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Inference in Deep Gaussian Processes using Stochastic Gradient Hamiltonian Monte Carlo

NeurIPS 2018 · Probabilistic and scientific modeling › Uncertainty and Gaussian processes · approach: PAC-Bayes and decoupled GP learning · 63 citations (OpenAlex)

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Measured effects reported in the paper

What was changedWhereMeasuredEffect
Use SGHMC instead of DSVI for DGP inferenceDGP · medium-large regression datasetstest log-likelihoodHelped
Use SGHMC instead of DSVI for DGP inferenceDGP on protein · proteintraining speed to target: 1.6 times fasterHelped
Use SGHMC DGP 5 instead of the reported DGP baselineDGP · Harvard Clean Energy Projecttest MLL: -1.25 -> -0.83Helped
Use Dec DGP 3 instead of SGHMC DGP 3DGP on MNIST · MNISTaccuracy: 98.0 % -> 98.1 %Helped
Decouple inducing points for the mean and variance (ablation)DSVI DGP · molecules, protein, yeartest log-likelihoodHelped
Decouple inducing points for the mean and variance (ablation)DSVI DGP · other datasetstest log-likelihoodNo clear effect
Use fewer inducing points for the variance in the decoupled SGHMC DGP (ablation)SGHMC DGP · energy and wine_redtest log-likelihood stabilityHelped
Use fewer inducing points for the variance in the decoupled SGHMC DGP (ablation)SGHMC DGP · large datasetstest log-likelihoodNo clear effect
Intertwine sample generation and hyperparameter updates with Moving Window MCEM (ablation)MCEM for DGP hyperparameter optimization · kin8nmpredictive log-likelihoodHelped

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