Conditioning Sparse Variational Gaussian Processes for Online Decision-making

by   Wesley J. Maddox, et al.

With a principled representation of uncertainty and closed form posterior updates, Gaussian processes (GPs) are a natural choice for online decision making. However, Gaussian processes typically require at least 𝒪(n^2) computations for n training points, limiting their general applicability. Stochastic variational Gaussian processes (SVGPs) can provide scalable inference for a dataset of fixed size, but are difficult to efficiently condition on new data. We propose online variational conditioning (OVC), a procedure for efficiently conditioning SVGPs in an online setting that does not require re-training through the evidence lower bound with the addition of new data. OVC enables the pairing of SVGPs with advanced look-ahead acquisition functions for black-box optimization, even with non-Gaussian likelihoods. We show OVC provides compelling performance in a range of applications including active learning of malaria incidence, and reinforcement learning on MuJoCo simulated robotic control tasks.



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