Gaussian Process Regression: PyMC3 much slower than Scikit-learn

What happens if you use find_MAP instead of NUTS? Then, use testvals to initialize the hyperparameters the same way as sklearn for a more apples to apples comparison.

I’m not terribly surprised that full MCMC is slower than optimization. Also, the speed of MCMC with GP’s depends a lot on the priors placed on the hyperparameters.

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