Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

Time-series Gaussian process regression based on toeplitz computation of O(N2) operations and O(N)-level storage

Zhang, Y. and Leithead, W.E. and Leith, D.J. (2005) Time-series Gaussian process regression based on toeplitz computation of O(N2) operations and O(N)-level storage. In: Proceedings of the 44th IEEE Conference on Decision and Control, 2005 and 2005 European Control Conference. CDC-ECC '05. IEEE, pp. 3711-3716. ISBN 0-7803-9567-0

Full text not available in this repository. (Request a copy from the Strathclyde author)

Abstract

Gaussian process (GP) regression is a Bayesian nonparametric model showing good performance in various applications. However, its hyperparameter-estimating procedure may contain numerous matrix manipulations of O(N3) arithmetic operations, in addition to the O(N2)-level storage. Motivated by handling the real-world large dataset of 24000 wind-turbine data, we propose in this paper an efficient and economical Toeplitz-computation scheme for time-series Gaussian process regression. The scheme is of O(N2) operations and O(N)-level memory requirement. Numerical experiments substantiate the effectiveness and possibility of using this Toeplitz computation for very large datasets regression (such as, containing 10000~100000 data points).

Item type: Book Section
ID code: 38120
Keywords: acceleration, aerodynamics , bayesian methods, noise measurement, predictive models, velocity measurement, Electrical engineering. Electronics Nuclear engineering
Subjects: Technology > Electrical engineering. Electronics Nuclear engineering
Department: Faculty of Engineering > Electronic and Electrical Engineering
Related URLs:
    Depositing user: Pure Administrator
    Date Deposited: 02 Mar 2012 14:37
    Last modified: 06 Sep 2014 08:07
    URI: http://strathprints.strath.ac.uk/id/eprint/38120

    Actions (login required)

    View Item