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Don't Get Your Kroneckers in a Twist: Gaussian Processes on High-Dimensional Incomplete Grids
We introduce CUTS-GPR, a new method for performing numerically exact GPR in high-dimensional settings. The key component of CUTS-GPR is an extremely fast kernel matrix-vector product, which exhibits near-linear or even linear scaling with the amount of training data, $N$, and low-order polynomial sc
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