Derivative Gaussian Processes on a Two-Direction Budget

Hyunseok Seung, Matthias Katzfuss

Gradient observations promise more accurate Gaussian process (GP) surrogates, but the cost of incorporating them has long stood in the way of realizing that promise. We propose a derivative GP with a budget of just two directions per observed gradient. One direction focuses on each gradient's direct contribution to target prediction, while the other aggregates its indirect contributions through correlations with the conditioning function values. Within a Vecchia approximation, where each prediction conditions on $m$ nearby inputs in $d$ dimensions, this construction represents their $md$ gradient coordinates using at most $2m$ directional derivatives, giving $\mathcal{O}(m^3)$ dense factorization cost per prediction target. For general conditioning sets, we bound the posterior approximation error relative to using full gradients and characterize when the error is small or the approximation is exact. In simulations, our method matches the accuracy of a leading exact gradient-reduction method at equal conditioning set size. Because its cost grows much more slowly with that size, it can use conditioning sets well beyond the memory limit of the exact method, reaching lower prediction…