Constant-Time Predictive Distributions for Gaussian Processes
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One of the most compelling features of Gaussian process (GP) regression is its ability to provide well calibrated posterior distributions. Recent advances in inducing point methods have drastically sped up marginal likelihood and posterior mean computations, leaving posterior covariance estimation and sampling as the remaining computational bottlenecks. In this paper we address this shortcoming by using the Lanczos decomposition algorithm to rapidly approximate the predictive covariance matrix. Our approach, which we refer to as LOVE (LanczOs Variance Estimates), substantially reduces the time and space complexity over any previous method. In practice, it can compute predictive covariances up to 2,000 times faster and draw samples 18,000 time faster than existing methods, all without sacrificing accuracy.
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