Online Regression for Data With Changepoints Using Gaussian Processes and Reusable Models

IEEE Trans Neural Netw Learn Syst. 2017 Sep;28(9):2115-2128. doi: 10.1109/TNNLS.2016.2574565. Epub 2016 Jun 14.

Abstract

Many prediction, decision-making, and control architectures rely on online learned Gaussian process (GP) models. However, most existing GP regression algorithms assume a single generative model, leading to poor predictive performance when the data are nonstationary, i.e., generated from multiple switching processes. Furthermore, existing methods for GP regression over nonstationary data require significant computation, do not come with provable guarantees on correctness and speed, and many only work in batch settings, making them ill-suited for real-time prediction. We present an efficient online GP framework, GP-non-Bayesian clustering (GP-NBC), which addresses these computational and theoretical issues, allowing for real-time changepoint detection and regression using GPs. Our empirical results on two real-world data sets and two synthetic data set show that GP-NBC outperforms state-of-the-art methods for nonstationary regression in terms of both regression error and computation. For example, it outperforms Dirichlet process GP clustering with Gibbs sampling by 98% in computation time reduction while the mean absolute error is comparable.

Publication types

  • Research Support, Non-U.S. Gov't
  • Research Support, U.S. Gov't, Non-P.H.S.