Multi-output Infinite Horizon Gaussian Processes

Learning the uncertain dynamical environments for online learning and prediction from noisy sensory measurement streams is essential for various tasks in robotics. Recently, Gaussian process (GP) online learning such as an infinite-horizon Gaussian process (IHGP) has shown effectiveness to cope with non-stationary dynamical random processes in learning hyperparameters online by reducing the computational cost. However, the IHGP was originally proposed to deal with only a single-output. Therefore, to tackle complex real-world problems, we propose a multi-output infinite-horizon Gaussian process (MOIHGP) that generalizes the single-output IHGP to deal with multiple outputs for better prediction. Our approach allows us to consider correlations between multiple outputs for better prediction, even with occlusions in a Bayesian way. Finally, we successfully demonstrate the effectiveness of our approach by benchmark and experimental results. For simulated benchmark experiments with high noise levels, our approach reduced 16.6% of the averaged RMSE value achieved by the single-output IHGP.