Exact and general decoupled solutions of the LMC Multitask Gaussian Process model

ArXi:2310.12032v3 Announce Type: replace The Linear Model of Co-regionalization (LMC) is a very general multitask gaussian process model for regression or classification. While its expressiveness and conceptual simplicity are appealing, naive implementations have cubic complexity in the product (number of datapoints $\times$ number of tasks), making approximations mandatory for most applications. However, recent work has shown that in some settings the latent processes of the model can be decoupled, leading to a complexity that is only linear in the number of said processes.