Modified Bryson-Frazier Smoothing and Hyperparameter Learning for Temporal Gaussian Process Regression

• URL: http://arxiv.org/abs/2608.17595v1
• Date: Tue, 18 Aug 2026 09:59:58 GMT
• Title: Modified Bryson-Frazier Smoothing and Hyperparameter Learning for Temporal Gaussian Process Regression
• Abstract summary: One-dimensional Gaussian processes with stationary, integrable kernel functions admit exact or arbitrarily accurate state-space representations.<n>We revisit the modified Bryson-Frazier (MBF) smoother as an alternative to the Rauch-Tung-Striebel (RTS) smoothing.<n>In addition to reducing computational cost and memory requirements, the MBF smoother computes the same posterior distributions as the RTS smoother.
• Score: 0.0
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: One-dimensional Gaussian processes with stationary, integrable kernel functions admit exact or arbitrarily accurate state-space representations, enabling linear-time inference through Kalman filtering and Rauch-Tung-Striebel (RTS) smoothing. However, the RTS smoother requires inversion of predicted state covariance matrices, which can become ill-conditioned and may therefore lead to numerical instabilities. In this work, we revisit the modified Bryson-Frazier (MBF) smoother as an alternative to the RTS smoother for Gaussian process regression in its state-space representation. In addition to reducing computational cost and memory requirements, the MBF smoother computes the same posterior distributions as the RTS smoother while avoiding the problematic covariance matrix inversion and the associated numerical instabilities. Furthermore, we demonstrate that the intermediate quantities computed by the MBF smoother can be reused to compute gradients of the negative log marginal likelihood, enabling kernel hyperparameter learning with minimal additional cost. Together, these results establish the MBF smoother as a unified and numerically robust approach to inference and kernel hyperparameter learning for one-dimensional Gaussian process regression.

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