Accelerated training of Gaussian processes using banded square exponential covariances
arXiv:2601.19007v1 Announce Type: new Abstract: We propose a novel approach to computationally efficient GP training based on the observation that square-exponential (SE) covariance matrices contain several off-diagonal entries extremely close to zero. We construct a principled procedure to eliminate those entries to produce a emph{banded}-matrix approximation to the original covariance, whose inverse and determinant can be computed at a reduced computational cost, thus contributing to an efficient approximation to the likelihood function. We provide a theoretical analysis of […]