Computationally Efficient Bayesian Learning of Gaussian Process State Space Models

7 Jun 2015Andreas SvenssonArno SolinSimo SärkkäThomas B. Schön

Gaussian processes allow for flexible specification of prior assumptions of unknown dynamics in state space models. We present a procedure for efficient Bayesian learning in Gaussian process state space models, where the representation is formed by projecting the problem onto a set of approximate eigenfunctions derived from the prior covariance structure... (read more)

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