PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Assessing Approximate Inference for Binary Gaussian Process Classification
Malte Kuss and Carl Edward Rasmussen
Journal of Machie Learning Research Volume 6, pp. 1679-1704, 2005.


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.

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EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:1193
Deposited By:Malte Kuss
Deposited On:24 November 2005