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Poster
Scaling Gaussian Processes with Derivative Information Using Variational Inference
Misha Padidar · Xinran Zhu · Leo Huang · Jacob Gardner · David Bindel

Tue Dec 07 08:30 AM -- 10:00 AM (PST) @
in Poster Session 1 »
Gaussian processes with derivative information are useful in many settings where derivative information is available, including numerous Bayesian optimization and regression tasks that arise in the natural sciences. Incorporating derivative observations, however, comes with a dominating $O(N^3D^3)$ computational cost when training on $N$ points in $D$ input dimensions. This is intractable for even moderately sized problems. While recent work has addressed this intractability in the low-$D$ setting, the high-$N$, high-$D$ setting is still unexplored and of great value, particularly as machine learning problems increasingly become high dimensional. In this paper, we introduce methods to achieve fully scalable Gaussian process regression with derivatives using variational inference. Analogous to the use of inducing values to sparsify the labels of a training set, we introduce the concept of inducing directional derivatives to sparsify the partial derivative information of the training set. This enables us to construct a variational posterior that incorporates derivative information but whose size depends neither on the full dataset size $N$ nor the full dimensionality $D$. We demonstrate the full scalability of our approach on a variety of tasks, ranging from a high dimensional Stellarator fusion regression task to training graph convolutional neural networks on PubMed using Bayesian optimization. Surprisingly, we additionally find that our approach can improve regression performance even in settings where only label data is available.
Keywords: Deep Learning · Optimization · Machine Learning · Generative Model · Graph Learning · Kernel Methods

Author Information

Misha Padidar (Cornell University)
Xinran Zhu (Cornell University)
Leo Huang (Cornell University)
Jacob Gardner (University of Pennsylvania)
David Bindel (Cornell University)

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