Poster
in
Workshop: Gaussian Processes, Spatiotemporal Modeling, and Decision-making Systems
Actually Sparse Variational Gaussian Processes
Jake Cunningham · So Takao · Mark van der Wilk · Marc Deisenroth
Abstract:
In this work we propose a new class of inter-domain variational Gaussian process, constructed by projecting onto a set of compactly supported B-Spline basis functions. Our model is akin to variational Fourier features. However, due to the compact support of the B-Spline basis, we produce sparse covariance matrices. This enables us to make use of sparse linear algebra to efficiently compute matrix operations. After a one-off pre-computation, we show that our method reduces both the memory requirement and the per-iteration computational complexity to linear in the number of inducing points.
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