Salimbeni, H; Deisenroth, MP; (2017) Doubly Stochastic Variational Inference for Deep Gaussian Processes. In: Guyon, I and Luxburg, UV and Bengio, S and Wallach, HM and Fergus, R and Vishwanathan, SVN and Garnett, R, (eds.) Proceedings of the 31st Conference on Neural Information Processing Systems (NIPS 2017). (pp. pp. 4591-4602). Neural Information Processing Systems (NIPS): Long Beach, CA, USA.

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Abstract

Deep Gaussian processes (DGPs) are multi-layer generalizations of GPs, but inference in these models has proved challenging. Existing approaches to inference in DGP models assume approximate posteriors that force independence between the layers, and do not work well in practice. We present a doubly stochastic variational inference algorithm, which does not force independence between layers. With our method of inference we demonstrate that a DGP model can be used effectively on data ranging in size from hundreds to a billion points. We provide strong empirical evidence that our inference scheme for DGPs works well in practice in both classification and regression.

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