Glossary

The vocabulary GPJax’s documentation assumes. Every term here is linkable from anywhere in the docs with {term}`jitter`, so the examples can use the words without stopping to redefine them.

ARD

Automatic relevance determination. A kernel with one lengthscale per input dimension rather than a single shared one. Dimensions that the data says are uninformative are driven to large lengthscales, effectively switching them off. In GPJax any stationary kernel becomes ARD by passing a vector lengthscale of length n_dims.

Cholesky factor

The unique lower-triangular \(\mathbf{L}\) with \(\mathbf{\Sigma} = \mathbf{L}\mathbf{L}^\top\) for a symmetric positive-definite \(\mathbf{\Sigma}\). Computing it costs \(\sim n^3/3\) flops — half an LU factorisation — after which each solve is only two triangular substitutions at \(\mathcal{O}(n^2)\) apiece. That asymmetry, a factorisation paid once against solves that are cheap thereafter, is why essentially every GP computation routes through it. See cholesky_factor and the sharp bits.

conjugate

A prior and likelihood pair for which the posterior has the same form as the prior, so it is available in closed form. For Gaussian processes this means a Gaussian likelihood, giving a ConjugatePosterior whose conjugate_mll needs no approximation. Anything else — Bernoulli, Poisson — is non-conjugate, and the latent function values must be approximated: by MAP or a Laplace approximation, by variational inference, or by MCMC.

ELBO

Evidence lower bound. A tractable lower bound on the marginal log-likelihood, maximised in place of it when the latter is unavailable. GPJax provides elbo for the uncollapsed (mini-batchable) bound and collapsed_elbo for the collapsed bound, which solves the variational parameters analytically but requires a conjugate likelihood and a full pass over the data.

Gram matrix

The matrix \(\mathbf{K}_{\boldsymbol{xx}}\) of kernel evaluations between every pair of inputs, \([\mathbf{K}_{\boldsymbol{xx}}]_{ij} = k(x_i, x_j)\). Symmetric and positive semi-definite by construction. Produced by a kernel’s gram() method, which returns a Lineax AbstractLinearOperator rather than a dense array, so structure can be exploited.

inducing points

A set of \(m \ll n\) pseudo-inputs \(\boldsymbol{z}\) that summarise the training data, reducing inference from \(\mathcal{O}(n^3)\) to \(\mathcal{O}(nm^2)\). They are ordinary model parameters and are optimised alongside the kernel hyperparameters. Also called pseudo-points. See the sparse regression notebook.

jitter

A small constant — \(10^{-6}\) by default — added to the diagonal of a Gram matrix before factorisation. Kernel matrices are positive definite mathematically but can pick up tiny negative eigenvalues in floating point when inputs are close together, which makes the Cholesky factor fail. Applied by add_jitter.

lengthscale

The kernel hyperparameter \(\ell\) controlling how far apart two inputs must be before their function values decorrelate. Small lengthscales give wiggly functions, large ones give smooth functions. Strictly positive, so GPJax stores it as a PositiveReal.

marginal log-likelihood

\(\log p(\boldsymbol{y})\) with the latent function integrated out — the standard objective for learning GP hyperparameters. Available in closed form only in the conjugate case, where it is conjugate_mll. Optimised by maximising it, so GPJax’s fitting routines are handed its negation.

natural parameters

The parameterisation \((\mathbf{\Sigma}^{-1}\boldsymbol{\mu}, -\tfrac{1}{2}\mathbf{\Sigma}^{-1})\) of a Gaussian, as opposed to the moment parameterisation \((\boldsymbol{\mu}, \mathbf{\Sigma})\). Their use is what makes natural gradients cheap: the natural gradient with respect to the natural parameters is exactly the ordinary gradient with respect to the expectation parameters, so following the information geometry of the distribution costs no Fisher-matrix inversion. Convergence is typically far faster than plain gradient descent on the moments. See NaturalVariationalGaussian and ExpectationVariationalGaussian.

variance

The kernel hyperparameter \(\sigma^2\) setting the marginal variance of the process — how far function values stray from the mean. Distinct from the observation noise variance carried by the likelihood, which is a common source of confusion when reading a fitted model’s parameters.

variational inference

Approximating an intractable posterior by finding the closest member of a tractable family, measured by KL divergence. Turns integration into optimisation, and is what makes non-conjugate likelihoods and large datasets tractable. GPJax’s families are listed under variational families.

whitening

A reparameterisation of the variational distribution in terms of \(\boldsymbol{v}\) with \(\boldsymbol{u} = \mathbf{L}\boldsymbol{v}\), where \(\mathbf{L}\) is the Cholesky factor of the prior covariance over the inducing points. This decouples the variational parameters from the kernel hyperparameters and conditions the optimisation problem much better. See WhitenedVariationalGaussian.