Papers › Gaussian Processes for Big Data

Gaussian Processes for Big Data

26 Sep 2013arXiv:1309.6835archive 2025-07-28

James Hensman, Nicolo Fusi, Neil D. Lawrence

We introduce stochastic variational inference for Gaussian process models. This enables the application of Gaussian process (GP) models to data sets containing millions of data points. We show how GPs can be vari- ationally decomposed to depend on a set of globally relevant inducing variables which factorize the model in the necessary manner to perform variational inference. Our ap- proach is readily extended to models with non-Gaussian likelihoods and latent variable models based around Gaussian processes. We demonstrate the approach on a simple toy problem and two real world data sets.

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