Global Approximate Inference via Local Linearisation for Temporal Gaussian Processes

William J. Wilkinson, Paul E. Chang, Michael Riis Andersen, Arno Solin

Keywords: Temporal Gaussian processes, extended Kalman filter, expectation propagation

TL;DR: We unify the extended Kalman filter (EKF) and the state space approach to power expectation propagation (PEP) by solving the intractable moment matching integrals in PEP via linearisation. This leads to a globally iterated extension of the EKF.

Abstract: The extended Kalman filter (EKF) is a classical signal processing algorithm which performs efficient approximate Bayesian inference in non-conjugate models by linearising the local measurement function, avoiding the need to compute intractable integrals when calculating the posterior. In some cases the EKF outperforms methods which rely on cubature to solve such integrals, especially in time-critical real-world problems. The drawback of the EKF is its local nature, whereas state-of-the-art methods such as variational inference or expectation propagation (EP) are considered global approximations. We formulate power EP as a nonlinear Kalman filter, before showing that linearisation results in a globally iterated algorithm that exactly matches the EKF on the first pass through the data, and iteratively improves the linearisation on subsequent passes. An additional benefit is the ability to calculate the limit as the EP power tends to zero, which removes the instability of the EP-like algorithm. The resulting inference scheme solves non-conjugate temporal Gaussian process models in linear time, $\mathcal{O}(n)$, and in closed form.