Gaussian Process Regression in the Flat Limit

TL;DR

This paper analyzes Gaussian process regression in the flat limit, revealing that as the kernel becomes infinitely broad, the regression converges to polynomial or spline regression, with implications for model selection and numerical stability.

Contribution

It provides the first fixed-sample analysis of GP regression in the flat limit, connecting it to polynomial and spline regression, and discusses practical consequences for large-scale kernel methods.

Findings

GP regression converges to polynomial or spline regression in the flat limit

Predictive mean and variance become equivalent in the flat limit

Large length-scales can optimize predictions but are numerically challenging

Abstract

Gaussian process (GP) regression is a fundamental tool in Bayesian statistics. It is also known as kriging and is the Bayesian counterpart to the frequentist kernel ridge regression. Most of the theoretical work on GP regression has focused on a large-$n$ asymptotics, i.e. as the amount of data increases. Fixed-sample analysis is much more difficult outside of simple cases, such as locations on a regular grid. In this work we perform a fixed-sample analysis that was first studied in the context of approximation theory by Driscoll & Fornberg (2002), called the ``flat limit''. In flat-limit asymptotics, the goal is to characterise kernel methods as the length-scale of the kernel function tends to infinity, so that kernels appear flat over the range of the data. Surprisingly, this limit is well-defined, and displays interesting behaviour: Driscoll & Fornberg showed that radial basis interpolation converges in the flat limit to polynomial interpolation, if the kernel is Gaussian. Subsequent work showed that this holds true in the multivariate setting as well, but that kernels other than the Gaussian may have (polyharmonic) splines as the limit interpolant. Leveraging recent results on the spectral behaviour of kernel matrices in the flat limit, we study the flat limit of Gaussian process regression. Results show that Gaussian process regression tends in the flat limit to (multivariate) polynomial regression, or (polyharmonic) spline regression, depending on the kernel. Importantly, this holds for both the predictive mean and the predictive variance, so that the posterior predictive distributions become equivalent. Our results have practical consequences: for instance, they show that optimal GP predictions in the sense of leave-one-out loss may occur at very large length-scales, which would be invisible to current implementations because of numerical difficulties.