A Matrix-free Approach for Solving the Parametric Gaussian Process Maximum Likelihood Problem

@article{Anitescu2012AMA,
  title={A Matrix-free Approach for Solving the Parametric Gaussian Process Maximum Likelihood Problem},
  author={Mihai Anitescu and Jie Chen and Lei Wang},
  journal={SIAM J. Scientific Computing},
  year={2012},
  volume={34}
}
Gaussian processes are the cornerstone of statistical analysis in many application areas. Nevertheless, most of the applications are limited by their need to use the Cholesky factorization in the computation of the likelihood. In this work, we present a matrix-free approach for computing the solution of the maximum likelihood problem involving Gaussian processes. The approach is based on a stochastic programming reformulation followed by sample average approximation applied to either the… CONTINUE READING

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