Variational dependent multi-output Gaussian Process dynamical systems

Abstract

This paper presents a dependent multi-output Gaussian process (GP) for modeling complex dynamical systems. The outputs are dependent in this model, which is largely different from previous GP dynamical systems. We adopt convolved multi-output GPs to model the outputs, which are provided with a flexible multi-output covariance function. We adapt the variational inference method with inducing points for approximate posterior inference of latent variables. Conjugate gradient based optimization is used to solve parameters involved. Besides the temporal dependency, the proposed model also captures the dependency among outputs in complex dynamical systems. We evaluate the model on both synthetic and real-world data, and encouraging results are observed.