Adrian Wills
Linearly constrained Gaussian processes
Carl Jidling, Niklas Wahlström, Adrian Wills, Thomas B. Schön
Neural Information Processing Systems http://nips.cc/
Linearly constrained Gaussian processes
Carl Jidling, Niklas Wahlström, Adrian Wills, Thomas B. Schön
We consider a modification of the covariance function in Gaussian processes to correctly account for known linear operator constraints. By modeling the target function as a transformation of an underlying function, the constraints are explicitly incorporated in the model such that they are guaranteed to be fulfilled by any sample drawn or prediction made. We also propose a constructive procedure for designing the transformation operator and illustrate the result on both simulated and real-data examples.