In this paper we investigate multi-task learning in the context of Gaussian Processes (GP). We propose a model that learns a shared covariance function on input-dependent features and a “free-form” covariance matrix over tasks. This allows for good flexibility when modelling inter-task dependencies while avoiding the need for large amounts of data for training. We show that under the assumption...

We present the Gaussian Process Density Sampler (GPDS), an exchangeable generative model for use in nonparametric Bayesian density estimation. Samples drawn from the GPDS are consistent with exact, independent samples from a fixed density function that is a transformation of a function drawn from a Gaussian process prior. Our formulation allows us to infer an unknown density from data using Mar...

We address the issue of knots selection for Gaussian predictive process methodology. Predictive process approximation provides an effective solution to the cubic order computational complexity of Gaussian process models. This approximation crucially depends on a set of points, called knots, at which the original process is retained, while the rest is approximated via a deterministic extrapolati...

A Gaussian Process Regression model is equivalent to an infinitely wide neural network with single hidden layer and similarly a DGP is a multi-layer neural network with multiple infinitely wide hidden layers [Neal, 1995]. DGPs employ a hierarchical structural of GP mappings and therefore are arguably more flexible, have a greater capacity to generalize, and are able to provide better predictive...

Gaussian processes-prior systems generally consist of noisy measurements of samples of the putatively Gaussian process of interest, where the samples serve to constrain the posterior estimate. Here we consider the case where the measurements are instead noisy weighted sums of samples. This framework incorporates measurements of derivative information and of filtered versions of the process, the...

Gaussian process classification is a popular method with a number of appealing properties. We show how to scale the model within a variational inducing point framework, outperforming the state of the art on benchmark datasets. Importantly, the variational formulation can be exploited to allow classification in problems with millions of data points, as we demonstrate in experiments.