Fast Fourier Bayesian Quadrature

In numerical integration, Bayesian quadrature (BQ) excels at producing estimates with quantified uncertainties, particularly in sparse data settings. However, its computational scalability and kernel learning capabilities have lagged behind modern advances in Gaussian process research. To bridge this gap, we recast the BQ posterior integral as a convolution operation, which enables efficient computation via fast Fourier transform of low-rank matrices. We introduce two new methods enabled by recasting BQ as a convolution: fast Fourier Bayesian quadrature and sparse spectrum Bayesian quadrature. These methods enhance the computational scalability of BQ and expand kernel flexibility, enabling the use of \textit{any} stationary kernel in the BQ setting. We empirically validate the efficacy of our approach through a range of integration tasks, substantiating the benefits of the proposed methodology.