Lachlan Astfalck

Henry Moss, Lachlan Astfalck, Thomas Cowperthwaite et al.

Gaussian processes (GPs) offer a principled probabilistic model over functions, but exact inference is restricted to the linear-Gaussian regime. We establish an explicit equivalence between GPs and a class of linear diffusion models, recasting predictive sampling as an ODE with closed-form Gaussian dynamics and a likelihood-dependent guidance term that admits a simple Monte Carlo approximation. In the linear-Gaussian setting, we recover standard GP conditioning exactly; beyond conjugacy, the same machinery handles any conditioning statement admitting point-wise likelihood evaluation -- including non-linear physics, and, for the first time, natural language via large language models. Whitening isolates the irreducible non-Gaussian dynamics, minimising Wasserstein-2 transport cost and eliminating numerical stiffness. The result is a general-purpose GP inference scheme requiring no bespoke derivations. Together, these results provide a general mechanism for incorporating the full richness of real-world knowledge as conditioning information, opening a new frontier for the probabilistic modelling of real-world problems.

Rui-Yang Zhang, Lachlan Astfalck, Edward Cripps et al.

Gaussian process inference is often limited by cubic computational costs, a challenge that becomes more pronounced in spatio-temporal settings where posterior inference is required over dense grids. While state-space SPDE formulations enable linear complexity in time, exact inference remains cubic in space and deteriorates further when observation locations are disjoint from the prediction locations, which inflates the number of considered spatial points. To address this, we propose the Vanilla-SPDE Exchange, which exploits an equivalence between the standard and SPDE formulations of GP inference to construct a hybrid scheme with improved computational cost. We demonstrate these gains through complexity analysis and numerical experiments.