Fast and accurate conditioning for large-scale and online Gaussian process prediction problems

TL;DR

This paper introduces a fast, accurate conditioning method for large-scale Gaussian process prediction that reduces computational costs and enables real-time predictions in large datasets.

Contribution

It proposes a novel conditioning approach on linear data combinations that improves efficiency and accuracy for large-scale and online Gaussian process predictions.

Findings

Conditioning on small data contrasts achieves machine-precision accuracy.

The method reduces computational complexity to near-linear in many cases.

It enables real-time predictions at arbitrary points with minimal online work.

Abstract

Gaussian Process (GP) models provide a flexible framework for prediction and uncertainty quantification. For most covariance functions, however, exact GP prediction with $n$ points scales as $\mathcal{O}(n^3)$, making it prohibitively expensive for large datasets or large numbers of prediction points. While nearest neighbor-based prediction can work well in certain settings, non-pathological circumstances (for example measurement noise) can severely restrict its efficiency. This work presents a complementary approach where one conditions on carefully designed linear combinations of data, which is particularly effective in the setting of predicting many values in large connected regions of the data domain. For kernel functions that are smooth away from the origin, conditioning on a small number $r$ of such data contrasts can be machine-precision accurate for the full exact conditional distributions. These contrasts cost $\mathcal{O}(T r^2)$ work to compute where $T$ is the cost of solving a linear system with the data covariance matrix, and so in many cases can be computed in linear or near-linear cost by exploiting rank structure in well-behaved covariance matrices. At the cost of $\mathcal{O}(nr^2)$ additional precomputation work, this approach can also provide predictions at arbitrary points of a designated region in $\mathcal{O}(1)$ online work, making it particularly attractive for problems where prediction points are not known in advance.