Exact and general decoupled solutions of the LMC Multitask Gaussian Process model

arXiv:2310.12032v2 Announce Type: replace
Abstract: The Linear Model of Co-regionalization (LMC) is a very general model of multitask gaussian process for regression or classification. While its expressivity and conceptual simplicity are appealing, naive implementations have cubic complexity in the number of datapoints and number of tasks, making approximations mandatory for most applications. However, recent work has shown that under some conditions the latent processes of the model can be decoupled, leading to a complexity that is only linear in the …

abstract arxiv classification complexity cs.lg general linear linear model making process regression simplicity solutions stat.ml tasks type