The Generalized FITC Approximation

We present an efficient generalization of the sparse pseudo-input Gaussian process (SPGP) model developed by Snelson and Ghahramani [1], applying it to binary classification problems. By taking advantage of the SPGP prior covariance structure, we derive a numerically stable algorithm with O(NM) training complexity—asymptotically the same as related sparse methods such as the informative vector machine [2], but which more faithfully represents the posterior. We present experimental results for several benchmark problems showing that in many cases this allows an exceptional degree of sparsity without compromising accuracy. Following [1], we locate pseudo-inputs by gradient ascent on the marginal likelihood, but exhibit occasions when this is likely to fail, for which we suggest alternative solutions.