The Use of Gaussian Processes in System Identification
This is an incremental review that summarizes existing Gaussian process techniques for system identification, primarily benefiting researchers in control systems and machine learning.
The paper outlines the application of Gaussian processes to system identification, focusing on methods like Gaussian process regression, state-space models, and temporal/spatio-temporal processes for learning input-output mappings from observed data.
Gaussian processes are used in machine learning to learn input-output mappings from observed data. Gaussian process regression is based on imposing a Gaussian process prior on the unknown regressor function and statistically conditioning it on the observed data. In system identification, Gaussian processes are used to form time series prediction models such as non-linear finite-impulse response (NFIR) models as well as non-linear autoregressive (NARX) models. Gaussian process state-space models (GPSS) can be used to learn the dynamic and measurement models for a state-space representation of the input-output data. Temporal and spatio-temporal Gaussian processes can be directly used to form regressor on the data in the time domain. The aim of this article is to briefly outline the main directions in system identification methods using Gaussian processes.