Efficient state-space inference of periodic latent force models
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Published version
Author(s)
Reece, S
Roberts, S
Ghosh, S
Rogers, A
Jennings, NR
Type
Journal Article
Abstract
Latent force models (LFM) are principled approaches to incorporating solutions to differen-tial equations within non-parametric inference methods. Unfortunately, the developmentand application of LFMs can be inhibited by their computational cost, especially whenclosed-form solutions for the LFM are unavailable, as is the case in many real world prob-lems where these latent forces exhibit periodic behaviour. Given this, we develop a newsparse representation of LFMs which considerably improves their computational efficiency,as well as broadening their applicability, in a principled way, to domains with periodic ornear periodic latent forces. Our approach uses a linear basis model to approximate onegenerative model for each periodic force. We assume that the latent forces are generatedfrom Gaussian process priors and develop a linear basis model which fully expresses thesepriors. We apply our approach to model the thermal dynamics of domestic buildings andshow that it is effective at predicting day-ahead temperatures within the homes. We alsoapply our approach within queueing theory in which quasi-periodic arrival rates are mod-elled as latent forces. In both cases, we demonstrate that our approach can be implemented efficiently using state-space methods which encode the linear dynamic systems via LFMs.Further, we show that state estimates obtained using periodic latent force models can re-duce the root mean squared error to 17% of that from non-periodic models and 27% of thenearest rival approach which is the resonator model (S ̈arkk ̈a et al., 2012; Hartikainen et al.,2012.)
Date Issued
2014-07-01
Date Acceptance
2014-02-14
Citation
Journal of Machine Learning Research, 2014, 15, pp.2337-2397
ISSN
1532-4435
Publisher
Journal of Machine Learning Research
Start Page
2337
End Page
2397
Journal / Book Title
Journal of Machine Learning Research
Volume
15
Copyright Statement
© 2014 Steven Reece, Siddhartha Ghosh, Alex Rogers, Stephen Roberts, Nicholas R. Jennings. The publication is also available at publisher's website: http://www.jmlr.org/papers/volume15/reece14a/reece14a.pdf
Identifier
https://www.jmlr.org/papers/v15/reece14a.html
Subjects
Science & Technology
Technology
Automation & Control Systems
Computer Science, Artificial Intelligence
Computer Science
latent force models
Gaussian processes
Kalman filter
kernel principle component analysis
queueing theory
NYSTROM METHOD
GRAM MATRIX
KERNEL
Artificial Intelligence & Image Processing
08 Information and Computing Sciences
17 Psychology and Cognitive Sciences
Publication Status
Published
Article Number
68
Date Publish Online
2014-07-01