Scalable lévy process priors for spectral kernel learning

Phillip A. Jang, Andrew E. Loeb, Matthew B. Davidow, Andrew Gordon Wilson

Research output: Contribution to journalConference articlepeer-review


Gaussian processes are rich distributions over functions, with generalization properties determined by a kernel function. When used for long-range extrapolation, predictions are particularly sensitive to the choice of kernel parameters. It is therefore critical to account for kernel uncertainty in our predictive distributions. We propose a distribution over kernels formed by modelling a spectral mixture density with a Lévy process. The resulting distribution has support for all stationary covariances - including the popular RBF, periodic, and Matérn kernels - combined with inductive biases which enable automatic and data efficient learning, long-range extrapolation, and state of the art predictive performance. The proposed model also presents an approach to spectral regularization, as the Lévy process introduces a sparsity-inducing prior over mixture components, allowing automatic selection over model order and pruning of extraneous components. We exploit the algebraic structure of the proposed process for O(n) training and O(1) predictions. We perform extrapolations having reasonable uncertainty estimates on several benchmarks, show that the proposed model can recover flexible ground truth covariances and that it is robust to errors in initialization.

Original languageEnglish (US)
Pages (from-to)3941-3950
Number of pages10
JournalAdvances in Neural Information Processing Systems
StatePublished - 2017
Event31st Annual Conference on Neural Information Processing Systems, NIPS 2017 - Long Beach, United States
Duration: Dec 4 2017Dec 9 2017

ASJC Scopus subject areas

  • Computer Networks and Communications
  • Information Systems
  • Signal Processing


Dive into the research topics of 'Scalable lévy process priors for spectral kernel learning'. Together they form a unique fingerprint.

Cite this