Gaussian process learning via Fisher scoring of Vecchia's approximation
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DOI10.48550/ARXIV.1905.08374zbMATH Open1475.62033OpenAlexW3134488295MaRDI QIDQ125192FDOQ125192
Abstract: We derive a single pass algorithm for computing the gradient and Fisher information of Vecchia's Gaussian process loglikelihood approximation, which provides a computationally efficient means for applying the Fisher scoring algorithm for maximizing the loglikelihood. The advantages of the optimization techniques are demonstrated in numerical examples and in an application to Argo ocean temperature data. The new methods are more accurate and much faster than an optimization method that uses only function evaluations, especially when the covariance function has many parameters. This allows practitioners to fit nonstationary models to large spatial and spatial-temporal datasets.
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Cites work
- A Simplex Method for Function Minimization
- A general framework for Vecchia approximations of Gaussian processes
- Approximating Likelihoods for Large Spatial Data Sets
- Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics
- Scalable Gaussian Process Computations Using Hierarchical Matrices
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- Efficient Stochastic Generators with Spherical Harmonic Transformation for High-Resolution Global Climate Simulations from CESM2-LENS2
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- Vecchia-approximated Deep Gaussian Processes for Computer Experiments
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- Large-scale environmental data science with ExaGeoStatR
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