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Open Access research with a European policy impact...

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 Strathclyde researchers, including by researchers from the European Policies Research Centre (EPRC).

EPRC is a leading institute in Europe for comparative research on public policy, with a particular focus on regional development policies. Spanning 30 European countries, EPRC research programmes have a strong emphasis on applied research and knowledge exchange, including the provision of policy advice to EU institutions and national and sub-national government authorities throughout Europe.

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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

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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).