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Structured variational inference in continuous Cox Process Models
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Aglietti, Virginia, Bonilla, Edwin, Damoulas, Theodoros and Cripps, Sally (2019) Structured variational inference in continuous Cox Process Models. In: NeurIPS 2019 : 33rd Conference on Neural Information Processing Systems, Canada, 8-14 Dec 2019. Published in: 33nd Conference on Neural Information Processing Systems (NeurIPS 2019) Vancouver, Canada, 8-14 December 2019, 32
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Official URL: https://nips.cc/Conferences/2019/ScheduleMultitrac...
Abstract
We propose a scalable framework for inference in a continuous sigmoidal Cox process that assumes the corresponding intensity function is given by a Gaussian process (GP) prior transformed with a scaled logistic sigmoid function. We present a tractable representation of the likelihood through augmentation with a superposition of Poisson processes. This view enables a structured variational approximation capturing dependencies across variables in the model. Our framework avoids discretization of the domain, does not require accurate numerical integration over the input space and is not limited to GPs with squared exponential kernels. We evaluate our approach on synthetic and real-world data showing that its benefits are particularly pronounced on multivariate input settings where it overcomes the limitations of mean-field methods and sampling schemes. We provide the state of-the-art in terms of speed, accuracy and uncertainty quantification trade-offs.
| Item Type: | Conference Item (Paper) | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science > Computer Science | ||||||
| Series Name: | Advances in Neural Information Processing Systems | ||||||
| Journal or Publication Title: | 33nd Conference on Neural Information Processing Systems (NeurIPS 2019) Vancouver, Canada, 8-14 December 2019 | ||||||
| Publisher: | Curran Associates, Inc. | ||||||
| Editor: | Wallach , H. and Larochelle, H. and Beygelzimer, A. and d'Alché, F. -B. | ||||||
| Official Date: | 11 December 2019 | ||||||
| Dates: |
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| Volume: | 32 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access | ||||||
| Conference Paper Type: | Paper | ||||||
| Title of Event: | NeurIPS 2019 : 33rd Conference on Neural Information Processing Systems | ||||||
| Type of Event: | Conference | ||||||
| Location of Event: | Canada | ||||||
| Date(s) of Event: | 8-14 Dec 2019 | ||||||
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| Open Access Version: |
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