The framework of locally weighted learning (LWL) has established itself as a popular tool for developing nonlinear soft sensors in process industries. For LWL-based soft sensors, the key factor for achieving high performance is to construct accurate localized models. To this end, in this paper a nonlinear local model training algorithm called nonlinear Bayesian weighted regression (NBWR) is proposed. In the NBWR, the nonlinear features of process data are first extracted by the autoencoder; then, given a query sample a local dataset is selected on the feature space and a fully Bayesian regression model with differentiated sample weights is developed. The benefits of this approach, which include better consistency of correlation, stronger abilities to deal with process nonlinearities and uncertainties, overfitting and numerical issues, lead to superior performance. The NBWR is used for developing a soft sensor under the LWL framework, and a real-world industrial process is used to evaluate the performance of the NBWR-based soft sensor. The experimental results demonstrate that the proposed method outperforms several benchmarking soft sensing approaches.
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