A Taylor Series Approach to Correction of Input Errors in Gaussian Process Regression

원문 초록

Gaussian Processes (GPs) are widely recognized as powerful non-parametric models for regression and classification. Traditional GP frameworks predominantly operate under the assumption that the inputs are either accurately known or subject to zero-mean noise. However, several real-world applications such as mobile sensors have imperfect localization, leading to inputs with biased errors. These biases can typically be estimated through measurements collected over time using, for example, Kalman filters. To avoid recomputation of the entire GP model when better estimates of the inputs used in the training data become available, we introduce a technique for updating a trained GP model to incorporate updated estimates of the inputs. By leveraging the differentiability of the mean and covariance functions derived from the squared exponential kernel, a second-order correction algorithm is developed to update the trained GP models. Precomputed Jacobians and Hessians of kernels enable real-time refinement of the mean and covariance predictions. The efficacy of the developed approach is demonstrated using two simulation studies, with error analyses revealing improvements in both predictive accuracy and uncertainty quantification.