Gaussian process

About: Gaussian process is a research topic. Over the lifetime, 18944 publications have been published within this topic receiving 486645 citations. The topic is also known as: Gaussian stochastic process.

Selected Aspects of Fractional Brownian Motion

Abstract: Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales and Markov processes. FBm has become a popular choice for applications where classical processes cannot model these non-trivial properties; for instance long memory, which is also known as persistence, is of fundamental importance for financial data and in internet traffic. The mathematical theory of fBm is currently being developed vigorously by a number of stochastic analysts, in various directions, using complementary and sometimes competing tools. This book is concerned with several aspects of fBm, including the stochastic integration with respect to it, the study of its supremum and its appearance as limit of partial sums involving stationary sequences, to name but a few. The book is addressed to researchers and graduate students in probability and mathematical statistics. With very few exceptions (where precise references are given), every stated result is proved.

Gaussian Bare-Bones Differential Evolution

Abstract: Differential evolution (DE) is a well-known algorithm for global optimization over continuous search spaces. However, choosing the optimal control parameters is a challenging task because they are problem oriented. In order to minimize the effects of the control parameters, a Gaussian bare-bones DE (GBDE) and its modified version (MGBDE) are proposed which are almost parameter free. To verify the performance of our approaches, 30 benchmark functions and two real-world problems are utilized. Conducted experiments indicate that the MGBDE performs significantly better than, or at least comparable to, several state-of-the-art DE variants and some existing bare-bones algorithms.

Robust Shrinkage Estimation of High-Dimensional Covariance Matrices

Abstract: We address high dimensional covariance estimation for elliptical distributed samples, which are also known as spherically invariant random vectors (SIRV) or compound-Gaussian processes Specifically we consider shrinkage methods that are suitable for high dimensional problems with a small number of samples (large p small n) We start from a classical robust covariance estimator [Tyler (1987)], which is distribution-free within the family of elliptical distribution but inapplicable when n <; p Using a shrinkage coefficient, we regularize Tyler's fixed-point iterations We prove that, for all n and p , the proposed fixed-point iterations converge to a unique limit regardless of the initial condition Next, we propose a simple, closed-form and data dependent choice for the shrinkage coefficient, which is based on a minimum mean squared error framework Simulations demonstrate that the proposed method achieves low estimation error and is robust to heavy-tailed samples Finally, as a real-world application we demonstrate the performance of the proposed technique in the context of activity/intrusion detection using a wireless sensor network

Accurate interatomic force fields via machine learning with covariant kernels

Abstract: We present a novel scheme to accurately predict atomic forces as vector quantities, rather than sets of scalar components, by Gaussian process (GP) regression. This is based on matrix-valued kernel functions, on which we impose the requirements that the predicted force rotates with the target configuration and is independent of any rotations applied to the configuration database entries. We show that such covariant GP kernels can be obtained by integration over the elements of the rotation group $\mathit{SO}(d)$ for the relevant dimensionality $d$. Remarkably, in specific cases the integration can be carried out analytically and yields a conservative force field that can be recast into a pair interaction form. Finally, we show that restricting the integration to a summation over the elements of a finite point group relevant to the target system is sufficient to recover an accurate GP. The accuracy of our kernels in predicting quantum-mechanical forces in real materials is investigated by tests on pure and defective Ni, Fe, and Si crystalline systems.

The innovations approach to detection and estimation theory

Abstract: Given a stochastic process, its innovations process will be defined as a white Gaussian noise process obtained from the original process by a causal and causally invertible transformation. The significance of such a representation, when it exists, is that statistical inference problems based on observation of the original process can be replaced by simpler problems based on white noise observations. Seven applications to linear and nonlinear least-squares estimation. Gaussian and non-Gaussian detection problems, solution of Fredholm integral equations, and the calculation of mutual information, will be described. The major new results are summarized in seven theorems. Some powerful mathematical tools will be introduced, but emphasis will be placed on the considerable physical significance of the results.