Parallelizing Gaussian Process Calculations in R

Abstract: We consider parallel computation for Gaussian process calculations to overcome computational and memory constraints on the size of datasets that can be analyzed. Using a hybrid parallelization approach that uses both threading (shared memory) and message-passing (distributed memory), we implement the core linear algebra operations used in spatial statistics and Gaussian process regression in an R package called bigGP that relies on C and MPI. The approach divides the matrix into blocks such that the computational load is balanced across processes while communication between processes is limited. The package provides an API enabling R programmers to implement Gaussian process-based methods by using the distributed linear algebra operations without any C or MPI coding. We illustrate the approach and software by analyzing an astrophysics dataset with n=67,275 observations.