Fast Bayesian Inference for Gaussian Cox Processes via Path Integral FormulationDownload PDF

21 May 2021, 20:43 (modified: 09 Nov 2021, 07:02)NeurIPS 2021 SpotlightReaders: Everyone
Keywords: Gaussian Cox processes, point processes, time series analysis, path integral, Gaussian processes
Abstract: Gaussian Cox processes are widely-used point process models that use a Gaussian process to describe the Bayesian a priori uncertainty present in latent intensity functions. In this paper, we propose a novel Bayesian inference scheme for Gaussian Cox processes by exploiting a conceptually-intuitive {¥it path integral} formulation. The proposed scheme does not rely on domain discretization, scales linearly with the number of observed events, has a lower complexity than the state-of-the-art variational Bayesian schemes with respect to the number of inducing points, and is applicable to a wide range of Gaussian Cox processes with various types of link functions. Our scheme is especially beneficial under the multi-dimensional input setting, where the number of inducing points tends to be large. We evaluate our scheme on synthetic and real-world data, and show that it achieves comparable predictive accuracy while being tens of times faster than reference methods.
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