Paper:
Multiresolution Kernel Approximation for Gaussian Process Regression
Gaussian process regression generally does not scale to beyond a few thousands data points without applying some sort of kernel approximation method. Most approximations focus on the high eigenvalue part of the spectrum of the kernel matrix, K, which leads to bad performance when the length scale of the kernel is small. In this paper we introduce Multiresolution Kernel Approximation (MKA), the first true broad bandwidth kernel approximation algorithm. Important points about MKA are that it is memory efficient, and it is a direct method, which means that it also makes it easy to approximate K −1 and det(K).

Review:
The authors consider the problem of large-scale GP regression; they propose a multiresolution approximation method for the Gram matrix K. In the literature, most approximation approaches assume either (1) a low rank representation for K, which may not be supported by the data, or (2) a block-diagonal form for K, the structure of which has to be identified by clustering methods, which is not trivial for high-dimensional data. The current paper proposes MKA, a novel approximation approach that uses captures local and global properties for K. The Gram matrix K is approximated as a Kronecker sum of low-rank and diagonal matrices, a fact that significantly reduces the computational complexity of the linear algebra calculations required in the context of GP regression.
      
The paper initiates a very interesting discussion on the nature of local and global kernel approximations, but I feel that certain aspects ofthe methodology proposed are not sufficiently clear. Below, I list some considerations that I had while reading the paper.
      
What is the effect of the clustering mentioned in step 1 of the methodology? Is the method less sensitive to the result of clustering than the local-based methods in the literature?
Does the approximate matrix \tilde{K} converge to true matrix K as the d_{core} parameter is increased? By looking at the experiments of Figure 2, it appears that MKA is rather insensitive to the d_{core} value.
      
The effect of approximating K in many stages as described in Section 3 is not obvious or trivial. The authors attribute the flexibility of MKA to the reclustering of K_l before every stage. However, I would suspect that a slight variation of the output at any stage would have dramatic consequences in the stages that follow.
      
It is not clear which compression method was used in the experiments. I would think that the cost of SPCA is prohibitive, given the objective of the current paper. It could still be worth mentioning SPCA if there was some experimental comparison with the use of MMF in the context of MKA.
      
I think that the experimental section would be stronger if there was also a demonstration of how well the MKA approximates the original GP. Although we get an idea of the predictive mean in Figure 1, there is no information of the predictive variance.
      
Minor comments:
The line for the Full GP method in Figure 2 is almost not visible.