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Large, multi-dimensional spatio-temporal datasets are omnipresent in modern science and engineering. An effective framework for handling such data are Gaussian process deep generative models (GP-DGMs), which employ GP priors over the latent variables of DGMs. Existing approaches for performing inference in GP-DGMs do not support sparse GP approximations based on inducing points, which are essential for the computational efficiency of GPs, nor do they handle missing data -- a natural occurrence in many spatio-temporal datasets -- in a principled manner. We address these shortcomings with the development of the sparse Gaussian process variational autoencoder (SGP-VAE), characterised by the use of partial inference networks for parameterising sparse GP approximations. Leveraging the benefits of amortised variational inference, the SGP-VAE enables inference in multi-output sparse GPs on previously unobserved data with no additional training. The SGP-VAE is evaluated in a variety of experiments where it outperforms alternative approaches including multi-output GPs and structured VAEs.
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Conventional variational autoencoders fail in modeling correlations between data points due to their use of factorized priors. Amortized Gaussian process inference through GP-VAEs has led to significant improvements in this regard, but is still inhibited by the intrinsic complexity of exact GP inference. We improve the scalability of these methods through principled sparse inference approaches. We propose a new scalable GP-VAE model that outperforms existing approaches in terms of runtime and memory footprint, is easy to implement, and allows for joint end-to-end optimization of all components.
Variational autoencoders (VAE) are a powerful and widely-used class of models to learn complex data distributions in an unsupervised fashion. One important limitation of VAEs is the prior assumption that latent sample representations are independent and identically distributed. However, for many important datasets, such as time-series of images, this assumption is too strong: accounting for covariances between samples, such as those in time, can yield to a more appropriate model specification and improve performance in downstream tasks. In this work, we introduce a new model, the Gaussian Process (GP) Prior Variational Autoencoder (GPPVAE), to specifically address this issue. The GPPVAE aims to combine the power of VAEs with the ability to model correlations afforded by GP priors. To achieve efficient inference in this new class of models, we leverage structure in the covariance matrix, and introduce a new stochastic backpropagation strategy that allows for computing stochastic gradients in a distributed and low-memory fashion. We show that our method outperforms conditional VAEs (CVAEs) and an adaptation of standard VAEs in two image data applications.
Compressed sensing techniques enable efficient acquisition and recovery of sparse, high-dimensional data signals via low-dimensional projections. In this work, we propose Uncertainty Autoencoders, a learning framework for unsupervised representation learning inspired by compressed sensing. We treat the low-dimensional projections as noisy latent representations of an autoencoder and directly learn both the acquisition (i.e., encoding) and amortized recovery (i.e., decoding) procedures. Our learning objective optimizes for a tractable variational lower bound to the mutual information between the datapoints and the latent representations. We show how our framework provides a unified treatment to several lines of research in dimensionality reduction, compressed sensing, and generative modeling. Empirically, we demonstrate a 32% improvement on average over competing approaches for the task of statistical compressed sensing of high-dimensional datasets.
Manifold-valued data naturally arises in medical imaging. In cognitive neuroscience, for instance, brain connectomes base the analysis of coactivation patterns between different brain regions on the analysis of the correlations of their functional Magnetic Resonance Imaging (fMRI) time series - an object thus constrained by construction to belong to the manifold of symmetric positive definite matrices. One of the challenges that naturally arises consists of finding a lower-dimensional subspace for representing such manifold-valued data. Traditional techniques, like principal component analysis, are ill-adapted to tackle non-Euclidean spaces and may fail to achieve a lower-dimensional representation of the data - thus potentially pointing to the absence of lower-dimensional representation of the data. However, these techniques are restricted in that: (i) they do not leverage the assumption that the connectomes belong on a pre-specified manifold, therefore discarding information; (ii) they can only fit a linear subspace to the data. In this paper, we are interested in variants to learn potentially highly curved submanifolds of manifold-valued data. Motivated by the brain connectomes example, we investigate a latent variable generative model, which has the added benefit of providing us with uncertainty estimates - a crucial quantity in the medical applications we are considering. While latent variable models have been proposed to learn linear and nonlinear spaces for Euclidean data, or geodesic subspaces for manifold data, no intrinsic latent variable model exists to learn nongeodesic subspaces for manifold data. This paper fills this gap and formulates a Riemannian variational autoencoder with an intrinsic generative model of manifold-valued data. We evaluate its performances on synthetic and real datasets by introducing the formalism of weighted Riemannian submanifolds.
Gaussian processes are distributions over functions that are versatile and mathematically convenient priors in Bayesian modelling. However, their use is often impeded for data with large numbers of observations, $N$, due to the cubic (in $N$) cost of matrix operations used in exact inference. Many solutions have been proposed that rely on $M ll N$ inducing variables to form an approximation at a cost of $mathcal{O}(NM^2)$. While the computational cost appears linear in $N$, the true complexity depends on how $M$ must scale with $N$ to ensure a certain quality of the approximation. In this work, we investigate upper and lower bounds on how $M$ needs to grow with $N$ to ensure high quality approximations. We show that we can make the KL-divergence between the approximate model and the exact posterior arbitrarily small for a Gaussian-noise regression model with $Mll N$. Specifically, for the popular squared exponential kernel and $D$-dimensional Gaussian distributed covariates, $M=mathcal{O}((log N)^D)$ suffice and a method with an overall computational cost of $mathcal{O}(N(log N)^{2D}(loglog N)^2)$ can be used to perform inference.
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