Efficient reduced-rank methods for Gaussian processes with eigenfunction expansions (2108.05924v2)

Abstract: In this work we introduce a reduced-rank algorithm for Gaussian process regression. Our numerical scheme converts a Gaussian process on a user-specified interval to its Karhunen-Lo`eve expansion, the $L^2$-optimal reduced-rank representation. Numerical evaluation of the Karhunen-Lo`eve expansion is performed once during precomputation and involves computing a numerical eigendecomposition of an integral operator whose kernel is the covariance function of the Gaussian process. The Karhunen-Lo`eve expansion is independent of observed data and depends only on the covariance kernel and the size of the interval on which the Gaussian process is defined. The scheme of this paper does not require translation invariance of the covariance kernel. We also introduce a class of fast algorithms for Bayesian fitting of hyperparameters, and demonstrate the performance of our algorithms with numerical experiments in one and two dimensions. Extensions to higher dimensions are mathematically straightforward but suffer from the standard curses of high dimensions.