A Global-Local Approximation Framework for Large-Scale Gaussian Process
  Modeling
Akhil Vakayil Roshan Joseph
In this work, we propose a novel framework for large-scale Gaussian process
(GP) modeling. Contrary to the global, and local approximations proposed in the
literature to address the computational bottleneck with exact GP modeling, we
employ a combined global-local approach in building the approximation. Our
framework uses a subset-of-data approach where the subset is a union of a set
of global points designed to capture the global trend in the data, and a set of
local points specific to a given testing location to capture the local trend
around the testing location. The correlation function is also modeled as a
combination of a global, and a local kernel. The performance of our framework,
which we refer to as TwinGP, is on par or better than the state-of-the-art GP
modeling methods at a fraction of their computational cost.