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arXiv 2602.13871math.STcs.ITcs.LGmath.ITmath.OCstat.APstat.MLstat.TH
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基于条件高斯过程的集成方法(Ens-CGP):表示、几何与推断

Ensemble-Conditional Gaussian Processes (Ens-CGP): Representation, Geometry, and Inference

Earth Signals and Systems Group(地球信号与系统组);Earth, Atmospheric and Planetary Sciences(地球、大气与行星科学);Massachusetts Institute of Technology(麻省理工学院)

Sai Ravela, Jae Deok Kim, Kenneth Gee, Xingjian Yan, Samson Mercier, Lubna Albarghouty, Anamitra Saha

AI总结:

本文提出Ens-CGP,一种基于集成的条件高斯过程方法,通过将经验集成矩作为高斯先验进行精确条件化,为卡尔曼滤波等方法提供概率基础,并明确其与变分和集成视角的关系。

摘要:

我们提出了Ensemble-Conditional Gaussian Processes(Ens-CGP),一种有限维的合成方法,其核心是将基于集成的推断聚焦于条件高斯律。条件高斯过程(CGP)直接源于高斯过程的条件化,在线性高斯设置中,定义了高斯先验和线性观测的完整后验分布。经典卡尔曼滤波是一种递归算法,计算在动态假设下的相同条件高斯律;因此,条件高斯律本身是底层的表示对象,而滤波器是计算实现。从这个意义上说,CGP为卡尔曼类型方法以及等价的严格凸二次规划(MAP估计)、RKHS正则化回归和经典正则化提供了概率基础。Ens-CGP是该对象的集成实例,通过将经验集成矩视为一个(可能低秩)高斯先验并进行精确条件化来获得。通过将表示(GP→CGP→Ens-CGP)与计算(卡尔曼滤波器、EnKF变种和迭代集成方案)分开,该框架将已建立的推断表示基础与集成导出的先验联系起来,并阐明了概率、变分和集成视角之间的关系。

英文摘要:

We formulate Ensemble-Conditional Gaussian Processes (Ens-CGP), a finite-dimensional synthesis that centers ensemble-based inference on the conditional Gaussian law. Conditional Gaussian processes (CGP) arise directly from Gaussian processes under conditioning and, in linear-Gaussian settings, define the full posterior distribution for a Gaussian prior and linear observations. Classical Kalman filtering is a recursive algorithm that computes this same conditional law under dynamical assumptions; the conditional Gaussian law itself is therefore the underlying representational object, while the filter is one computational realization. In this sense, CGP provides the probabilistic foundation for Kalman-type methods as well as equivalent formulations as a strictly convex quadratic program (MAP estimation), RKHS-regularized regression, and classical regularization. Ens-CGP is the ensemble instantiation of this object, obtained by treating empirical ensemble moments as a (possibly low-rank) Gaussian prior and performing exact conditioning. By separating representation (GP -> CGP -> Ens-CGP) from computation (Kalman filters, EnKF variants, and iterative ensemble schemes), the framework links an earlier-established representational foundation for inference to ensemble-derived priors and clarifies the relationships among probabilistic, variational, and ensemble perspectives.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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