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DTSTART:20230312T060000
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DTSTART;TZID=America/Halifax:20230127T160000
DTEND;TZID=America/Halifax:20230127T170000
DTSTAMP:20260609T062613
CREATED:20200904T115630Z
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UID:7006-1674835200-1674838800@aarms.math.ca
SUMMARY:Dalhousie-AARMS AAMP Seminar: Alex Barnett (Flatiron Institute\, NYC)
DESCRIPTION:Title: Equispaced Fourier representations for efficient Gaussian process regression from a billion data pointsAbstract: Gaussian process regression is widely used in geostatistics\, time-series analysis\, and machine learning. It infers an unknown continuous function in a principled fashion from noisy measurements at $N$ scattered data points.  The prior on the function is Gaussian\, with covariance given by some user-chosen translationally invariantkernel.  Yet $N$ has been limited to about $10^6$\, even with modern low-rank methods.  Focusing on low spatial dimension (1–3)\, we present a GP regression method using kernel approximation by an equispaced quadrature grid in the Fourier domain.  This enables the iterative solution of a smaller Toeplitz linear system\, exploiting both the FFT and the nonuniform FFT to give ${\mathcal O}(N)$ cost. The result is often one to two orders of magnitude faster than state of the art methods\, and enables cheap massive-scale regressions. For example\, for a 2D Mat\’ern-3/2 kernel and $N = 10^9$ points\, the posterior mean function is found to 3-digit accuracy in two minutes on a desktop.Joint work with Philip Greengard (Columbia) and Manas Rachh (Flatiron Institute)\nThe Dalhousie-AARMS Analysis-Applied Math-Physics Seminar takes place on Fridays from 4 – 5 pm Atlantic Time over either Zoom and/or in Chase 227 depending on the speaker.  If you would like to attend\, please email the organizers for connection details.
URL:https://aarms.math.ca/event/dalhousie-aarms-aamp-seminar-steven-lester-kings-college-london-2-2-3-2-2-2-4-2-2-2-2-2-2-2-2-2/
LOCATION:Dalhousie University\, Halifax\, Nova Scotia\, Canada
CATEGORIES:AAMP Seminar
ORGANIZER;CN="Suresh%20Eswarathasan":MAILTO:sr766936@dal.ca
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