Deep Recurrent Gaussian Process with Variational Sparse Spectrum Approximation

Roman Föll, Bernard Haasdonk, Markus Hanselmann, Holger Ulmer

Abstract: Modeling sequential data has become more and more important in practice. Some applications are autonomous driving, virtual sensors and weather forecasting. To model such systems, so called recurrent models are frequently used. In this paper we introduce several new Deep Recurrent Gaussian Process (DRGP) models based on the Sparse Spectrum Gaussian Process (SSGP) and the improved version, called Variational Sparse Spectrum Gaussian Process (VSSGP). We follow the recurrent structure given by an existing DRGP based on a specific variational sparse Nyström approximation, the recurrent Gaussian Process (RGP). Similar to previous work, we also variationally integrate out the input-space and hence can propagate uncertainty through the Gaussian Process (GP) layers. Our approach can deal with a larger class of covariance functions than the RGP, because its spectral nature allows variational integration in all stationary cases. Furthermore, we combine the (Variational) Sparse Spectrum ((V)SS) approximations with a well known inducing-input regularization framework. For the DRGP extension of these combined approximations and the simple (V)SS approximations an optimal variational distribution exists. We improve over current state of the art methods in prediction accuracy for experimental data-sets used for their evaluation and introduce a new data-set for engine control, named Emission.

Keywords: Deep Gaussian Process Model, Recurrent Model, State-Space Model, Nonlinear system identification, Dynamical modeling

TL;DR: Modeling time-series with several Gaussian Processes in a row via a specific Variational Sparse Spectrum Approximation

Community Implementations: [ 2 code implementations](https://www.catalyzex.com/paper/arxiv:1909.13743/code)