An efficient implementation for spatial-temporal Gaussian process regression and its applications

DOI10.1016/J.AUTOMATICA.2022.110679MaRDI QIDQ2103652zbMATHOpenAlexFDO

Authors Junpeng Zhang, Yue Ju, Renxin Zhong, Tianshi Chen, Bi-Qiang Mu

Publication date 9 December 2022

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.12565

zbMATH Keywords

Gaussian process regressionKalman filter and smootherlarge scale spatial-temporal data

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Filtering in stochastic control theory (93E11) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)

Abstract: Spatial-temporal Gaussian process regression is a popular method for spatial-temporal data modeling. Its state-of-art implementation is based on the state-space model realization of the spatial-temporal Gaussian process and its corresponding Kalman filter and smoother, and has computational complexity $mathcalO(N{M}^3)$, where $N$ and $M$ are the number of time instants and spatial input locations, respectively, and thus can only be applied to data with large $N$ but relatively small $M$. In this paper, our primary goal is to show that by exploring the Kronecker structure of the state-space model realization of the spatial-temporal Gaussian process, it is possible to further reduce the computational complexity to $mathcalO(M^3+N{M}^2)$ and thus the proposed implementation can be applied to data with large $N$ and moderately large $M$. The proposed implementation is illustrated over applications in weather data prediction and spatially-distributed system identification. Our secondary goal is to design a kernel for both the Colorado precipitation data and the GHCN temperature data, such that while having more efficient implementation, better prediction performance can also be achieved than the state-of-art result.

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Cited in

(3)

• Efficient spatio-temporal Gaussian regression via Kalman filtering
• On convergence of covariance matrix of empirical Bayes hyper-parameter estimator
• Efficient computation of Gaussian process regression for large spatial data sets by patching local Gaussian processes

Describes a project that uses

Uses Software

• Matlab
• System Identification Toolbox
• Hyperopt

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