A Unifying Framework for Gaussian Process Pseudo-Point Approximations using Power Expectation Propagation

Gaussian processes (GPs) are flexible distributions over functions that enable highlevel assumptions about unknown functions to be encoded in a parsimonious, flexible and general way. Although elegant, the application of GPs is limited by computational and analytical intractabilities that arise when data are sufficiently numerous or when employing non-Gaussian models. Consequently, a wealth of GP approximation schemes have been developed over the last 15 years to address these key limitations. Many of these schemes employ a small set of pseudo data points to summarise the actual data. In this paper we develop a new pseudo-point approximation framework using Power Expectation Propagation (Power EP) that unifies a large number of these pseudo-point approximations. Unlike much of the previous venerable work in this area, the new framework is built on standard methods for approximate inference (variational free-energy, EP and Power EP methods) rather than employing approximations to the probabilistic generative model itself. In this way all of the approximation is performed at ‘inference time’ rather than at ‘modelling time’, resolving awkward philosophical and empirical questions that trouble previous approaches. Crucially, we demonstrate that the new framework includes new pseudo-point approximation methods that outperform current approaches on regression and classification tasks.