Gaussian Processes, not quite for dummies

Re:Gaussian Processes, not quite for dummies by clarkeni on Tuesday September 17, 2019 @10:20AM (#20995405)

What would you use to solve the system? Iterative methods or gradient descent even?

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Re:Gaussian Processes, not quite for dummies by plus on Tuesday September 17, 2019 @11:34AM (#20996423)

Something like MINRES or GMRES or CGSTAB. Correct me if I'm wrong, but the covariance matrix in GPR should be diagonally dominant, so the diagonal of the matrix can be used as a somewhat effective preconditioner.

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Re:Gaussian Processes, not quite for dummies by nestorD on Tuesday September 17, 2019 @01:12PM (#20997558)

With most kernels the matrix is symmetric and positive-definite so I would probably use a conjugate gradient: https://en.wikipedia.org/wiki/Conjugate_gradient_method

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Re:Gaussian Processes, not quite for dummies by lp251 on Tuesday September 17, 2019 @10:40AM (#20995657)

yes

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