Robust, Online, and Adaptive Decentralized Gaussian Processes

Abstract: Gaussian processes (GPs) offer a flexible, uncertainty-aware framework for modeling complex signals, but scale cubically with data, assume static targets, and are brittle to outliers, limiting their applicability in large-scale problems with dynamic and noisy environments. Recent work introduced decentralized random Fourier feature Gaussian processes (DRFGP), an online and distributed algorithm that casts GPs in an information-filter form, enabling exact sequential inference and fully distributed computation without reliance on a fusion center. In this paper, we extend DRFGP along two key directions: first, by introducing a robust-filtering update that downweights the impact of atypical observations; and second, by incorporating a dynamic adaptation mechanism that adapts to time-varying functions. The resulting algorithm retains the recursive information-filter structure while enhancing stability and accuracy. We demonstrate its effectiveness on a large-scale Earth system application, underscoring its potential for in-situ modeling.