Forecasting of commercial sales with large scale Gaussian Processes

This paper argues that there has not been enough discussion in the field of applications of Gaussian Process for the fast moving consumer goods industry. Yet, this technique can be important as it e.g., can provide automatic feature relevance determination and the posterior mean can unlock insights on the data. Significant challenges are the large size and high dimensionality of commercial data at a point of sale. The study reviews approaches in the Gaussian Processes modeling for large data sets, evaluates their performance on commercial sales and shows value of this type of models as a decision-making tool for management.Comment: 1o pages, 5 figure

Doubly Stochastic Variational Inference for Deep Gaussian Processes

Gaussian processes (GPs) are a good choice for function approximation as they are flexible, robust to over-fitting, and provide well-calibrated predictive uncertainty. Deep Gaussian processes (DGPs) are multi-layer generalisations of GPs, but inference in these models has proved challenging. Existing approaches to inference in DGP models assume approximate posteriors that force independence between the layers, and do not work well in practice. We present a doubly stochastic variational inference algorithm, which does not force independence between layers. With our method of inference we demonstrate that a DGP model can be used effectively on data ranging in size from hundreds to a billion points. We provide strong empirical evidence that our inference scheme for DGPs works well in practice in both classification and regression.Comment: NIPS 201