Shallow covariance kernels

Published:

My collaborators Daniel Kressner (EPFL), Stefano Massei (EPFL), Elisabeth Ullmann (TUM), and I have just deposited a new manuscript in the arXiv. In “Certified and fast computations with shallow covariance kernels”, we propose a new algorithm for low-rank-approximations of parameter-dependent covariance kernels. We show that the algorithm is certified in terms of the Wasserstein-2 distance between the Gaussian processes given the correct and the approximate covariance kernels, respectively. Moreover, we discuss the robustness of the algorithm and linearisation techniques for covariance kernels.