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

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Figure 1

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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