High-Dimensional Gaussian Process Inference with Derivatives

Although it is widely known that Gaussian processes can be conditioned on observations of the gradient, this functionality is of limited use due to the prohibitive computational cost of $\mathcal{O}(N^3 D^3)$ in data points $N$ and dimension $D$. The dilemma of gradient observations is that a single one of them comes at the same cost as $D$ independent function evaluations, so the latter are often preferred. Careful scrutiny reveals, however, that derivative observations give rise to highly structured kernel Gram matrices for very general classes of kernels (inter alia, stationary kernels). We show that in the \emph{low-data} regime $N