Inter-domain Deep Gaussian Processes with RKHS Fourier Features

Inter-domain Gaussian processes (GPs) allow for high flexibility and low computational cost when performing approximate inference in GP models. They are particularly suitable for modeling data exhibiting global function behavior but are limited to stationary covariance functions and thus fail to model non-stationary data effectively. We propose Inter-domain Deep Gaussian Processes with RKHS Fourier Features, an extension of shallow inter-domain GPs that combines the advantages of inter-domain and deep Gaussian processes (DGPs) and demonstrate how to leverage existing approximate inference approaches to perform simple and scalable approximate inference on Inter-domain Deep Gaussian Processes. We assess the performance of our method on a wide range of prediction problems and demonstrate that it outperforms inter-domain GPs and DGPs on challenging large-scale and high-dimensional real-world datasets exhibiting both global behavior as well as a high-degree of non-stationarity.