TY - JOUR
AU - Teng, Tong
AU - Chen, Jie
AU - Zhang, Yehong
AU - Low, Bryan Kian Hsiang
PY - 2020/04/03
Y2 - 2022/08/12
TI - Scalable Variational Bayesian Kernel Selection for Sparse Gaussian Process Regression
JF - Proceedings of the AAAI Conference on Artificial Intelligence
JA - AAAI
VL - 34
IS - 04
SE - AAAI Technical Track: Machine Learning
DO - 10.1609/aaai.v34i04.6061
UR - https://ojs.aaai.org/index.php/AAAI/article/view/6061
SP - 5997-6004
AB - <p>This paper presents a <em>variational Bayesian kernel selection</em> (VBKS) algorithm for <em>sparse Gaussian process regression</em> (SGPR) models. In contrast to existing GP kernel selection algorithms that aim to select only one kernel with the highest model evidence, our VBKS algorithm considers the kernel as a random variable and learns its belief from data such that the uncertainty of the kernel can be interpreted and exploited to avoid overconfident GP predictions. To achieve this, we represent the probabilistic kernel as an additional variational variable in a <em>variational inference</em> (VI) framework for SGPR models where its posterior belief is learned together with that of the other variational variables (i.e., inducing variables and kernel hyperparameters). In particular, we transform the discrete kernel belief into a continuous parametric distribution via reparameterization in order to apply VI. Though it is computationally challenging to jointly optimize a large number of hyperparameters due to many kernels being evaluated simultaneously by our VBKS algorithm, we show that the variational lower bound of the log-marginal likelihood can be decomposed into an additive form such that each additive term depends only on a disjoint subset of the variational variables and can thus be optimized independently. Stochastic optimization is then used to maximize the variational lower bound by iteratively improving the variational approximation of the exact posterior belief via stochastic gradient ascent, which incurs constant time per iteration and hence scales to big data. We empirically evaluate the performance of our VBKS algorithm on synthetic and massive real-world datasets.</p>
ER -