Correlation-based sparse inverse Cholesky factorization for fast Gaussian-process inference
Myeongjong Kang, Matthias Katzfuß
Topics & Concepts
Cholesky decompositionMultivariate normal distributionGaussian processCovarianceCovariance matrixMathematicsInferenceAlgorithmMetric (unit)Prior probabilityComputer scienceMultivariate statisticsApplied mathematicsGaussianArtificial intelligenceBayesian probabilityStatisticsPhysicsQuantum mechanicsOperations managementEigenvalues and eigenvectorsEconomicsGaussian Processes and Bayesian InferenceSpectroscopy and Chemometric AnalysesSoil Geostatistics and Mapping