An Efficient Implementation for Spatial-Temporal Gaussian Process Regression and Its Applications

Abstract: Spatial-temporal Gaussian process regression is a popular method for spatial-temporal data modeling. Its state-of-art implementation is based on the state-space model realization of the spatial-temporal Gaussian process and its corresponding Kalman filter and smoother, and has computational complexity $\mathcal{O}(NM^3)$, where $N$ and $M$ are the number of time instants and spatial input locations, respectively, and thus can only be applied to data with large $N$ but relatively small $M$. In this paper, our primary goal is to show that by exploring the Kronecker structure of the state-space model realization of the spatial-temporal Gaussian process, it is possible to further reduce the computational complexity to $\mathcal{O}(M^3+NM^2)$ and thus the proposed implementation can be applied to data with large $N$ and moderately large $M$. The proposed implementation is illustrated over applications in weather data prediction and spatially-distributed system identification. Our secondary goal is to design a kernel for both the Colorado precipitation data and the GHCN temperature data, such that while having more efficient implementation, better prediction performance can also be achieved than the state-of-art result.