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Assessing Approximate Inference for Binary Gaussian Process Classification

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http://pubman.mpdl.mpg.de/cone/persons/resource/persons84030

Kuss,  M
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

http://pubman.mpdl.mpg.de/cone/persons/resource/persons84156

Rasmussen,  C
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Kuss, M., & Rasmussen, C. (2005). Assessing Approximate Inference for Binary Gaussian Process Classification. Journal of Machine Learning Research, 6, 1679. Retrieved from http://www.jmlr.org/papers/volume6/kuss05a/kuss05a.pdf.


Cite as: http://hdl.handle.net/11858/00-001M-0000-0013-D3E9-6
Abstract
Gaussian process priors can be used to define flexible, probabilistic classification models. Unfortunately exact Bayesian inference is analytically intractable and various approximation techniques have been proposed. In this work we review and compare Laplace‘s method and Expectation Propagation for approximate Bayesian inference in the binary Gaussian process classification model. We present a comprehensive comparison of the approximations, their predictive performance and marginal likelihood estimates to results obtained by MCMC sampling. We explain theoretically and corroborate empirically the advantages of Expectation Propagation compared to Laplace‘s method.