Efficient Spatio-Temporal Gaussian Regression via Kalman Filtering
This addresses the scalability challenge in dynamical Gaussian processes for applications in fields like environmental monitoring or sensor networks, representing an incremental improvement over existing GP methods.
The paper tackles the problem of reconstructing spatio-temporal Gaussian processes from sparse, noisy data by proposing a method that couples GP regression with Kalman filtering, achieving efficient estimation with a novel representer theorem that enables minimum variance estimates across the spatial domain.
In this work we study the non-parametric reconstruction of spatio-temporal dynamical Gaussian processes (GPs) via GP regression from sparse and noisy data. GPs have been mainly applied to spatial regression where they represent one of the most powerful estimation approaches also thanks to their universal representing properties. Their extension to dynamical processes has been instead elusive so far since classical implementations lead to unscalable algorithms. We then propose a novel procedure to address this problem by coupling GP regression and Kalman filtering. In particular, assuming space/time separability of the covariance (kernel) of the process and rational time spectrum, we build a finite-dimensional discrete-time state-space process representation amenable of Kalman filtering. With sampling over a finite set of fixed spatial locations, our major finding is that the Kalman filter state at instant $t_k$ represents a sufficient statistic to compute the minimum variance estimate of the process at any $t \geq t_k$ over the entire spatial domain. This result can be interpreted as a novel Kalman representer theorem for dynamical GPs. We then extend the study to situations where the set of spatial input locations can vary over time. The proposed algorithms are finally tested on both synthetic and real field data, also providing comparisons with standard GP and truncated GP regression techniques.