Parametric Hierarchical Matrix Approximations to Kernel Matrices

TL;DR

This paper introduces parametric hierarchical matrices that efficiently approximate kernel matrices depending on hyperparameters, enabling rapid online computations and significant speedups over existing methods.

Contribution

The paper develops a new class of parametric hierarchical matrices with an offline-online construction, allowing efficient hyperparameter-dependent kernel matrix approximations.

Findings

Over 100x speedup in numerical experiments.

Efficient online stage with no new kernel evaluations.

Comparable offline costs to standard hierarchical matrix methods.

Abstract

Kernel matrices are ubiquitous in computational mathematics, often arising from applications in machine learning and scientific computing. In two or three spatial or feature dimensions, such problems can be approximated efficiently by a class of matrices known as hierarchical matrices. A hierarchical matrix consists of a hierarchy of small near-field blocks (or sub-matrices) stored in a dense format and large far-field blocks approximated by low-rank matrices. Standard methods for forming hierarchical matrices do not account for the fact that kernel matrices depend on specific hyperparameters; for example, in the context of Gaussian processes, hyperparameters must be optimized over a fixed parameter space. We introduce a new class of hierarchical matrices, namely, parametric (parameter-dependent) hierarchical matrices. Members of this new class are parametric $\mathcal{H}$-matrices and parametric $\mathcal{H}^{2}$-matrices. The construction of a parametric hierarchical matrix follows an offline-online paradigm. In the offline stage, the near-field and far-field blocks are approximated by using polynomial approximation and tensor compression. In the online stage, for a particular hyperparameter, the parametric hierarchical matrix is instantiated efficiently as a standard hierarchical matrix. The asymptotic costs for storage and computation in the offline stage are comparable to the corresponding standard approaches of forming a hierarchical matrix. However, the online stage of our approach requires no new kernel evaluations, and the far-field blocks can be computed more efficiently than standard approaches. {Numerical experiments show over $100\times$ speedups compared with existing techniques.}