Giga-scale Kernel Matrix Vector Multiplication on GPU

Kernel matrix-vector multiplication (KMVM) is a foundational operation in machine learning and scientific computing. However, as KMVM tends to scale quadratically in both memory and time, applications are often limited by these computational constraints. In this paper, we propose a novel approximation procedure coined $\mathit{\text{Faster-Fast}}\mathit{\text{and}}\mathit{\text{Free}}\mathit{\text{Memory}}\mathit{\text{Method}}$ ($\text{fthreem}$) to address these scaling issues of KMVM for tall~(${10}^8\sim {10}^9$) and skinny~($D\le 7$) data. Extensive experiments demonstrate that $\text{fthreem}$ has empirical \emph{linear time and memory} complexity with a relative error of order ${10}^{-3}$ and can compute a full KMVM for a billion points \emph{in under a minute} on a high-end GPU, leading to a significant speed-up in comparison to existing CPU methods. We demonstrate the utility of our procedure by applying it as a drop-in for the state-of-the-art GPU-based linear solver FALKON, \emph{improving speed 1.5-5.5 times} at the cost of $<1\mathrm{\%}$ drop in accuracy. We further demonstrate competitive results on \emph{Gaussian Process regression} coupled with significant speedups on a variety of real-world datasets.