methods have been proposed that essentially map the large dataset into a small set of basis points. Among them, two state-of-the-art methods are sparse pseudo-input Gaussian process (SPGP) (Snelson and Ghahramani, 2006) and variablesigma GP (VSGP) Walder et al. (2008), which generalizes SPGP and allows each basis point to have its own length scale. However, VSGP was only derived for regression. In this paper, we propose a new sparse GP framework that uses expectation propagation to directly approximate general GP likelihoods using a sparse and smooth basis. It includes both SPGP and VSGP for regression as special cases. Plus as an EP algorithm, it inherits the ability to process data online. As a particular choice of approximating family, we blur each basis point with a Gaussian distribution that has a full covariance matrix representing the data distribution around that basis point; as a result, we can summarize local data manifold information with a small set of basis points. Our experiments demonstrate that this framework outperforms previous GP classification methods on benchmark datasets in terms of minimizing divergence to the non-sparse GP solution as well as lower misclassification rate.
Pages: 450-457
PS Link:
PDF Link: /papers/10/p450-qi.pdf
AUTHOR = "Yuan (Alan) Qi and Ahmed Abdel-Gawad and Thomas Minka",
TITLE = "Sparse-posterior Gaussian Processes for general likelihoods",
BOOKTITLE = "Proceedings of the Twenty-Sixth Conference Annual Conference on Uncertainty in Artificial Intelligence (UAI-10)",
ADDRESS = "Corvallis, Oregon",
YEAR = "2010",
PAGES = "450--457"

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