Gaussian processes are a powerful framework for quantifying uncertainty and for sequential decision-making but are limited by the requirement of solving linear systems. In general, this has a cubic cost in dataset size and is sensitive to conditioning. We explore stochastic gradient algorithms as a computationally efficient method of approximately solving these linear systems: we develop low-variance optimization objectives for sampling from the posterior and extend these to inducing points. Counterintuitively, stochastic gradient descent often produces accurate predictions, even in cases where it does not converge quickly to the optimum. We explain this through a spectral characterization of the implicit bias from non-convergence. We show that stochastic gradient descent produces predictive distributions close to the true posterior both in regions with sufficient data coverage, and in regions sufficiently far away from the data. Experimentally, stochastic gradient descent achieves state-of-the-art performance on sufficiently large-scale or ill-conditioned regression tasks. Its uncertainty estimates match the performance of significantly more expensive baselines on a large-scale Bayesian~optimization~task.

本论文介绍了通过使用随机梯度算法来近似解决高斯过程中线性系统求解的限制，并利用影响收敛的隐含偏差的谱特点来解释结果，最终在大规模数据集上取得了最先进的预测性能和不确定性估计。

使用随机梯度下降从高斯过程后验分布中进行采样