Papers › Scalable Gaussian Processes with Billions of Inducing Inputs via Tensor Train Decomposition

Scalable Gaussian Processes with Billions of Inducing Inputs via Tensor Train Decomposition

19 Oct 2017arXiv:1710.07324archive 2025-07-28

Pavel Izmailov, Alexander Novikov, Dmitry Kropotov

We propose a method (TT-GP) for approximate inference in Gaussian Process (GP) models. We build on previous scalable GP research including stochastic variational inference based on inducing inputs, kernel interpolation, and structure exploiting algebra. The key idea of our method is to use Tensor Train decomposition for variational parameters, which allows us to train GPs with billions of inducing inputs and achieve state-of-the-art results on several benchmarks. Further, our approach allows for training kernels based on deep neural networks without any modifications to the underlying GP model. A neural network learns a multidimensional embedding for the data, which is used by the GP to make the final prediction. We train GP and neural network parameters end-to-end without pretraining, through maximization of GP marginal likelihood. We show the efficiency of the proposed approach on several regression and classification benchmark datasets including MNIST, CIFAR-10, and Airline.

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Gaussian ProcessesVariational Inference

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