Samuel Stanton, Wesley J. Maddox, Ian Delbridge et al.
Gaussian processes (GPs) provide a gold standard for performance in online settings, such as sample-efficient control and black box optimization, where we need to update a posterior distribution as we acquire data in a sequential fashion. However, updating a GP posterior to accommodate even a single new observation after having observed $n$ points incurs at least $O(n)$ computations in the exact setting. We show how to use structured kernel interpolation to efficiently recycle computations for constant-time $O(1)$ online updates with respect to the number of points $n$, while retaining exact inference. We demonstrate the promise of our approach in a range of online regression and classification settings, Bayesian optimization, and active sampling to reduce error in malaria incidence forecasting. Code is available at https://github.com/wjmaddox/online_gp.