Efficient Gaussian process regression for large datasets

Journal Article

Gaussian processes are widely used in nonparametric regression, classification and spatiotemporal modelling, facilitated in part by a rich literature on their theoretical properties. However, one of their practical limitations is expensive computation, typically on the order of n3 where n is the number of data points, in performing the necessary matrix inversions. For large datasets, storage and processing also lead to computational bottlenecks, and numerical stability of the estimates and predicted values degrades with increasing n. Various methods have been proposed to address these problems, including predictive processes in spatial data analysis and the subset-of-regressors technique in machine learning. The idea underlying these approaches is to use a subset of the data, but this raises questions concerning sensitivity to the choice of subset and limitations in estimating fine-scale structure in regions that are not well covered by the subset. Motivated by the literature on compressive sensing, we propose an alternative approach that involves linear projection of all the data points onto a lower-dimensional subspace. We demonstrate the superiority of this approach from a theoretical perspective and through simulated and real data examples. © 2012 Biometrika Trust.

Full Text

Duke Authors

Cited Authors

  • Banerjee, A; Dunson, DB; Tokdar, ST

Published Date

  • 2013

Published In

Volume / Issue

  • 100 / 1

Start / End Page

  • 75 - 89

PubMed ID

  • 23869109

Pubmed Central ID

  • 23869109

International Standard Serial Number (ISSN)

  • 0006-3444

Digital Object Identifier (DOI)

  • 10.1093/biomet/ass068