A General Theory for Kernel Packets: from state space model to compactly supported basis

• URL: http://arxiv.org/abs/2402.04022v4
• Date: Wed, 10 Apr 2024 07:24:59 GMT
• Title: A General Theory for Kernel Packets: from state space model to compactly supported basis
• Authors: Liang Ding, Rui Tuo,
• Abstract summary: We prove that an $m$-dimensional SS model formulation of GP is equivalent to a concept we introduce as the general right Kernel Packet (KP) KPs improve GP prediction time to $mathcalO(log n)$ or $mathcalO(1)$, enable broader applications including GP's derivatives and kernel multiplications, and can be generalized to multi-dimensional additive and product kernels for scattered data.
• Score: 16.235214685688227
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: It is well known that the state space (SS) model formulation of a Gaussian process (GP) can lower its training and prediction time both to $\CalO(n)$ for $n$ data points. We prove that an $m$-dimensional SS model formulation of GP is equivalent to a concept we introduce as the general right Kernel Packet (KP): a transformation for the GP covariance $K$ such that $\sum_{i=0}^{m}a_iD_t^{(j)}K(t,t_i)=0$ holds for any $t \leq t_1$, 0 $\leq j \leq m-1$, and $m+1$ consecutive points $t_i$, where ${D}_t^{(j)}f(t) $ denotes $j$-th derivative acting on $t$. We extend this idea to the backward SS model formulation, leading to the left KP for next $m$ consecutive points: $\sum_{i=0}^{m}b_i{D}_t^{(j)}K(t,t_{m+i})=0$ for any $t\geq t_{2m}$. By combining both left and right KPs, we can prove that a suitable linear combination of these covariance functions yields $m$ KP functions compactly supported on $(t_0,t_{2m})$. KPs improve GP prediction time to $\mathcal{O}(\log n)$ or $\mathcal{O}(1)$, enable broader applications including GP's derivatives and kernel multiplications, and can be generalized to multi-dimensional additive and product kernels for scattered data.

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