Analytic moment-based Gaussian process filtering
Proceedings of the 26th Annual International Conference on Machine Learning (ICML '09)
By Marc Peter Deisenroth, Marco F. Huber, Uwe D. Hanebeck
Issue Date:June 2009
We propose an analytic moment-based filter for nonlinear stochastic dynamic systems modeled by Gaussian processes. Exact expressions for the expected value and the covariance matrix are provided for both the prediction step and the filter step, where an ad...