Gaussian Process Latent Force Models for Learning and Stochastic Control of Physical Systems

DOI10.1109/TAC.2018.2874749zbMATH Open1482.93722arXiv1709.05409OpenAlexW2963538546WikidataQ129116654 ScholiaQ129116654MaRDI QIDQ5223809FDOQ5223809

Authors: Simo Särkkä, Mauricio A. Álvarez, Neil D. Lawrence 

Publication date: 18 July 2019

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: This article is concerned with learning and stochastic control in physical systems which contain unknown input signals. These unknown signals are modeled as Gaussian processes (GP) with certain parametrized covariance structures. The resulting latent force models (LFMs) can be seen as hybrid models that contain a first-principles physical model part and a non-parametric GP model part. We briefly review the statistical inference and learning methods for this kind of models, introduce stochastic control methodology for the models, and provide new theoretical observability and controllability results for them.

Full work available at URL: https://arxiv.org/abs/1709.05409

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Stochastic learning and adaptive control (93E35)

Cited In (6)

• System identification using autoregressive Bayesian neural networks with nonparametric noise models
• Online model learning of buildings using stochastic hybrid systems based on Gaussian processes
• Hybrid Gaussian process modeling applied to economic stochastic model predictive control of batch processes
• Covariance models and Gaussian process regression for the wave equation. Application to related inverse problems
• A Kronecker product accelerated efficient sparse Gaussian process (E-SGP) for flow emulation
• Spatiotemporal learning-based stochastic MPC with applications in aero-engine control

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