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Workshop: Gaussian Processes, Spatiotemporal Modeling, and Decision-making Systems

Fantasizing with Dual GPs in Bayesian Optimization and Active Learning

Paul Chang · Prakhar Verma · ST John · Victor Picheny · Henry Moss · Arno Solin


Gaussian Processes (GPs) are popular surrogate models for sequential decision making tasks such as Bayesian Optimization and Active Learning. Such frameworks often exploit well-known cheap methods for conditioning a GP posterior on new data. However, these standard methods cannot be applied to popular but more complex models such as sparse GPs or for non-conjugate likelihoods due to a lack of such update formulas. Using an alternative sparse Dual GP parameterization, we show that these costly computations can be avoided, whilst enjoying one-step updates for non-Gaussian likelihoods. The resulting algorithms allow for cheap batch formulations that work with most acquisition functions.

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