/GPyTorch-PowerEP

Implementation of Bui & Yan & Turner (2017)'s power EP for sparse GPs

Primary LanguagePython

Sparse Gaussian processes using power expectation propagation for GPyTorch

This repository implements the Power EP algorithm for Sparse GPs as described by Bui & Yan & Turner (2017). The code tries to follow the original implementation by Bui and has comments referencing the original code for comparison’s sake.

Requirements

This was implemented against torch==1.10.2, gpytorch==1.7.0.

Limitations

  • The code does not implement hyperparameter training through gradients of the approximation of the evidence;
  • No support for non-zero prior mean;
  • No support for batched GPs;
  • No support for multi-output GPs.