Estimation of Gaussian process regression model using probability distance measures

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Hong, X. orcid id iconORCID: https://orcid.org/0000-0002-6832-2298, Gao, J., Jiang, X. and Harris, C. J. (2014) Estimation of Gaussian process regression model using probability distance measures. Systems Science & Control Engineering, 2. pp. 655-663. ISSN 2164-2583 doi: 10.1080/21642583.2014.970731

Abstract/Summary

A new class of parameter estimation algorithms is introduced for Gaussian process regression (GPR) models. It is shown that the integration of the GPR model with probability distance measures of (i) the integrated square error and (ii) Kullback–Leibler (K–L) divergence are analytically tractable. An efficient coordinate descent algorithm is proposed to iteratively estimate the kernel width using golden section search which includes a fast gradient descent algorithm as an inner loop to estimate the noise variance. Numerical examples are included to demonstrate the effectiveness of the new identification approaches.

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Item Type Article
URI https://reading-clone.eprints-hosting.org/id/eprint/39721
Identification Number/DOI 10.1080/21642583.2014.970731
Refereed Yes
Divisions Science > School of Mathematical, Physical and Computational Sciences > Department of Computer Science
Uncontrolled Keywords Gaussian process; optimization; probability distance measures
Publisher Taylor & Francis.
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