A heuristic independent particle approximation to determinantal point processes

Abstract: A determinantal point process is a stochastic point process that is commonly used to capture negative correlations. It has become increasingly popular in machine learning in recent years. Sampling a determinantal point process however remains a computationally intensive task. This note introduces a heuristic independent particle approximation to determinantal point processes. The approximation is based on the physical intuition of fermions and is implemented using standard numerical linear algebra routines. Sampling from this independent particle approximation can be performed at a negligible cost. Numerical results are provided to demonstrate the performance of the proposed algorithm.