Related papers: Expectation Propagation in Gaussian Process Dynami…
Gaussian processes (GP) are attractive building blocks for many probabilistic models. Their drawbacks, however, are the rapidly increasing inference time and memory requirement alongside increasing data. The problem can be alleviated with…
The Gaussian process state space model (GPSSM) is a non-linear dynamical system, where unknown transition and/or measurement mappings are described by GPs. Most research in GPSSMs has focussed on the state estimation problem, i.e.,…
Score-based generative models (SGMs) have recently emerged as a promising class of generative models. However, a fundamental limitation is that their inference is very slow due to a need for many (e.g., 2000) iterations of sequential…
Gaussian Processes (\textbf{GPs}) are flexible non-parametric models with strong probabilistic interpretation. While being a standard choice for performing inference on time series, GPs have few techniques to work in a streaming setting.…
While Gaussian processes (GPs) are the method of choice for regression tasks, they also come with practical difficulties, as inference cost scales cubic in time and quadratic in memory. In this paper, we introduce a natural and expressive…
Multifidelity models integrate data from multiple sources to produce a single approximator for the underlying process. Dense low-fidelity samples are used to reduce interpolation error, while sparse high-fidelity samples are used to…
Computational models of complex physical systems often rely on simplifying assumptions which inevitably introduce model error, with consequent predictive errors. Given data on model observables, the estimation of parameterized model-error…
Multivariate Gaussian distributions enjoy Gaussian conditional distributions that makes conditioning easy: conditioning boils down to implementing analytical formulae for conditional means and covariances. For more general distributions,…
Bayesian modelling of dynamic systems must achieve a compromise between providing a complete mechanistic specification of the process while retaining the flexibility to handle those situations in which data is sparse relative to model…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
In simulation-based engineering design with time-consuming simulators, Gaussian process (GP) models are widely used as fast emulators to speed up the design optimization process. In its most commonly used form, the input of GP is a simple…
We describe expectation propagation for approximate inference in dynamic Bayesian networks as a natural extension of Pearl s exact belief propagation.Expectation propagation IS a greedy algorithm, converges IN many practical cases, but NOT…
We introduce a novel formulation of motion planning, for continuous-time trajectories, as probabilistic inference. We first show how smooth continuous-time trajectories can be represented by a small number of states using sparse Gaussian…
We develop a mixture model for transition density approximation, together with soft model selection, in the presence of noisy and heterogeneous nonlinear dynamics. Our model builds on the Gaussian mixture transition distribution (MTD) model…
Automatic forecasting is the task of receiving a time series and returning a forecast for the next time steps without any human intervention. Gaussian Processes (GPs) are a powerful tool for modeling time series, but so far there are no…
Gaussian Processes (GPs) are a class of kernel methods that have shown to be very useful in geoscience applications. They are widely used because they are simple, flexible and provide very accurate estimates for nonlinear problems,…
We study asymptotic properties of expectation propagation (EP) -- a method for approximate inference originally developed in the field of machine learning. Applied to generalized linear models, EP iteratively computes a multivariate…
Message-passing algorithms based on the Belief Propagation (BP) equations constitute a well-known distributed computational scheme. It is exact on tree-like graphical models and has also proven to be effective in many problems defined on…
In this paper, we study a fast approximate inference method based on expectation propagation for exploring the posterior probability distribution arising from the Bayesian formulation of nonlinear inverse problems. It is capable of…