Vecchia factoring of GP likelihoods
Ignore some conditioning in the dependencies and attain a sparse cholesky factor for the precision matrix
April 27, 2022 — April 27, 2022
algebra
approximation
Gaussian
generative
graphical models
Hilbert space
kernel tricks
machine learning
networks
optimization
probability
statistics
There are many ways to cleverly slice up GP likelihoods so that inference is cheap. One is the Vecchia approximation: approximate the precision matrix by one with a sparse Cholesky factorisation.
1 References
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