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Analytic Long-Term Forecasting with Periodic Gaussian Processes

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Figure

Figure 1: Comparison of GPs with a Gaussian and b periodic kernels to model a periodic signal
Figure 2: The objective is to map a Gaussian distribution (left) through a periodic GP (top) to compute the exact mean and variance of the predictive distribution (right)
Table 1: Average NLPD and RMSE performance of the double approximation (DA), an optimal single approxi- approxi-mation (SA) by sampling-based moment matching, and a ground-truth baseline (BASE).
Table 2: Average NLPD and RMSE (pendulum tracking) for GPs with Gaussian and periodic kernels.

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