We propose an efficient stochastic variational approach to GP classification building on Polya- 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 three orders of magnitude faster than the state-of-the-art while being competitive in terms of prediction performance.
We propose a fast inference method for Bayesian nonlinear support vector machines that leverages stochastic variational inference and inducing points. Our experiments show that the proposed method is faster than competing Bayesian approaches and scales easily to millions of data points. It provides additional features over frequentist competitors such as accurate predictive uncertainty estimates and automatic hyperparameter search.