An Introduction to Gaussian Process Models

Abstract: Within the past two decades, Gaussian process regression has been increasingly used for modeling dynamical systems due to some beneficial properties such as the bias variance trade-off and the strong connection to Bayesian mathematics. As data-driven method, a Gaussian process is a powerful tool for nonlinear function regression without the need of much prior knowledge. In contrast to most of the other techniques, Gaussian Process modeling provides not only a mean prediction but also a measure for the model fidelity. In this article, we give an introduction to Gaussian processes and its usage in regression tasks of dynamical systems. Try Gaussian process regression yourself: https://gpr.tbeckers.com