Consensus-based Recursive Multi-Output Gaussian Process

Gaussian processes (GPs) provide a flexible framework for learning unknown functions from noisy measurements while quantifying predictive uncertainty, making them well suited for estimation in multi-agent systems. However, when measurements are collected by multiple agents, maintaining a unified GP model without centralized processing requires efficient distributed algorithms that can operate using local measurements and communication with neighboring agents. In this work, we develop two distributed recursive GP (RGP) algorithms for multi-output GP regression: ADMM-RGP and PDMM-RGP. We analyze the stability and convergence of both algorithms and develop parameter selection strategies to accelerate convergence, thus reducing the communication burden. The proposed methods are validated on a real-world multi-output wind dataset, and their convergence behavior is examined across communication graphs with varying connectivity. Numerical experiments demonstrate that ADMM-RGP and PDMM-RGP can significantly reduce communication relative to the state of the art, while maintaining comparable estimation accuracy and network-wide consensus.

We propose DistGP: a multi-robot learning method for collaborative learning of a global function using only local experience and computation. We utilise a sparse Gaussian process (GP) model with a factorisation that mirrors the multi-robot structure of the task, and admits distributed training via Gaussian belief propagation (GBP). Our loopy model outperforms Tree-Structured GPs \cite{bui2014tree} and can be trained online and in settings with dynamic connectivity. We show that such distributed, asynchronous training can reach the same performance as a centralised, batch-trained model, albeit with slower convergence. Last, we compare to DiNNO \cite{yu2022dinno}, a distributed neural network (NN) optimiser, and find DistGP achieves superior accuracy, is more robust to sparse communication and is better able to learn continually.

Gaussian Processes (GPs) are a powerful tool for modelling and quantifying uncertainty in functional relationships. However, they require practitioners to make a number of design decisions, such as the choice of the kernel and the observation model. Suboptimal choices can produce misspecified models that do not capture the underlying data generating process. We introduce Predictively Oriented Gaussian Processes (PrO-GPs), which treat predictive uncertainty as the primary inferential target and provide a robust alternative to standard GPs. Although direct computation of a PrO posterior for nonparametric models is intractable, we derive a reduced formulation and practical sampling scheme for efficient computation. Through synthetic and real data experiments, we show that PrO-GPs produce better calibrated predictive distributions under model misspecification compared to standard GP approaches.