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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…
cs.LG2024
A Quadrature Approach for General-Purpose Batch Bayesian Optimization via Probabilistic Lifting
Masaki Adachi, Satoshi Hayakawa, Martin Jørgensen +3
Parallelisation in Bayesian optimisation is a common strategy but faces several challenges: the need for flexibility in acquisition functions and kernel choices, flexibility dealin…