1 code implementation • 1 May 2014 • Sivaram Ambikasaran, Michael O'Neil, Karan Raj Singh
This factorization can be computed in $\mathcal{O}(n)$ time if the rank of the perturbation is sufficiently small.
Numerical Analysis Numerical Analysis Fluid Dynamics Computation
2 code implementations • 24 Mar 2014 • Sivaram Ambikasaran, Daniel Foreman-Mackey, Leslie Greengard, David W. Hogg, Michael O'Neil
In many cases, such as regression using Gaussian processes, the covariance matrix is of the form $C = \sigma^2 I + K$, where $K$ is computed using a specified covariance kernel which depends on the data and additional parameters (hyperparameters).
Numerical Analysis Instrumentation and Methods for Astrophysics Statistics Theory Statistics Theory
