用泰勒展开修正输入误差,让高斯过程回归更准更稳
A Taylor Series Approach to Correction of Input Errors in Gaussian Process Regression
- 基于平方指数核的可微性,用二阶泰勒展开修正输入偏差
- 实测显示预测精度与不确定性估计均显著提升
- 适合传感器定位有偏差的实时系统,如移动设备建模
高斯过程(GPs)是强大的非参数回归与分类模型。传统框架通常假设输入准确或仅含零均值噪声,但实际应用如移动传感器常存在有偏输入误差。可通过卡尔曼滤波等方法随时间估算这些偏差。为避免因输入更新而重新训练整个模型,本文提出一种高效更新机制:利用平方指数核的均值与协方差函数可微性,构建二阶泰勒修正算法,结合预计算的雅可比与海森矩阵,实现对已训练模型的实时均值与协方差修正。两个仿真研究验证了该方法的有效性,误差分析表明其在预测精度和不确定性量化上均有提升。
原文摘要 · Abstract (English)
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.
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