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We present an algorithm for minimizing a sum of functions that combines the computational efficiency of stochastic gradient descent (SGD) with the second order curvature information leveraged by quasi-Newton methods. We unify these…
One obstacle to the use of Gaussian processes (GPs) in large-scale problems, and as a component in deep learning system, is the need for bespoke derivations and implementations for small variations in the model or inference. In order to…
Recently, there has been a growing interest in mixed-categorical metamodels based on Gaussian Process (GP) for Bayesian optimization. In this context, different approaches can be used to build the mixed-categorical GP. Many of these…
Bayesian inverse problems highly rely on efficient and effective inference methods for uncertainty quantification (UQ). Infinite-dimensional MCMC algorithms, directly defined on function spaces, are robust under refinement of physical…
We study the trade-offs between convergence rate and robustness to gradient errors in designing a first-order algorithm. We focus on gradient descent (GD) and accelerated gradient (AG) methods for minimizing strongly convex functions when…
While Gaussian processes (GPs) are the method of choice for regression tasks, they also come with practical difficulties, as inference cost scales cubic in time and quadratic in memory. In this paper, we introduce a natural and expressive…
Gaussian process (GP) regression is a non-parametric, Bayesian framework to approximate complex models. Standard GP regression can lead to an unbounded model in which some points can take infeasible values. We introduce a new GP method that…
Gaussian process (GP) models that combine both categorical and continuous input variables have found use in analysis of longitudinal data and computer experiments. However, standard inference for these models has the typical cubic scaling,…
We address the issue of knots selection for Gaussian predictive process methodology. Predictive process approximation provides an effective solution to the cubic order computational complexity of Gaussian process models. This approximation…
We study the problem of maximizing constrained non-monotone submodular functions and provide approximation algorithms that improve existing algorithms in terms of either the approximation factor or simplicity. Our algorithms combine…
Gaussian processes (GPs) are widely used in nonparametric regression, classification and spatio-temporal modeling, motivated in part by a rich literature on theoretical properties. However, a well known drawback of GPs that limits their use…
Gaussian process (GP) regression is a powerful probabilistic modeling technique with built-in uncertainty quantification. When one has access to multiple correlated simulations (tasks), it is common to fit a multitask GP (MTGP) surrogate…
Gaussian processes (GPs) are a powerful tool for probabilistic inference over functions. They have been applied to both regression and non-linear dimensionality reduction, and offer desirable properties such as uncertainty estimates,…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
In this paper we propose new approaches to estimating large dimensional monotone index models. This class of models has been popular in the applied and theoretical econometrics literatures as it includes discrete choice, nonparametric…
In this paper, we consider the problem of Gaussian process (GP) optimization with an added robustness requirement: The returned point may be perturbed by an adversary, and we require the function value to remain as high as possible even…
Gaussian Processes are widely used for regression tasks. A known limitation in the application of Gaussian Processes to regression tasks is that the computation of the solution requires performing a matrix inversion. The solution also…
The vast quantity of information brought by big data as well as the evolving computer hardware encourages success stories in the machine learning community. In the meanwhile, it poses challenges for the Gaussian process (GP) regression, a…
Gaussian Process (GP) regression is a flexible non-parametric approach to approximate complex models. In many cases, these models correspond to processes with bounded physical properties. Standard GP regression typically results in a proxy…