Related papers: Gaussian processes based data augmentation and exp…

A primary goal of computer experiments is to reconstruct the function given by the computer code via scattered evaluations. Traditional isotropic Gaussian process models suffer from the curse of dimensionality, when the input dimension is…

Effective forces -- derived from experimental or {\it in silico} molecular dynamics time traces -- are critical in developing reduced and computationally efficient descriptions of otherwise complex dynamical problems. Thus, designing…

Gaussian Processes (GPs) has experienced tremendous success in geoscience in general and for bio-geophysical parameter retrieval in the last years. GPs constitute a solid Bayesian framework to formulate many function approximation problems…

A Gaussian process (GP)-based methodology is proposed to emulate complex dynamical computer models (or simulators). The method relies on emulating the numerical flow map of the system over an initial (short) time step, where the flow map is…

Motivated by the emerging area of graph signal processing (GSP), we introduce a novel method to draw inference from spatiotemporal signals. Data acquisition in different locations over time is common in sensor networks, for diverse…

Practitioners building classifiers often start with a smaller pilot dataset and plan to grow to larger data in the near future. Such projects need a toolkit for extrapolating how much classifier accuracy may improve from a 2x, 10x, or 50x…

We tackle the problem of building a prediction interval in heteroscedastic Gaussian regression. We focus on prediction intervals with constrained expected length in order to guarantee interpretability of the output. In this framework, we…

We propose a novel actor-critic, model-free reinforcement learning algorithm which employs a Bayesian method of parameter space exploration to solve environments. A Gaussian process is used to learn the expected return of a policy given the…

The identification of the constrained dynamics of mechanical systems is often challenging. Learning methods promise to ease an analytical analysis, but require considerable amounts of data for training. We propose to combine insights from…

A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamics of the transformed variables are described by a Gaussian…

Graph classification aims to categorise graphs based on their structure and node attributes. In this work, we propose to tackle this task using tools from graph signal processing by deriving spectral features, which we then use to design…

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…

Link prediction aims to reveal missing edges in a graph. We address this task with a Gaussian process that is transformed using simplified graph convolutions to better leverage the inductive bias of the domain. To scale the Gaussian process…

Randomised signature has been proposed as a flexible and easily implementable alternative to the well-established path signature. In this article, we employ randomised signature to introduce a generative model for financial time series data…

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of…

We propose a new method for simplification of Gaussian process (GP) models by projecting the information contained in the full encompassing model and selecting a reduced number of variables based on their predictive relevance. Our results…

The problem of sequentially maximizing the expectation of a function seeks to maximize the expected value of a function of interest without having direct control on its features. Instead, the distribution of such features depends on a given…

Bayesian Optimization is an effective method for searching the global maxima of an objective function especially if the function is unknown. The process comprises of using a surrogate function and choosing an acquisition function followed…

This paper has been withdrawn from the arXiv. It is now published by Elsevier in the Journal of Statistical Planning and Inference, under the modified title "Convergence properties of the expected improvement algorithm with fixed mean and…

We propose an efficient optimization algorithm for selecting a subset of training data to induce sparsity for Gaussian process regression. The algorithm estimates an inducing set and the hyperparameters using a single objective, either the…