Add OrthogonalRandomFeaturesKernel#2735
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bulochka68 wants to merge 1 commit intocornellius-gp:mainfrom
Open
Add OrthogonalRandomFeaturesKernel#2735bulochka68 wants to merge 1 commit intocornellius-gp:mainfrom
bulochka68 wants to merge 1 commit intocornellius-gp:mainfrom
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Summary
Adds
OrthogonalRandomFeaturesKernel- a drop-in replacement forRFFKernelthat uses block-orthogonal random projections instead of i.i.d. Gaussian samples.
ORF strictly dominates standard RFF in mean squared error of kernel approximation
(Choromanski et al., 2017) while maintaining the same computational complexity O(nD)
and the same interface.
Usage
Implementation details
Each block of
dfrequency vectors shares a Haar-distributed orthogonal basis (via QRdecomposition) but has independent chi(d)-distributed norms, so the marginal distribution
of each frequency matches N(0, I_d) — preserving the unbiasedness of the RBF approximation.
Changes
gpytorch/kernels/orf_kernel.py— new kernelgpytorch/kernels/__init__.py— exporttest/kernels/test_orf_kernel.py— 18 tests (BaseKernelTestCase + ORF-specific)docs/source/kernels.rst— documentation entryReferences