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High-Dimensional Gaussian Process Inference with Derivatives

ICML 2021 · Probabilistic and scientific modeling › Uncertainty and Gaussian processes · approach: PAC-Bayes and decoupled GP learning · 2 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Exploit the Kronecker-plus-low-rank structure of derivative Gram matricesExact GP inference with gradient observations · Low-data regime (N<D)inference computational complexity: \mathcal{O}(N^3 D^3) -> \mathcal{O}(N^2 D + (N^2)^3)Helped
Use the analytical solution for the second-order polynomial kernelStructured gradient GP inference for probabilistic linear algebra · Quadratic optimization / probabilistic linear algebrainference computational complexity: \mathcal{O}(N^2 D + (N^2)^3) -> \mathcal{O}(N^2 D + N^3)Helped
Use implicit exact matrix-vector products with an iterative solver instead of constructing the full Gram matrixGradient GP inference · 100-dimensional relaxed Rosenbrock functionmemory: from \mathcal{O}((ND)^2) to \mathcal{O}(N^2 + ND)Helped
Replace true gradients with a GP gradient surrogate after an initial training phaseHMC · 100-dimensional synthetic targetacceptance rate: 0.46 ± 0.02 -> 0.50 ± 0.02Mixed
Use only gradient observations, without function evaluations, to train the HMC surrogateGPG-HMC · 100-dimensional synthetic targettrue gradient evaluations: N=10Helped
Use reversed inference to predict the optimizer from gradient observationsGP-based optimization · 100-dimensional quadratic optimizationconvergenceNo clear effect
Use GP Hessian inference with a fixed c=0GP-based optimization · 100-dimensional quadratic optimizationconvergenceHurt
Use GP-based Hessian or optimizer inference with an RBF kernelGP-based optimization · 100-dimensional relaxed Rosenbrock functionconvergenceNo clear effect

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