Exploiting Hankel-Toeplitz Structures for Fast Computation of Kernel Precision Matrices

Frida Marie Viset, Anton Kullberg, Frederiek Wesel, Arno Solin

Abstract: The Hilbert-space Gaussian process (HGP) approach offers a hyperparameter-independent basis function approximation for speeding up Gaussian process (GP) inference by projecting the GP onto $M$ basis functions. These properties result in a favorable data-independent $\mathcal{O}(M^3)$ computational complexity during hyperparameter optimization but require a dominating one-time precomputation of the precision matrix costing $\mathcal{O}(NM^2)$ operations. In this paper, we lower this dominating computational complexity to $\mathcal{O}(NM)$ with no additional approximations. We can do this because we realize that the precision matrix can be split into a sum of Hankel-Toeplitz matrices, each having $\mathcal{O}(M)$ unique entries. Based on this realization we propose computing only these unique entries at $\mathcal{O}(NM)$ costs. Further, we develop two theorems that prescribe sufficient conditions for the complexity reduction to hold generally for a wide range of other approximate GP models, such as the Variational Fourier features approach. The two theorems do this with no assumptions on the data and no additional approximations of the GP models themselves. Thus, our contribution provides a pure speed-up of several existing, widely used, GP approximations, without further approximations

Submission Length: Regular submission (no more than 12 pages of main content)

Changes Since Last Submission: We fixed some minor typos

Code: https://github.com/AOKullberg/hgp-hankel-structure

Assigned Action Editor: ~Roman_Garnett1

Submission Number: 2681