Picture of aircraft jet engine

Strathclyde research that powers aerospace engineering...

The Strathprints institutional repository is a digital archive of University of Strathclyde's Open Access research outputs. Strathprints provides access to thousands of Open Access research papers by University of Strathclyde researchers, including by Strathclyde researchers involved in aerospace engineering and from the Advanced Space Concepts Laboratory - but also other internationally significant research from within the Department of Mechanical & Aerospace Engineering. Discover why Strathclyde is powering international aerospace research...

Strathprints also exposes world leading research from the Faculties of Science, Engineering, Humanities & Social Sciences, and from the Strathclyde Business School.

Discover more...

Efficient Gaussian process based on BFGS updating and logdet approximation

Leithead, W.E. and Zhang, Y. and Leith, D.J. (2005) Efficient Gaussian process based on BFGS updating and logdet approximation. In: Proceedings of the 16th IFAC World Congress, 2005. UNSPECIFIED, p. 217. ISBN 978-3-902661-75-3

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

Abstract

Gaussian process (GP) is a Bayesian nonparametric regression model, showing good performance in various applications. However, its hyperparameterestimation procedure suffers from numerous covariance-matrix inversions of prohibitively O(N3) operations. In this paper, we propose using the quasi-Newton BFGS O(N2)-operation formula to update recursively the inverse of covariance matrix at every iteration. As for the involved log det computation, a power-series expansion based approximation and compensation scheme is proposed with only 50N2 operations. A number of numerical tests are performed based on the 2D- sinusoidal regression example and the Wiener-Hammerstein identification example. It is shown that by using the proposed implementation, more than 80% O(N3) operations are eliminated, and the speedup of 5 - 9 can be achieved.