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• W2751238863 abstract "For applications as varied as Bayesian neural networks, determinantal point processes, elliptical graphical models, and kernel learning for Gaussian processes (GPs), one must compute a log determinant of an $n times n$ positive definite matrix, and its derivatives - leading to prohibitive $mathcal{O}(n^3)$ computations. We propose novel $mathcal{O}(n)$ approaches to estimating these quantities from only fast matrix vector multiplications (MVMs). These stochastic approximations are based on Chebyshev, Lanczos, and surrogate models, and converge quickly even for kernel matrices that have challenging spectra. We leverage these approximations to develop a scalable Gaussian process approach to kernel learning. We find that Lanczos is generally superior to Chebyshev for kernel learning, and that a surrogate approach can be highly efficient and accurate with popular kernels." @default.
• W2751238863 created "2017-09-15" @default.
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• W2751238863 date "2017-11-09" @default.
• W2751238863 modified "2023-10-18" @default.
• W2751238863 title "Scalable Log Determinants for Gaussian Process Kernel Learning" @default.
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