Sparse Cholesky Factorization by Kullback--Leibler Minimization

DOI10.1137/20M1336254MaRDI QIDQ4997432

Houman Owhadi, Florian Schäfer, Matthias Katzfuss

Publication date: 29 June 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.14455

zbMATH Keywords

integral equationCholesky factorizationscreening effectGaussian process regressionfactorized approximate inversevecchia approximation

Mathematics Subject Classification ID

Related Items (18)

Numerical homogenization beyond scale separation ⋮ Solving and learning nonlinear PDEs with Gaussian processes ⋮ Finite Element Representations of Gaussian Processes: Balancing Numerical and Statistical Accuracy ⋮ Computational graph completion ⋮ Scaled Vecchia Approximation for Fast Computer-Model Emulation ⋮ Bayesian nonstationary and nonparametric covariance estimation for large spatial data (with discussion) ⋮ Gaussian process hydrodynamics ⋮ Sparse Recovery of Elliptic Solvers from Matrix-Vector Products ⋮ Correlation-based sparse inverse Cholesky factorization for fast Gaussian-process inference ⋮ Sparse Gaussian processes for solving nonlinear PDEs ⋮ Variational Bayesian inference for CP tensor completion with subspace information ⋮ Fast macroscopic forcing method ⋮ Kernel methods are competitive for operator learning ⋮ Nearest-neighbor mixture models for non-Gaussian spatial processes ⋮ Scalable penalized spatiotemporal land-use regression for ground-level nitrogen dioxide ⋮ Multi-scale Vecchia approximations of Gaussian processes ⋮ Do ideas have shape? Idea registration as the continuous limit of artificial neural networks ⋮ Hierarchical sparse Cholesky decomposition with applications to high-dimensional spatio-temporal filtering

Uses Software

• George
• H2Pack
• GPvecchia

Cites Work

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