Marginalised Gaussian Processes with Nested Sampling

Gaussian Process models are a rich distribution over functions with inductive biases controlled by a kernel function. Learning occurs through optimisation of the kernel hyperparameters using the marginal likelihood as the objective.

This work proposes nested sampling as a means of marginalising kernel hyperparameters, because it is a technique that is well-suited to exploring complex, multi-modal distributions.

We benchmark against Hamiltonian Monte Carlo on time-series and two-dimensional regression tasks, finding that a principled approach to quantifying hyperparameter uncertainty substantially improves the quality of prediction intervals.

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