Scalable Gaussian Process Using Inexact ADMM for Big Data

Abstract

Gaussian process (GP) for machine learning has been well studied over the past two decades and is now widely used in many sectors. However, the design of low-complexity GP models still remains a challenging research problem. In this paper, we propose a novel scalable GP regression model for processing big datasets, using a large number of parallel computation units. In contrast to the existing methods, we solve the classic maximum likelihood based hyper-parameter optimization problem by a carefully designed distributed alternating direction method of multipliers (ADMM). The proposed method is parallelizable over a large number of computation units. Simulation results confirm the benefits of the proposed scalable GP model over the state-of-the-art distributed methods.

Publication
IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP 2019)