A variational method, using the 'tilted' distribution from EP as the averaging distribution.
Here we have implemented TVB for inference in Gaussian process classifiacation and robust regression.
Our paper has been accepted for publication at AISTATS. Here's the citation-to-be:
@inproceedings{hensman2014tilted,
title={Tilted Variational Bayes},
author={Hensman, James and Zwie\ss ele, Max and Lawrence, Neil D.},
booktitle={International Conference on Artificial Intelligence and Statistics},
publisher={JMLR W\&CP},
year={2014}
}
You can download a copy of the (almost) final paper, with supplementary material attached here: http://staffwww.dcs.sheffield.ac.uk/people/J.Hensman/hensman_2014_TVB.pdf
This code depends on our open source project GPy: http://github.com/SheffieldML/GPy
The code is released under the GNU GPL (see LICENSE.txt).