Fast Direct Methods for Gaussian Processes

@article{Ambikasaran2016FastDM,
  title={Fast Direct Methods for Gaussian Processes},
  author={Sivaram Ambikasaran and Daniel Foreman-Mackey and Leslie Greengard and David W. Hogg and Michael O'Neil},
  journal={IEEE Transactions on Pattern Analysis and Machine Intelligence},
  year={2016},
  volume={38},
  pages={252-265}
}
A number of problems in probability and statistics can be addressed using the multivariate normal (Gaussian) distribution. In the one-dimensional case, computing the probability for a given mean and variance simply requires the evaluation of the corresponding Gaussian density. In the n-dimensional setting, however, it requires the inversion of an n x n covariance matrix, C, as well as the evaluation of its determinant, det(C). In many cases, such as regression using Gaussian processes, the… CONTINUE READING
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