Scalable Bayesian inference for heat kernel Gaussian processes on manifolds

We develop scalable manifold learning methods and theory, motivated by the problem of estimating manifold of fMRI activation in the Human Connectome Project (HCP). We propose the Fast Graph Laplacian Estimation for Heat Kernel Gaussian Processes (FLGP) in the natural exponential family model. FLGP handles large sample sizes $n$, preserves the intrinsic geometry of data, and significantly reduces computational complexity from $\mathcal{O}(n^3)$ to $\mathcal{O}(n)$ via a novel reduced-rank approximation of the graph Laplacian's transition matrix and truncated Singular Value Decomposition for eigenpair computation. Our numerical experiments demonstrate FLGP's scalability and improved accuracy for manifold learning from large-scale complex data.