Understanding the Effects of Tapering on Gaussian Process Regression
Juliette Franzman, USDOE National Nuclear Security Administration (NNSA), Chandrika Kamath · 2019
Gaussian process regression is a computationally expensive machine learning algorithm that requires the solution of a system of linear equations with a dense covariance matrix. We propose a modification that uses tapering to introduce sparsity into the covariance matrix followed by matrix reordering schemes to reduce the bandwidth of the sparse matrix. We also apply iterative refinement to our approximate solution in order to recover some of the accuracy lost to tapering. Our numerical tests showed that this modification works best with datasets that have many small values in the covariance matrix. This restricts the usefulness of the modification, so other techniques to reduce computational time may be worth considering in the future.