Quantile Propagation for Wasserstein-Approximate Gaussian Processes

21 Dec 2019Rui ZhangChristian J. WalderEdwin V. BonillaMarian-Andrei RizoiuLexing Xie

We develop a new approximate Bayesian inference method for Gaussian process models with factorized non-Gaussian likelihoods. Our method---dubbed Quantile Propagation (QP)---is similar to expectation propagation (EP) but minimizes the L_2 Wasserstein distance rather than the Kullback-Leibler (KL) divergence... (read more)

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