Random scaling of Quasi-Newton BFGS method to improve the O(N 2)-operation approximation of covariance-matrix inverse in Gaussian process

Gaussian process (GP) is a Bayesian nonparametric regression model, showing good performance in various applications. Similar to other computational models, Gaussian process frequently encounters the matrix-inverse problem during its model-tuning procedure. The matrix inversion is generally of O(N 3) operations where N is the matrix dimension. We proposed using the O(N2)-operation quasi-Newton BFGS method to approximate/replace the exact inverse of covariance matrix in the GP context. As inspired during a paper revision, in this paper we show that by using the random-scaling technique, the accuracy and effectiveness of such a BFGS matrix-inverse approximation could be further improved. These random-scaling BFGS techniques could be widely generalized to other machine-learning systems which rely on explicit matrix-inverse. © 2007 IEEE.