Efficient Gaussian Process Classification Using Polya-Gamma Data Augmentation

Florian Wenzel, Théo Galy-Fajou, Christian Donner, Marius Kloft, Manfred Opper

Abstract: We propose a scalable stochastic variational approach to GP classification building on Polya-Gamma data augmentation and inducing points. Unlike former approaches, we obtain closed-form updates based on natural gradients that lead to efficient optimization. We evaluate the algorithm on real-world datasets containing up to 11 million data points and demonstrate that it is up to two orders of magnitude faster than the state-of-the-art while being competitive in terms of prediction performance.