Scalable Lévy Process Priors for Spectral Kernel Learning

Gaussian processes are rich distributions over functions, with generalization properties determined by a kernel function. When used for long-range extrapolation, predictions are particularly sensitive to the choice of kernel parameters. It is therefore critical to account for kernel uncertainty in our predictive distributions. We propose a distribution over kernels formed by modelling a spectral mixture density with a Lévy process. The resulting distribution has support for all stationary covariances--including the popular RBF, periodic, and Matérn kernels--combined with inductive biases which enable automatic and data efficient learning, long-range extrapolation, and state of the art predictive performance. The proposed model also presents an approach to spectral regularization, as the Lévy process introduces a sparsity-inducing prior over mixture components, allowing automatic selection over model order and pruning of extraneous components. We exploit the algebraic structure of the proposed process for $\mathcal{O}(n)$ training and $\mathcal{O}(1)$ predictions. We perform extrapolations having reasonable uncertainty estimates on several benchmarks, show that the proposed model can recover flexible ground truth covariances and that it is robust to errors in initialization.