2022/05/06 by Amine Hadji, Hadji, Amine, Tammo Hesselink +3
Biochemistry, Genetics and Molecular Biology · Computer Science · Engineering · Mathematics · #FOS: Mathematics #Fault Detection and Control Systems #Gaussian Processes and Bayesian Inference #Spectroscopy Techniques in Biomedical and Chemical Research #Statistics Theory (math.ST) #math.ST #stat.TH
paper · pdf · doi:10.48550/arxiv.2205.03150
openalex publication_date 2022/05/06 · arxiv created 2022/05/10 · arxiv updated 2022/05/11 · openalex created_date 2022/05/11 · openalex updated_date 2026/07/28
Gaussian Processes (GP) are widely used for probabilistic modeling and inference for nonparametric regression. However, their computational complexity scales cubicly with the sample size rendering them unfeasible for large data sets. To speed up the computations various distributed methods were proposed in the literature. These methods have, however, limited theoretical underpinning. In our work we derive frequentist theoretical guarantees and limitations for a range of distributed methods for general GP priors in context of the nonparametric regression model, both for recovery and uncertainty quantification. As specific examples we consider covariance kernels both with polynomially and exponentially decaying eigenvalues. We demonstrate the practical performance of the investigated approaches in a numerical study using synthetic data sets.