Finite Element Representations of Gaussian Processes: Balancing Numerical and Statistical Accuracy

Daniel Sanz-Alonso; Ruiyi Yang

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arXiv · 2109.02777

Finite Element Representations of Gaussian Processes: Balancing Numerical and Statistical Accuracy

Daniel Sanz-Alonso·Ruiyi Yang

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Abstract

The stochastic partial differential equation approach to Gaussian processes (GPs) represents Matérn GP priors in terms of $n$ finite element basis functions and Gaussian coefficients with sparse precision matrix. Such representations enhance the scalability of GP regression and classification to datasets of large size $N$ by setting $n\approx N$ and exploiting sparsity. In this paper we reconsider the standard choice $n \approx N$ through an analysis of the estimation performance. Our theory implies that, under certain smoothness assumptions, one can reduce the computation and memory cost without hindering the estimation accuracy by setting $n \ll N$ in the large $N$ asymptotics. Numerical experiments illustrate the applicability of our theory and the effect of the prior lengthscale in the pre-asymptotic regime.

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Daniel Sanz-Alonso, Ruiyi Yang. 2022-04-08. Finite Element Representations of Gaussian Processes: Balancing Numerical and Statistical Accuracy. https://arxiv.org/abs/2109.02777

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