Solved – Gaussian Process covariance matrix gets zero determinant

covariancegaussian processmatrix inverse

I have a Gaussian process regression implementation and developed some example data to test the capabilities of those methods. In the posterior calculation one gets the covariance matrix $K$. For some sample data this matrix has a 0 determinant and thus it is not invertible. Can someone see a problem in the covariance matrix composition that leads to such behaviour?

My Covariance matrix looks like this:

$$ \begin{pmatrix} K(X,X) & K(X_*,X) \\ K(X, X_*) & K(X_*,X_*) \end{pmatrix} $$

Best Answer

A covariance matrix with zero determinant means that the random variables are perfectly correlated. If your $X$ and $X^*$ are vectors, one is an affine function of the other: $X = AX^* + B$ where $A$ is some matrix and $B$ a vector. If they are random variables, $X = aX^*+b$ where $a$ and $b$ are constants. Is there any reason to suspect that this might be happening in those cases where you are getting a zero determinant for the covariance matrix?

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