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Observations on the Nyström Method for Gaussian Process Prediction

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http://pubman.mpdl.mpg.de/cone/persons/resource/persons84156

Rasmussen,  CE
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;

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Williams, C., Rasmussen, C., Scwaighofer, A., & Tresp, V.(2002). Observations on the Nyström Method for Gaussian Process Prediction.


Cite as: http://hdl.handle.net/11858/00-001M-0000-0013-E119-9
Abstract
A number of methods for speeding up Gaussian Process (GP) prediction have been proposed, including the Nyström method of Williams and Seeger (2001). In this paper we focus on two issues (1) the relationship of the Nyström method to the Subset of Regressors method (Poggio and Girosi 1990; Luo and Wahba, 1997) and (2) understanding in what circumstances the Nyström approximation would be expected to provide a good approximation to exact GP regression.