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We examine an analytic variational inference scheme for the Gaussian Process State Space Model (GPSSM) - a probabilistic model for system identification and time-series modelling. Our approach performs variational inference over both the…

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.,…

Gaussian process state-space models (GPSSMs) provide a principled and flexible approach to modeling the dynamics of a latent state, which is observed at discrete-time points via a likelihood model. However, inference in GPSSMs is…

This paper proposes an online learning method of Gaussian process state-space model (GP-SSM). GP-SSM is a probabilistic representation learning scheme that represents unknown state transition and/or measurement models as Gaussian processes…

Gaussian process state-space models (GPSSMs) offer a principled framework for learning and inference in nonlinear dynamical systems with uncertainty quantification. However, existing GPSSMs are limited by the use of multiple independent…

Gaussian state space models have been used for decades as generative models of sequential data. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption. We introduce a unified…

Gaussian process (GP) regression with 1D inputs can often be performed in linear time via a stochastic differential equation formulation. However, for non-Gaussian likelihoods, this requires application of approximate inference methods…

State-space models have been successfully used for more than fifty years in different areas of science and engineering. We present a procedure for efficient variational Bayesian learning of nonlinear state-space models based on sparse…

Accurate learning of system dynamics is becoming increasingly crucial for advanced control and decision-making in engineering. However, real-world systems often exhibit multiple channels and highly nonlinear transition dynamics, challenging…

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…

This paper presents an adaptive Kalman filter for a linear dynamic system perturbed by an additive disturbance. The objective is to estimate both of the state and the unknown disturbance concurrently, while learning the disturbance as a…

The Gaussian process state-space model (GPSSM) has garnered considerable attention over the past decade. However, the standard GP with a preliminary kernel, such as the squared exponential kernel or Mat\'{e}rn kernel, that is commonly used…

Latent variable time-series models are among the most heavily used tools from machine learning and applied statistics. These models have the advantage of learning latent structure both from noisy observations and from the temporal ordering…

Gaussian process regression is increasingly applied for learning unknown dynamical systems. In particular, the implicit quantification of the uncertainty of the learned model makes it a promising approach for safety-critical applications.…

Gaussian processes allow for flexible specification of prior assumptions of unknown dynamics in state space models. We present a procedure for efficient Bayesian learning in Gaussian process state space models, where the representation is…

The Gaussian process state-space model (GPSSM) has attracted extensive attention for modeling complex nonlinear dynamical systems. However, the existing GPSSM employs separate Gaussian processes (GPs) for each latent state dimension,…

We investigate active learning in Gaussian Process state-space models (GPSSM). Our problem is to actively steer the system through latent states by determining its inputs such that the underlying dynamics can be optimally learned by a…

Gaussian process state-space model (GPSSM) is a fully probabilistic state-space model that has attracted much attention over the past decade. However, the outputs of the transition function in the existing GPSSMs are assumed to be…

We consider the problem of sequential estimation of the unknowns of state-space and deep state-space models that include estimation of functions and latent processes of the models. The proposed approach relies on Gaussian and deep Gaussian…

We implement a wireless indoor navigation system based on the variational Gaussian process state-space model (GPSSM) with smartphone-collected WiFi received signal strength (RSS) and inertial measurement unit (IMU) readings. We adapt the…