Recursive Gaussian process regression

For large data sets, performing Gaussian process regression is computationally demanding or even intractable. If data can be processed sequentially, the recursive regression method proposed in this paper allows incorporating new data with constant computation time. For this purpose two operations are performed alternating on a fixed set of so-called basis vectors used for estimating the latent function: First, inference of the latent function at the new inputs. Second, utilization of the new data for updating the estimate. Numerical simulations show that the proposed approach significantly reduces the computation time and at the same time provides more accurate estimates compared to existing on-line and/or sparse Gaussian process regression approaches.