Gaussian Process Regression
Gaussian Process Regression (GPR) is a Bayesian non-parametric method used for regression tasks, aiming to predict a continuous output variable based on input data while providing uncertainty estimates. Current research emphasizes improving GPR's scalability and robustness, focusing on techniques like dividing local Gaussian processes for continual learning, tensor network methods for high-dimensional data, and efficient kernel selection and subsampling strategies. These advancements enhance GPR's applicability across diverse fields, including system identification, time series forecasting, safety-critical control systems, and scientific modeling where accurate uncertainty quantification is crucial.
Papers
Gaussian Process regression over discrete probability measures: on the non-stationarity relation between Euclidean and Wasserstein Squared Exponential Kernels
Antonio Candelieri, Andrea Ponti, Francesco Archetti
Empirical Asset Pricing via Ensemble Gaussian Process Regression
Damir Filipović, Puneet Pasricha