Finite-Dimensional Approximation of Gaussian Processes

Gaussian process (GP) prediction suffers from O(n3) scaling with the data set size n. By using a finite-dimensional basis to approximate the GP predictor, the computational complexity can be reduced. We derive optimalfinite-dimensional predictors under a number of assumptions, andshow the superiority of these predictors over the Projected Bayes Regression method (which is asymptotically optimal). We also show how to calculate the minimal model size for a given n. The calculations are backed up by numerical experiments.