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stat.ML2024
Learning to Forget: Bayesian Time Series Forecasting using Recurrent Sparse Spectrum Signature Gaussian Processes
Csaba Tóth, Masaki Adachi, Michael A. Osborne +1
The signature kernel is a kernel between time series of arbitrary length and comes with strong theoretical guarantees from stochastic analysis. It has found applications in machine…
stat.ML2024
Bayesian Optimisation with Unknown Hyperparameters: Regret Bounds Logarithmically Closer to Optimal
Juliusz Ziomek, Masaki Adachi, Michael A. Osborne
Bayesian Optimization (BO) is widely used for optimising black-box functions but requires us to specify the length scale hyperparameter, which defines the smoothness of the functio…