Fast implementation of kdpp

Posted 2015. 4. 2. 17:09

Details about kdpp can be found in (http://enginius.tistory.com/494)

Implementation of kdpp using matrix inversion lemma to reduce the computational complexity.

The speedup increases as the number of points increases (>100)

Starting kdpp where k is 50.

Starting kdpp_fast where k is 50.

k: 50 / toc_kdpp: 4.547e-02 sec / toc_kdpp_fast: 9.981e-03 sec (4.6 times faster)

One important rule of thumb is to lower the length parameter! So that the kernel function is peaky! kdpp_fast utilizes matrix inversion lemma and computing the inverse of a kernel matrix might be numerically unstable if the kernel function is smooth.

Result

code: main

code: kernel

code: kdpp

code: kdpp_fast

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