State Space Expectation Propagation: Efficient Inference Schemes for Temporal Gaussian Processes

12 Jul 2020William J. WilkinsonPaul E. ChangMichael Riis AndersenArno Solin

We formulate approximate Bayesian inference in non-conjugate temporal and spatio-temporal Gaussian process models as a simple parameter update rule applied during Kalman smoothing. This viewpoint encompasses most inference schemes, including expectation propagation (EP), the classical (Extended, Unscented, etc.).. (read more)

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