Variational Heteroscedastic Gaussian Process Regression

@inproceedings{LzaroGredilla2011VariationalHG,
  title={Variational Heteroscedastic Gaussian Process Regression},
  author={Miguel L{\'a}zaro-Gredilla and Michalis K. Titsias},
  booktitle={ICML},
  year={2011}
}
Standard Gaussian processes (GPs) model observations’ noise as constant throughout input space. This is often a too restrictive assumption, but one that is needed for GP inference to be tractable. In this work we present a non-standard variational approximation that allows accurate inference in heteroscedastic GPs (i.e., under inputdependent noise conditions). Computational cost is roughly twice that of the standard GP, and also scales as O(n). Accuracy is verified by comparing with the golden… CONTINUE READING
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