Sparse Cholesky factorization by Kullback-Leibler minimization

29 Apr 2020Florian SchäferMatthias KatzfussHouman Owhadi

We propose to compute a sparse approximate inverse Cholesky factor $L$ of a dense covariance matrix $\Theta$ by minimizing the Kullback-Leibler divergence between the Gaussian distributions $\mathcal{N}(0, \Theta)$ and $\mathcal{N}(0, L^{-\top} L^{-1})$, subject to a sparsity constraint. Surprisingly, this problem has a closed-form solution that can be computed efficiently, recovering the popular Vecchia approximation in spatial statistics... (read more)

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