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arXiv · 2311.17871

Estimation of Dynamic Gaussian Processes

Jilles van Hulst·Roy van Zuijlen·Duarte Antunes·W. P. M. H.·Heemels
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Abstract

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 unknown function dynamically changes over time. Specifically, we assume that the function evolves according to an integro-difference equation and that the measurements are obtained locally in a spatial sense. In this setting, we will provide the expressions for the conditional mean and covariance of the process given the measurements, which results in a generalized estimation framework, for which we coined the term Dynamic Gaussian Process (DGP) estimation. This new framework generalizes both Gaussian process regression and Kalman filtering. For a broad class of kernels, described by a set of basis functions, fast implementations are provided. We illustrate the results on a numerical example, demonstrating that the method can accurately estimate an evolving continuous function, even in the presence of noisy measurements and disturbances.

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Jilles van Hulst, Roy van Zuijlen, Duarte Antunes, W. P. M. H., Heemels. 2023-11-29. Estimation of Dynamic Gaussian Processes. https://arxiv.org/abs/2311.17871

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