Related papers: Multi-fidelity Gaussian process regression for noi…
Sparse identification of differential equations aims to compute the analytic expressions from the observed data explicitly. However, there exist two primary challenges. Firstly, it exhibits sensitivity to the noise in the observed data,…
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable exceptions, all integrated variance estimators proposed in the…
Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…
Gaussian process (GP) models provide a powerful tool for prediction but are computationally prohibitive using large data sets. In such scenarios, one has to resort to approximate methods. We derive an approximation based on a composite…
Multi-fidelity modelling arises in many situations in computational science and engineering world. It enables accurate inference even when only a small set of accurate data is available. Those data often come from a high-fidelity model,…
We consider estimation of a deterministic unknown parameter vector in a linear model with non-Gaussian noise. In the Gaussian case, dimensionality reduction via a linear matched filter provides a simple low dimensional sufficient statistic…
In statistical modeling with Gaussian Process regression, it has been shown that combining (few) high-fidelity data with (many) low-fidelity data can enhance prediction accuracy, compared to prediction based on the few high-fidelity data…
We introduce a new regression framework, Gaussian process regression networks (GPRN), which combines the structural properties of Bayesian neural networks with the non-parametric flexibility of Gaussian processes. This model accommodates…
Multi-step forecasting is often described through a simple rule of thumb: recursive strategies are said to have high bias and low variance, while direct strategies are said to have low bias and high variance. We revisit this belief by…
The class of Gaussian Process (GP) methods for Temporal Difference learning has shown promise for data-efficient model-free Reinforcement Learning. In this paper, we consider a recent variant of the GP-SARSA algorithm, called Sparse…
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…
Variational inference techniques based on inducing variables provide an elegant framework for scalable posterior estimation in Gaussian process (GP) models. Besides enabling scalability, one of their main advantages over sparse…
We present a unified view of likelihood based Gaussian progress regression for simulation experiments exhibiting input-dependent noise. Replication plays an important role in that context, however previous methods leveraging replicates have…
We study a time-varying Bayesian optimization problem with bandit feedback, where the reward function belongs to a Reproducing Kernel Hilbert Space (RKHS). We approach the problem via an upper-confidence bound Gaussian Process algorithm,…
Due to its state-of-the-art estimation performance complemented by rigorous and non-conservative uncertainty bounds, Gaussian process regression is a popular tool for enhancing dynamical system models and coping with their inaccuracies.…
In the context of high-dimensional linear regression models, we propose an algorithm of exact support recovery in the setting of noisy compressed sensing where all entries of the design matrix are independent and identically distributed…
We propose a practical and scalable Gaussian process model for large-scale nonlinear probabilistic regression. Our mixture-of-experts model is conceptually simple and hierarchically recombines computations for an overall approximation of a…
Gaussian processes (GPs) have gained popularity as flexible machine learning models for regression and function approximation with an in-built method for uncertainty quantification. However, GPs suffer when the amount of training data is…
Many control tasks can be formulated as a tracking problem of a known or unknown reference signal. Examples are movement compensation in collaborative robotics, the synchronisation of oscillations for power systems or reference tracking of…
Extrinsic Gaussian process regression methods, such as wrapped Gaussian process, have been developed to analyze manifold data. However, there is a lack of intrinsic Gaussian process methods for studying complex data with manifold-valued…