Correction to "Gaussian Process Online Learning With a Sparse Data Stream"

Jaehyun Lim, Jehyun Park, Jongeun Choi

Abstract: A letter entitled “Gaussian Process Online Learning With a Sparse Data Stream” suggests an approach for extending the infinite-horizon Gaussian processes (IHGPs, [1]) to deal with a sparse data stream. We point out that there is an error in differentiating the discrete algebraic Riccati equation (DARE), which significantly changes the results of the benchmarking study in a sense that the proposed approach using the solution of the Lyapunov equation does not show outperformance against the original IHGP. In this letter, we provide a correction with details and its consequential implication.