O(N2)-Operation Approximation of Covariance Matrix Inverse in Gaussian Process Regression Based on Quasi-Newton BFGS Method

DOI10.1080/03610910601161298zbMath1113.62104OpenAlexW2014530379MaRDI QIDQ3447091

W. E. Leithead, Yu-Nong Zhang

Publication date: 28 June 2007

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910601161298

zbMATH Keywords

optimizationmatrix inverseGaussian process regression\(O(N^{2})\) operations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Applications of mathematical programming (90C90) Discrete approximations in optimal control (49M25)

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