Evidence
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Local approximation methods offer an alternative route to scalability by partitioning the training data into subsets and training individual GP experts on each, which allows them to capture non-stationary local patterns that a single global inducing set may miss. However, this local focus comes at a cost, as naive local approximations can produce discontinuities at the boundaries of sub-regions and risk over-fitting within some local regions.
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Understanding and Comparing Scalable Gaussian Process Regression for Big Data ↗
Different from the sparse approximations which capture long-term spatial correlations based on the global inducing set, the local approximations focus on subspace learning via local experts, thus capturing local patterns (non-stationary features). As an illustration, we apply the pure local GPs to t…
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Different from the sparse approximations which capture long-term spatial correlations based on the global inducing set, the local approximations focus on subspace learning via local experts, thus capturing local patterns (non-stationary features). As an illustration, we apply the pure local GPs to the toy example ( 25 ) in Fig. 4 . Particularly, we partition the 120 training points into M = 10 M=10 local subsets and train individual GP experts. It is found that the naive local approximation captures local patterns at the cost of (i) producing discontinuity on the boundaries of sub-regions, and (ii) risking over-fitting in some local regions.