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Bayesian Alignments of Warped Multi-Output Gaussian Processes
Markus Kaiser · Clemens Otte · Thomas Runkler · Carl Henrik Ek

Thu Dec 06 07:45 AM -- 09:45 AM (PST) @ Room 210 #67

We propose a novel Bayesian approach to modelling nonlinear alignments of time series based on latent shared information. We apply the method to the real-world problem of finding common structure in the sensor data of wind turbines introduced by the underlying latent and turbulent wind field. The proposed model allows for both arbitrary alignments of the inputs and non-parametric output warpings to transform the observations. This gives rise to multiple deep Gaussian process models connected via latent generating processes. We present an efficient variational approximation based on nested variational compression and show how the model can be used to extract shared information between dependent time series, recovering an interpretable functional decomposition of the learning problem. We show results for an artificial data set and real-world data of two wind turbines.

Author Information

Markus Kaiser (Technical University Munich)
Clemens Otte (Siemens)
Thomas Runkler (Technical University of Munich)
Carl Henrik Ek (University of Bristol)

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