Myeongjong Kang

Variational Sparse Inverse Cholesky Approximation for Latent Gaussian Processes via Double Kullback-Leibler Minimization

To achieve scalable and accurate inference for latent Gaussian processes, we propose a variational approximation based on a family of Gaussian distributions whose covariance matrices have sparse inverse Cholesky (SIC) factors. We combine this variational approximation of the posterior with a similar…