Recommendations for Baselines and Benchmarking Approximate Gaussian
  Processes
Sebastian W. Ober Artem Artemev Marcel Wagenländer Rudolfs Grobins Mark van der Wilk
Gaussian processes (GPs) are a mature and widely-used component of the ML
toolbox. One of their desirable qualities is automatic hyperparameter
selection, which allows for training without user intervention. However, in
many realistic settings, approximations are typically needed, which typically
do require tuning. We argue that this requirement for tuning complicates
evaluation, which has led to a lack of a clear recommendations on which method
should be used in which situation. To address this, we make recommendations for
comparing GP approximations based on a specification of what a user should
expect from a method. In addition, we develop a training procedure for the
variational method of Titsias [2009] that leaves no choices to the user, and
show that this is a strong baseline that meets our specification. We conclude
that benchmarking according to our suggestions gives a clearer view of the
current state of the field, and uncovers problems that are still open that
future papers should address.