Fast and Scalable Spike and Slab Variable Selection in High-Dimensional Gaussian Processes

1 code implementation • 8 Nov 2021 • Hugh Dance, Brooks Paige

Variable selection in Gaussian processes (GPs) is typically undertaken by thresholding the inverse lengthscales of automatic relevance determination kernels, but in high-dimensional datasets this approach can be unreliable.

Gaussian Processes Variable Selection +1