Gaussian Process Quadrature Moment Transform

@article{Prher2018GaussianPQ,
  title={Gaussian Process Quadrature Moment Transform},
  author={Jakub Pr{\"u}her and Ondřej Straka},
  journal={IEEE Transactions on Automatic Control},
  year={2018},
  volume={63},
  pages={2844-2854}
}
  • Jakub Prüher, O. Straka
  • Published 5 January 2017
  • Computer Science, Mathematics
  • IEEE Transactions on Automatic Control
Computation of moments of transformed random variables is a problem appearing in many engineering applications. The current methods for moment transformation are mostly based on the classical quadrature rules, which cannot account for the approximation errors. Our aim is to design a method for moment transformation of Gaussian random variables, which accounts for the error in the numerically computed mean. We employ an instance of Bayesian quadrature, called Gaussian process quadrature (GPQ… 

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