HIP-GP: Hierarchical Inducing Point Gaussian Process for Inter-domian Observations

Apr 14, 2021

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We examine the general problem of interdomain Gaussian Processes (GPs): problems where the realization of GP and the noisy observations of that realization lie on different domains. When the mapping between those domains is linear, such as integration or differentiation, inference is still closed form. However, many of the scaling and approximation techniques that our community has developed do not apply to this setting. In this work, we introduce the hierarchical inducing point GP (HIP-GP), a scalable interdomain GP inference method that enables us to improve the approximation accuracy by increasing the number of inducing points to the millions. HIP-GP, which relies on inducing points with grid structure and a stationary kernel assumption, is suitable for low-dimensional problems. In developing HIP-GP, we introduce (1) a fast whitening strategy, and (2) a novel preconditioner for conjugate gradients which can be helpful in general GP settings.

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The 24th International Conference on Artificial Intelligence and Statistics was held virtually from Tuesday, 13 April 2021 to Thursday, 15 April 2021.

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