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Many machine learning problems can be framed in the context of estimating functions, and often these are time-dependent functions that are estimated in real-time as observations arrive. Gaussian processes (GPs) are an attractive choice for…
Physical systems can often be described via a continuous-time dynamical system. In practice, the true system is often unknown and has to be learned from measurement data. Since data is typically collected in discrete time, e.g. by sensors,…
Multi-task learning models using Gaussian processes (GP) have been developed and successfully applied in various applications. The main difficulty with this approach is the computational cost of inference using the union of examples from…
This paper presents an extremum seeking control algorithm with an adaptive step-size that adjusts the aggressiveness of the controller based on the quality of the gradient estimate. The adaptive step-size ensures that the integral-action…
Computing a Gaussian process (GP) posterior has a computational cost cubical in the number of historical points. A reformulation of the same GP posterior highlights that this complexity mainly depends on how many \emph{unique} historical…
Learning dynamical models from data is not only fundamental but also holds great promise for advancing principle discovery, time-series prediction, and controller design. Among various approaches, Gaussian Process State-Space Models…
We present techniques for effective Gaussian process (GP) modelling of multiple short time series. These problems are common when applying GP models independently to each gene in a gene expression time series data set. Such sets typically…
A popular strategy for active learning is to specifically target a reduction in epistemic uncertainty, since aleatoric uncertainty is often considered as being intrinsic to the system of interest and therefore not reducible. Yet,…
This paper discusses the problem of adaptive estimation of a univariate object like the value of a regression function at a given point or a linear functional in a linear inverse problem. We consider an adaptive procedure originated from…
In order to improve the performance of Bayesian optimisation, we develop a modified Gaussian process upper confidence bound (GP-UCB) acquisition function. This is done by sampling the exploration-exploitation trade-off parameter from a…
Environmental monitoring robots often need to estimate data fields (e.g., salinity, temperature, bathymetry) under tight resource constraints. Classical boustrophedon lawnmower surveys provide geometric coverage guarantees but can waste…
Gaussian processes provide a compact representation for modeling and estimating an unknown function, that can be updated as new measurements of the function are obtained. This paper extends this powerful framework to the case where the…
The Efficient Global Optimization (EGO) algorithm uses a conditional Gaus-sian Process (GP) to approximate an objective function known at a finite number of observation points and sequentially adds new points which maximize the Expected…
This paper examines experimental design procedures used to develop surrogates of computational models, exploring the interplay between experimental designs and approximation algorithms. We focus on two widely used approximation approaches,…
We study the application of dynamic pricing to insurance. We view this as an online revenue management problem where the insurance company looks to set prices to optimize the long-run revenue from selling a new insurance product. We develop…
We propose PACE-GGM, a data-adaptive differentially private method for covariance estimation that concentrates its privacy budget on the most informative entries of the empirical covariance matrix, rather than perturbing all entries. This…
Motivated by environmental policy questions, we address the challenges of estimation, change point detection, and uncertainty quantification of a causal exposure-response function (CERF). Under a potential outcome framework, the CERF…
Simulation based or dynamic probabilistic risk assessment methodologies were primarily developed for proving a more realistic and complete representation of complex systems accident response. Such simulation based methodologies have proven…
Gaussian processes (GPs) provide flexible distributions over functions, with inductive biases controlled by a kernel. However, in many applications Gaussian processes can struggle with even moderate input dimensionality. Learning a low…
One major challenge for autonomous attitude takeover control for on-orbit servicing of spacecraft is that an accurate dynamic motion model of the combined vehicles is highly nonlinear, complex and often costly to identify online, which…