Scalable Gaussian process inference using variational methods

Abstract

Gaussian processes can be used as priors on functions. The need for a flexible, principled, probabilistic model of functional relations is common in practice. Consequently, such an approach is demonstrably useful in a large variety of applications. Two challenges of Gaussian process modelling are often encountered. These are dealing with the adverse scaling with the number of data points and the lack of closed form posteriors when the likelihood is non-Gaussian. In this thesis, we study variational inference as a framework for meeting these challenges. An introductory chapter motivates the use of stochastic processes as priors, with a particular focus on Gaussian process modelling. A section on variational inference reviews the general definition of Kullback-Leibler divergence. The concept of prior conditional matching that is used throughout the thesis is contrasted to classical approaches to obtaining tractable variational approximating families. Various theoretical issues arising from the application of variational inference to the infinite dimensional Gaussian process setting are settled decisively. From this theory we are able to give a new argument for existing approaches to variational regression that settles debate about their applicability. This view on these methods justifies the principled extensions found in the rest of the work. The case of scalable Gaussian process classification is studied, both for its own merits and as a case study for non-Gaussian likelihoods in general. Using the resulting algorithms we find credible results on datasets of a scale and complexity that was not possible before our work. An extension to include Bayesian priors on model hyperparameters is studied alongside a new inference method that combines the benefits of variational sparsity and MCMC methods. The utility of such an approach is shown on a variety of example modelling tasks. We describe GPflow, a new Gaussian process software library that uses TensorFlow. Implementations of the variational algorithms discussed in the rest of the thesis are included as part of the software. We discuss the benefits of GPflow when compared to other similar software. Increased computational speed is demonstrated in relevant, timed, experimental comparisons.