Scalable GAM using sparse variational Gaussian processes

Vincent Adam; Nicolas Durrande; ST John

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arXiv · 1812.11106

Scalable GAM using sparse variational Gaussian processes

Vincent Adam·Nicolas Durrande·ST John

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Abstract

Generalized additive models (GAMs) are a widely used class of models of interest to statisticians as they provide a flexible way to design interpretable models of data beyond linear models. We here propose a scalable and well-calibrated Bayesian treatment of GAMs using Gaussian processes (GPs) and leveraging recent advances in variational inference. We use sparse GPs to represent each component and exploit the additive structure of the model to efficiently represent a Gaussian a posteriori coupling between the components.

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Vincent Adam, Nicolas Durrande, ST John. 2018-12-28. Scalable GAM using sparse variational Gaussian processes. https://arxiv.org/abs/1812.11106

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