Robust Filtering and Smoothing with Gaussian Processes

DOI10.1109/TAC.2011.2179426MaRDI QIDQ5352895zbMATH OpenOpenAlexWikidataFDO

Authors Marc Peter Deisenroth, Ryan Darby Turner, Marco F. Huber, Carl Edward Rasmussen, Uwe Hanebeck

Publication date 8 September 2017

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

Full work available at URL https://arxiv.org/abs/1203.4345

Mathematics Subject Classification ID

Gaussian processes (60G15) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: We propose a principled algorithm for robust Bayesian filtering and smoothing in nonlinear stochastic dynamic systems when both the transition function and the measurement function are described by non-parametric Gaussian process (GP) models. GPs are gaining increasing importance in signal processing, machine learning, robotics, and control for representing unknown system functions by posterior probability distributions. This modern way of "system identification" is more robust than finding point estimates of a parametric function representation. In this article, we present a principled algorithm for robust analytic smoothing in GP dynamic systems, which are increasingly used in robotics and control. Our numerical evaluations demonstrate the robustness of the proposed approach in situations where other state-of-the-art Gaussian filters and smoothers can fail.

Cited in

(7)

• Robust weighted Gaussian processes
• Stochastic embeddings of dynamical phenomena through variational autoencoders
• A stochastic variational framework for recurrent Gaussian processes models
• Understanding Symmetric Smoothing Filters: A Gaussian Mixture Model Perspective
• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
• Addressing incremental backstepping control limitations with direct online Gaussian process adaptation
• Model-based kernel sum rule: kernel Bayesian inference with probabilistic models

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