Recurrent gaussian processes and robust dynamical modeling

• Ano de defesa: 2017
• Autor(a) principal: Mattos, César Lincoln Cavalcante
• Orientador(a): Barreto, Guilherme de Alencar
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: eng
• Palavras-chave em Português: Teleinformática; Processos Gaussianos; Sistemas não-lineares; Aprendizagem robusta; Stochastic learning; Gaussian processes; Dynamical modeling; Nonlinear system identification; Robust learning
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/25604

The study of dynamical systems is widespread across several areas of knowledge. Sequential data is generated constantly by different phenomena, most of them we cannot explain by equations derived from known physical laws and structures. In such context, this thesis aims to tackle the task of nonlinear system identification, which builds models directly from sequential measurements. More specifically, we approach challenging scenarios, such as learning temporal relations from noisy data, data containing discrepant values (outliers) and large datasets. In the interface between statistics, computer science, data analysis and engineering lies the machine learning community, which brings powerful tools to find patterns from data and make predictions. In that sense, we follow methods based on Gaussian Processes (GP), a principled, practical, probabilistic approach to learning in kernel machines. We aim to exploit recent advances in general GP modeling to bring new contributions to the dynamical modeling exercise. Thus, we propose the novel family of Recurrent Gaussian Processes (RGPs) models and extend their concept to handle outlier-robust requirements and scalable stochastic learning. The hierarchical latent (non-observed) structure of those models impose intractabilities in the form of non-analytical expressions, which are handled with the derivation of new variational algorithms to perform approximate deterministic inference as an optimization problem. The presented solutions enable uncertainty propagation on both training and testing, with focus on free simulation. We comprehensively evaluate the proposed methods with both artificial and real system identification benchmarks, as well as other related dynamical settings. The obtained results indicate that the proposed approaches are competitive when compared to the state of the art in the aforementioned complicated setups and that GP-based dynamical modeling is a promising area of research.