Scalable Logit Gaussian Process Classification

We propose an efficient stochastic variational approach to Gaussian Process (GP) classification building on Pólya-Gamma data augmentation and inducing points, which is based on closed-form updates of natural gradients. We evaluate the algorithm on real-world datasets containing up to 11 million data points and demonstrate that it is up to two orders of magnitude faster than the state-of-the-art while being competitive in terms of prediction performance.