Scalable Gaussian Process Methodsseminars/seminars/Extra/2015... · I Numerical integration (1D)...

Scalable Gaussian Process Methods

James Hensman

Oxford, February 2015

Joint work with

Nicolo FusiAlex

Matthews

NeilLawrence

ZoubinGhahramani

Overview

Background: Gaussian processes

Sparse Gaussian Processes

Stochastic Variational Inference

Gaussian Likelihoods

Non-Gaussian likelihoods

Bonus: Deep GPs

GPs

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GPs - prior over functions

f ∼ GP(0, k(t, t′))

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GPs - posterior over functions

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GPs - analytical solution

f |y ∼ GP(k(x, x)K−1y, k(x, x′) − k(x, x)K−1k(x, x′)

)

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What about noise?

Gaussian noise is tractable - additional parameter σn

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Parameters

−4−3−2−1

01234

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Overview






Bonus: Deep GPs

Motivation

Inference in a GP has the following demands:

Complexity: O(n3)Storage: O(n2)

Inference in a sparse GP has the following demands:

Complexity: O(nm2)Storage: O(nm)

where we get to pick m!

Still not good enough!

Big Data

I In parametric models, stochastic optimisation is used.I This allows for application to Big Data.

This work

I Show how to use Stochastic Variational Inference in GPsI Stochastic optimisation scheme: each step requires O(m3)

Overview






Bonus: Deep GPs

Incomplete bibliography

(With apologies for 27,000 omissions)

I Csato and Opper, 2002I Seeger 2003, Lawrence and Seeger 2003I Snelson and Ghahramani 2006I Quinonero-Candela and Rasmussen 2005I Titsias 2009I Alvarez and Lawrence 2011

Computational savings

Knn ≈ Qnn = KnmK−1mmKmn

Instead of inverting Knn, we make a low rank (or Nystrom)approximation, and invert Kmm instead.

Information capture

Everything we want to do with a GP involvesmarginalising f

I PredictionsI Marginal likelihoodI Estimating covariance parameters

The posterior of f is the central object. This means invertingKnn.

X, y

input space (X)

function v

alues

X, y

f (x) ∼ GP

input space (X)

function v

alues

X, y

f (x) ∼ GP

p(f) = N (0,Knn)

input space (X)

function v

alues

X, y

f (x) ∼ GP

p(f) = N (0,Knn)

p(f |y,X)

input space (X)

function v

alues

Introducing u

Take and extra M points on the function, u = f (Z).

p(y, f,u) = p(y | f)p(f |u)p(u)

Introducing u

Introducing u

Take and extra M points on the function, u = f (Z).

p(y, f,u) = p(y | f)p(f |u)p(u)

p(y | f) = N(y|f, σ2I

)p(f |u) = N

(f|KnmKmmıu, K

)p(u) = N (u|0,Kmm)

X, y

f (x) ∼ GP

p(f) = N (0,Knn)

p(f |y,X)

Z,up(u) = N (0,Kmm)

input space (X)

function v

alues

X, y

f (x) ∼ GP

p(f) = N (0,Knn)

p(f |y,X)

p(u) = N (0,Kmm)

p(u |y,X)

input space (X)

function v

alues

The alternative posterior

Instead of doing

p(f |y,X) =p(y | f)p(f |X)∫p(y | f)p(f |X)df

We’ll do

p(u |y,Z) =p(y |u)p(u |Z)∫p(y |u)p(u |Z)du

but p(y |u) involves inverting Knn

Variational marginalisation of f

p(y |u) =p(y | f)p(f |u)

p(f |y,u)

ln p(y |u) = ln p(y | f) + lnp(f |u)

p(f |y,u)

ln p(y |u) = Ep(f |u)

[ln p(y | f)

]+ Ep(f |u)

[ln

p(f |u)p(f |y,u)

]ln p(y |u) = ln p(y |u) + KL[p(f|u)||p(f |y,u)]

No inversion of Knn required


p(y |u) =p(y | f)p(f |u)

p(f |y,u)


p(f |y,u)


[ln p(y | f)

]+ Ep(f |u)

[ln

p(f |u)p(f |y,u)

]

ln p(y |u) = ln p(y |u) + KL[p(f|u)||p(f |y,u)]



p(y |u) =p(y | f)p(f |u)

p(f |y,u)


p(f |y,u)


[ln p(y | f)

]+ Ep(f |u)

[ln

p(f |u)p(f |y,u)

]ln p(y |u) = ln p(y |u) + KL[p(f|u)||p(f |y,u)]


An approximate likelihood

p(y |u) =n∏

i=1

N

(yi|k>mnK−1

mmu, σ2)

exp{−

12σ2

(knn − k>mnK−1

mmkmn)}

A straightforward likelihood approximation, and a penaltyterm

Now we can marginalise u

p(u |y,Z) =p(y |u)p(u |Z)∫p(y |u)p(u |Z)du

I Computing the (approximate) posterior costs O(nm2)I We also get a lower bound of the marginal likelihoodI This is the standard variational sparse GP (?).

Overview






Bonus: Deep GPs


I Combine the ideas of stochastic optimisation withVariational inference

I example: apply Latent Dirichlet allocation to projectGutenberg

I Can apply variational techniques to Big DataI How could this work in GPs?

But GPs are not factorizing models?

I The variational marginalisation of f introducedfactorisation across the datapoints (conditioned on u)

I Marginalising u re-introdcuced dependencies between thedata

I Solution: a variational treatment of u

The objective

L = Eq(f)[log p(y | f)] − KL(q(u) ‖ p(u)

)I Tractable for Gaussian likelihoodsI Numerical integration (1D) for intractable likelihoods

(classification)

Optimisation

The variational objective L3 is a function of

I the parameters of the covariance functionI the parameters of q(u)I the inducing inputs, Z

Original strategy: set Z. Take the data in small minibatches,take stochastic gradient steps in the covariance functionparameters, stochastic natural gradient steps in the parametersof q(u).

New strategy: represent S as LL> (unconstrained). Throwm,L,Z,θ at Adagrad.

Optimisation

The variational objective L3 is a function of

I the parameters of the covariance functionI the parameters of q(u)I the inducing inputs, Z

Original strategy: set Z. Take the data in small minibatches,take stochastic gradient steps in the covariance functionparameters, stochastic natural gradient steps in the parametersof q(u).New strategy: represent S as LL> (unconstrained). Throwm,L,Z,θ at Adagrad.

Overview






Bonus: Deep GPs

UK apartment prices

I Monthly price paid data for February to October 2012(England and Wales)

I from http://data.gov.uk/dataset/land-registry-monthly-price-paid-data/

I 75,000 entriesI Cross referenced against a postcode database to get

lattitude and longitudeI Regressed the normalised logarithm of the apartment

prices

http://data.gov.uk/dataset/land-registry-monthly-price-paid-data/

http://data.gov.uk/dataset/land-registry-monthly-price-paid-data/

Airline data

I Flight delays for everycommercial flight in theUSA from January to April2008.

I Average delay was 30minutes.

I We randomly selected800,000 datapoints (wehave limited memory!)

I 700,000 train, 100,000 test

Month

DayOfM

onth

DayOfW

eek

DepTim

e

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e

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e

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ce

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e length

scale

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SE

GPs on subsets

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Overview






Bonus: Deep GPs

What about Classification?

I Some of the above integrals are intractable, because of thenon-Gaussian likelihood

I Since the likelihood factorizes, we need to do None-dimension integrals

I Gauss-hermite quadrature works well! For derivatives alsoI Paper in AISTATS 2015

Does it work?KLSP

M=4 M=8 M=16 M=32 M=64 Full

MF

GFIT

C

Is it competetive?

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Holdou

tnegativelogprobab

ility

KLSp M=4KLSp M=50KLSp M=200MFSp M=4MFSp M=50MFSp M=200EPFitc M=4EPFitc M=50EPFitc M=200

Big data?

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error(%

)

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-log

p(y)

Overview






Bonus: Deep GPs

Bonus! Deep GPs

Deep models using compound functions:

y = f1( f2(... fn(x)))

xn

h(1)nqu(1)

d

Z0

Z1

h(2)nqu(2)

dZ2

yndu(3)d

d = 1...D1

d = 1...D2

d = 1...Dn = 1...N

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Scalable Gaussian Process Methodsseminars/seminars/Extra/2015... · I Numerical integration (1D)...

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