An accuracy-runtime trade-off comparison of scalable Gaussian process approximations for spatial data

Abstract

Gaussian processes (GPs) are flexible, probabilistic, non-parametric models widely employed in various fields such as spatial statistics, time series analysis, and machine learning. A drawback of Gaussian processes is their computational cost having $\mathcal{O}(N^3)$ time and $\mathcal{O}(N^2)$ memory complexity which makes them prohibitive for large datasets. Numerous approximation techniques have been proposed to address this limitation. In this work, we systematically compare the accuracy of different Gaussian process approximations concerning marginal likelihood evaluation, parameter estimation, and prediction taking into account the time required to achieve a certain accuracy. We analyze this trade-off between accuracy and runtime on multiple simulated and large-scale real-world datasets and find that Vecchia approximations consistently emerge as the most accurate in almost all experiments. However, for certain real-world data sets, low-rank inducing point-based methods, i.e., full-scale and modified predictive process approximations, can provide more accurate predictive distributions for extrapolation.

Locations

• arXiv (Cornell University) - View - PDF