Incremental Gaussian Processes

Quinonero Candela, J; Winther, O

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Incremental Gaussian Processes

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Citation

Quinonero Candela, J., & Winther, O. (2003). Incremental Gaussian Processes. In S. Becker, S. Thrun, & K. Obermayer (Eds.), Advances in Neural Information Processing Systems 15 (pp. 1001-1008). Cambridge, MA, USA: MIT Press.

Cite as: https://hdl.handle.net/11858/00-001M-0000-0013-DB41-7

Abstract

In this paper, we consider Tipping‘s relevance vector machine (RVM) and formalize an incremental training
strategy as a variant of the expectation-maximization (EM) algorithm that we call subspace EM. Working with a subset of active basis functions, the sparsity of the RVM solution will ensure that the number of basis functions and thereby the computational complexity is kept low. We also introduce a mean field approach to the intractable classification
model that is expected to give a very good approximation to exact Bayesian inference and contains the Laplace approximation as a special case. We test the algorithms on two large data sets with O(10^3-10^4) examples. The results indicate that Bayesian learning of large data sets, e.g.
the MNIST database is realistic.