2,347 research outputs found
Heteroscedastic Gaussian processes for uncertainty modeling in large-scale crowdsourced traffic data
Accurately modeling traffic speeds is a fundamental part of efficient
intelligent transportation systems. Nowadays, with the widespread deployment of
GPS-enabled devices, it has become possible to crowdsource the collection of
speed information to road users (e.g. through mobile applications or dedicated
in-vehicle devices). Despite its rather wide spatial coverage, crowdsourced
speed data also brings very important challenges, such as the highly variable
measurement noise in the data due to a variety of driving behaviors and sample
sizes. When not properly accounted for, this noise can severely compromise any
application that relies on accurate traffic data. In this article, we propose
the use of heteroscedastic Gaussian processes (HGP) to model the time-varying
uncertainty in large-scale crowdsourced traffic data. Furthermore, we develop a
HGP conditioned on sample size and traffic regime (SRC-HGP), which makes use of
sample size information (probe vehicles per minute) as well as previous
observed speeds, in order to more accurately model the uncertainty in observed
speeds. Using 6 months of crowdsourced traffic data from Copenhagen, we
empirically show that the proposed heteroscedastic models produce significantly
better predictive distributions when compared to current state-of-the-art
methods for both speed imputation and short-term forecasting tasks.Comment: 22 pages, Transportation Research Part C: Emerging Technologies
(Elsevier
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
Prediction intervals in State Space models can be obtained by assuming Gaussian innovations
and using the prediction equations of the Kalman filter, where the true parameters are
substituted by consistent estimates. This approach has two limitations. First, it does not
incorporate the uncertainty due to parameter estimation. Second, the Gaussianity assumption of
future innovations may be inaccurate. To overcome these drawbacks, Wall and Stoffer (2002)
propose to obtain prediction intervals by using a bootstrap procedure that requires the backward
representation of the model. Obtaining this representation increases the complexity of the
procedure and limits its implementation to models for which it exists. The bootstrap procedure
proposed by Wall and Stoffer (2002) is further complicated by fact that the intervals are
obtained for the prediction errors instead of for the observations. In this paper, we propose a
bootstrap procedure for constructing prediction intervals in State Space models that does not
need the backward representation of the model and is based on obtaining the intervals directly
for the observations. Therefore, its application is much simpler, without loosing the good
behavior of bootstrap prediction intervals. We study its finite sample properties and compare
them with those of the standard and the Wall and Stoffer (2002) procedures for the Local Level
Model. Finally, we illustrate the results by implementing the new procedure to obtain prediction
intervals for future values of a real time series
Kernel conditional quantile estimation via reduction revisited
Quantile regression refers to the process of estimating the quantiles of a conditional distribution and has many important applications within econometrics and data mining, among other domains. In this paper, we show how to estimate these conditional quantile functions within a Bayes risk minimization framework using a Gaussian process prior. The resulting non-parametric probabilistic model is easy to implement and allows non-crossing quantile functions to be enforced. Moreover, it can directly be used in combination with tools and extensions of standard Gaussian Processes such as principled hyperparameter estimation, sparsification, and quantile regression with input-dependent noise rates. No existing approach enjoys all of these desirable properties. Experiments on benchmark datasets show that our method is competitive with state-of-the-art approaches.
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
Prediction intervals in State Space models can be obtained by assuming Gaussian innovations and using the prediction equations of the Kalman filter, where the true parameters are substituted by consistent estimates. This approach has two limitations. First, it does not incorporate the uncertainty due to parameter estimation. Second, the Gaussianity assumption of future innovations may be inaccurate. To overcome these drawbacks, Wall and Stoffer (2002) propose to obtain prediction intervals by using a bootstrap procedure that requires the backward representation of the model. Obtaining this representation increases the complexity of the procedure and limits its implementation to models for which it exists. The bootstrap procedure proposed by Wall and Stoffer (2002) is further complicated by fact that the intervals are obtained for the prediction errors instead of for the observations. In this paper, we propose a bootstrap procedure for constructing prediction intervals in State Space models that does not need the backward representation of the model and is based on obtaining the intervals directly for the observations. Therefore, its application is much simpler, without loosing the good behavior of bootstrap prediction intervals. We study its finite sample properties and compare them with those of the standard and the Wall and Stoffer (2002) procedures for the Local Level Model. Finally, we illustrate the results by implementing the new procedure to obtain prediction intervals for future values of a real time series.NAIRU, Output gap, Parameter uncertainty, Prediction Intervals, State Space Models
Approximate Inference for Nonstationary Heteroscedastic Gaussian process Regression
This paper presents a novel approach for approximate integration over the
uncertainty of noise and signal variances in Gaussian process (GP) regression.
Our efficient and straightforward approach can also be applied to integration
over input dependent noise variance (heteroscedasticity) and input dependent
signal variance (nonstationarity) by setting independent GP priors for the
noise and signal variances. We use expectation propagation (EP) for inference
and compare results to Markov chain Monte Carlo in two simulated data sets and
three empirical examples. The results show that EP produces comparable results
with less computational burden
Gaussian-Process-based Robot Learning from Demonstration
Endowed with higher levels of autonomy, robots are required to perform
increasingly complex manipulation tasks. Learning from demonstration is arising
as a promising paradigm for transferring skills to robots. It allows to
implicitly learn task constraints from observing the motion executed by a human
teacher, which can enable adaptive behavior. We present a novel
Gaussian-Process-based learning from demonstration approach. This probabilistic
representation allows to generalize over multiple demonstrations, and encode
variability along the different phases of the task. In this paper, we address
how Gaussian Processes can be used to effectively learn a policy from
trajectories in task space. We also present a method to efficiently adapt the
policy to fulfill new requirements, and to modulate the robot behavior as a
function of task variability. This approach is illustrated through a real-world
application using the TIAGo robot.Comment: 8 pages, 10 figure
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