Sparse Cholesky Factorization by Kullback--Leibler Minimization
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Cholesky factorizationfactorized approximate inverseGaussian process regressionintegral equationscreening effectvecchia approximation
Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Martingales with discrete parameter (60G42) Computational methods for sparse matrices (65F50) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Analysis of algorithms (68W40)
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Cited in
(53)- Multi-scale Vecchia approximations of Gaussian processes
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