Gpytorch: Blackbox matrix-matrix Gaussian process inference with GPU acceleration

Jacob R. Gardner, Geoff Pleiss, David Bindel, Kilian Q. Weinberger, Andrew Gordon Wilson

Research output: Contribution to journalConference articlepeer-review

Abstract

Despite advances in scalable models, the inference tools used for Gaussian processes (GPs) have yet to fully capitalize on developments in computing hardware. We present an efficient and general approach to GP inference based on Blackbox Matrix-Matrix multiplication (BBMM). BBMM inference uses a modified batched version of the conjugate gradients algorithm to derive all terms for training and inference in a single call. BBMM reduces the asymptotic complexity of exact GP inference from O(n3) to O(n2). Adapting this algorithm to scalable approximations and complex GP models simply requires a routine for efficient matrix-matrix multiplication with the kernel and its derivative. In addition, BBMM uses a specialized preconditioner to substantially speed up convergence. In experiments we show that BBMM effectively uses GPU hardware to dramatically accelerate both exact GP inference and scalable approximations. Additionally, we provide GPyTorch, a software platform for scalable GP inference via BBMM, built on PyTorch.

Original languageEnglish (US)
Pages (from-to)7576-7586
Number of pages11
JournalAdvances in Neural Information Processing Systems
Volume2018-December
StatePublished - 2018
Event32nd Conference on Neural Information Processing Systems, NeurIPS 2018 - Montreal, Canada
Duration: Dec 2 2018Dec 8 2018

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing

Fingerprint Dive into the research topics of 'Gpytorch: Blackbox matrix-matrix Gaussian process inference with GPU acceleration'. Together they form a unique fingerprint.

Cite this