Efficient Marginal Likelihood Computation for Gaussian Process Regression
Abstract
In a Bayesian learning setting, the posterior distribution of a predictive model arises from a tradeoff between its prior distribution and the conditional likelihood of observed data. Such distribution functions usually rely on additional hyperparameters which need to be tuned in order to achieve optimum predictive performance; this operation can be efficiently performed in an Empirical Bayes fashion by maximizing the posterior marginal likelihood of the observed data. Since the score function of this optimization problem is in general characterized by the presence of local optima, it is necessary to resort to global optimization strategies, which require a large number of function evaluations. Given that the evaluation is usually computationally intensive and badly scaled with respect to the dataset size, the maximum number of observations that can be treated simultaneously is quite limited. In this paper, we consider the case of hyperparameter tuning in Gaussian process regression. A straightforward implementation of the posterior loglikelihood for this model requires O(N^3) operations for every iteration of the optimization procedure, where N is the number of examples in the input dataset. We derive a novel set of identities that allow, after an initial overhead of O(N^3), the evaluation of the score function, as well as the Jacobian and Hessian matrices, in O(N) operations. We prove how the proposed identities, that follow from the eigendecomposition of the kernel matrix, yield a reduction of several orders of magnitude in the computation time for the hyperparameter optimization problem. Notably, the proposed solution provides computational advantages even with respect to state of the art approximations that rely on sparse kernel matrices.
 Publication:

arXiv eprints
 Pub Date:
 October 2011
 arXiv:
 arXiv:1110.6546
 Bibcode:
 2011arXiv1110.6546S
 Keywords:

 Statistics  Machine Learning;
 Statistics  Computation;
 60G15
 EPrint:
 20 pages, 3 figures