A General $\mathcal{O}(n^2)$ Hyper-Parameter Optimization for Gaussian Process Regression with Cross-Validation and Non-linearly Constrained ADMM

Linning Xu, Feng Yin, Jiawei Zhang +2

Hyper-parameter optimization remains as the core issue of Gaussian process (GP) for machine learning nowadays. The benchmark method using maximum likelihood (ML) estimation and gra…