Don't Get Your Kroneckers in a Twist: Gaussian Processes on High-Dimensional Incomplete Grids

Mads Greisen Højlund, August Smart Lykke-Møller, Henry Moss +1

We introduce CUTS-GPR, a new method for performing numerically exact GPR in high-dimensional settings. The key component of CUTS-GPR is an extremely fast kernel matrix-vector produ…