Related papers: Gaussian Process Tilted Nonparametric Density Esti…

Gaussian processes (GPs) provide a probabilistic nonparametric representation of functions in regression, classification, and other problems. Unfortunately, exact learning with GPs is intractable for large datasets. A variety of approximate…

In this paper we revisit a non-linear filter for {\em non-Gaussian} noises that was introduced in [1]. Goggin proved that transforming the observations by the score function and then applying the Kalman Filter (KF) to the transformed…

A key challenge with controlling complex dynamical systems is to accurately model them. However, this requirement is very hard to satisfy in practice. Data-driven approaches such as Gaussian processes (GPs) have proved quite effective by…

Inference for GP models with non-Gaussian noises is computationally expensive when dealing with large datasets. Many recent inference methods approximate the posterior distribution with a simpler distribution defined on a small number of…

The Gaussian process (GP) regression can be severely biased when the data are contaminated by outliers. This paper presents a new robust GP regression algorithm that iteratively trims the most extreme data points. While the new algorithm…

The Gaussian Filter (GF) is one of the most widely used filtering algorithms; instances are the Extended Kalman Filter, the Unscented Kalman Filter and the Divided Difference Filter. GFs represent the belief of the current state by a…

Gaussian processes (GPs) are a powerful tool for probabilistic inference over functions. They have been applied to both regression and non-linear dimensionality reduction, and offer desirable properties such as uncertainty estimates,…

The Gaussian process (GP) is a powerful tool for nonparametric modeling, but its sensitivity to outliers limits its applicability to data distributions with heavy-tails. Studentt processes offer a robust alternative for heavy tail modeling,…

In this paper, we study efficient approximate sampling for probability distributions known up to normalization constants. We specifically focus on a problem class arising in Bayesian inference for large-scale inverse problems in science and…

Practical Bayes filters often assume the state distribution of each time step to be Gaussian for computational tractability, resulting in the so-called Gaussian filters. When facing nonlinear systems, Gaussian filters such as extended…

Gaussian mixtures are a common density representation in nonlinear, non-Gaussian Bayesian state estimation. Selecting an appropriate number of Gaussian components, however, is difficult as one has to trade of computational complexity…

Gaussian processes (GPs) are powerful non-parametric function estimators. However, their applications are largely limited by the expensive computational cost of the inference procedures. Existing stochastic or distributed synchronous…

We present a novel Kalman filter for spatiotemporal systems called the numerical Gaussian process Kalman filter (GPKF). Numerical Gaussian processes have recently been introduced as a physics informed machine learning method for simulating…

Gaussian processes (GPs) are a good choice for function approximation as they are flexible, robust to over-fitting, and provide well-calibrated predictive uncertainty. Deep Gaussian processes (DGPs) are multi-layer generalisations of GPs,…

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…

A stationary Gaussian process is said to be long-range dependent (resp., anti-persistent) if its spectral density $f(\lambda)$ can be written as $f(\lambda)=|\lambda|^{-2d}g(|\lambda|)$, where $0<d<1/2$ (resp., $-1/2<d<0$), and $g$ is…

Gaussian processes (GP) provide a prior over functions and allow finding complex regularities in data. Gaussian processes are successfully used for classification/regression problems and dimensionality reduction. In this work we consider…

This paper proposes a statistical verification framework using Gaussian processes (GPs) for simulation-based verification of stochastic nonlinear systems with parametric uncertainties. Given a small number of stochastic simulations, the…

In fiber-optic distributed sensing, vibration signals are mostly assumed to follow Gaussian distribution for the simplicity of signal processing. However, in real applications, vibration signals often behave as non-Gaussian processes, which…

In this paper, a new probability distribution, referred to as the matrix Fisher-Gaussian (MFG) distribution, is proposed on the nonlinear manifold $\mathrm{SO}(3)\times\mathbb{R}^n$. It is constructed by conditioning a (9+n)-variate…