PyMC Web Series: Introduction to Hilbert Space GPs in PyMC: A fast Gaussian process approximation that you can actually use
Speaker: Bill Engels (@bwengals)
Event type: Live webinar
Date: March 15 2023 (subscribe here for email updates)
Time: 22:00 UTC
Register for the live webinar on Meetup to get the Zoom link
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Welcome to another event in the PyMCon Web Series! As part of this series, most events will have one or more asynchronous components and a at least one live, synchronous component.
Recording of Bill’s synchronous talk
In this case, Bill has provided:
- A set resources for those looking for a background on Gaussian processes: see here
- A notebook including some pre-made approaches to data analysis for you to try out on your own data. These will include both Gaussian processes, but also related approaches (regression, B-splines, etc.): see here
In addition, approximately a week after Bill’s synchronous talk, we will host a special edition of PyMC Office Hours specifically focused on Gaussian processes of all flavors: see here
Abstract of the talk
Gaussian processes (GPs) are a versatile tool in the Bayesian modelers toolbox – in theory. In practice, for all but the smallest data sets, one needs to resort to approximations to actually fit GPs in any reasonable amount of time. There are currently a few GP approximations implemented in PyMC based on inducing points that are fast, but only apply when the likelihood is Gaussian. The Hilbert Space Gaussian Process (HSGP) approximation works well with any likelihood and scales as O(nm + m). In this talk I’ll introduce a PyMC HSGP implementation and show via case studies how it fills a few key gaps in the PyMC GP library: fast GPs as model subcomponents, and fast GPs with non-Gaussian likelihoods. I’ll also cover tips and tricks for applying HSGPs effectively in practice.