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Stochastic Gradient Descent in Correlated Settings: A Study on Gaussian Processes
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Measured effects reported in the paper
| What was changed | Where | Measured | Effect |
|---|---|---|---|
| train GP hyperparameters with minibatch SGD (sgGP) instead of exact GP with PCG | GP · Levy | RMSE: 0.312 -> 0.265 | Helped |
| sgGP instead of exact GP | GP · Protein | RMSE: 0.694 -> 0.663 | Helped |
| sgGP instead of exact GP | GP · PM2.5 | RMSE: 0.286 -> 0.287 | No clear effect |
| sgGP instead of SVGP | GP · Levy | RMSE: 0.582 -> 0.265 | Helped |
| sgGP instead of exact GP | GP · Protein | training time (min): 500.33 -> 3.40 | Helped |
| sgGP instead of SVGP on 1M points | GP · Borehole | training time (min): 1380.86 -> 67.29 | Helped |
| larger minibatch size m (ablation) | minibatch SGD for GP · simulation n=1024, full gradient norm | convergence of full gradient | Helped |
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