Tom Colemont

Modified Bryson-Frazier Smoothing and Hyperparameter Learning for Temporal Gaussian Process Regression

The modified Bryson-Frazier (MBF) smoother is revisited as an alternative to the RTS smoother for Gaussian process regression in its state-space representation and it is demonstrated that the intermediate quantities computed by the MBF smoother can be reused to compute gradients of the negative log marginal likelihood,...