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Multi-output random features#24

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odunbar merged 1 commit into
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orad/vectorRF
Nov 8, 2022
Merged

Multi-output random features#24
odunbar merged 1 commit into
mainfrom
orad/vectorRF

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@odunbar

@odunbar odunbar commented Oct 27, 2022

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Purpose

To extend the scalar random features to vector random features
answers some checkpoints in #1

Content

  • Added VectorFeature Class, and
  • extended Samplers, linear solvers and random feature methods to deal with 3-tensor structures
  • Only a general multi-output random feature so far. (no e.g. separable features)
  • hyperparameter learning example 1D->2D (3 lengthscales) nd_to_md_regression_direct_withcov.jl
  • Unit test for 1d->2d [with values from hyperparameter example]
    Fit_and_predict_1D_to_2D
  • Opened issue regarding compatability of sampling matrix-variate distributions in EnsembleKalmanProcesses.jl #229

docstrings

tensor operations and new biasing distribution interface

test new bias interface in higher dim

Matrix-valued distribution fix

example of 1D->2D working

tests pass, UQ inflated?

format

tensor products

test/Methods/runtests.jl

runtests

typo

hyperparameter learning for example

test mean L^2 error improved prior->posterior

formatting

update interface

docstrings API and update tests to 1.8
@odunbar

odunbar commented Nov 8, 2022

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all tests pass, docs look good.
New example runs tested offline.

@odunbar
odunbar merged commit 0c84eec into main Nov 8, 2022
@bors
bors Bot deleted the orad/vectorRF branch November 8, 2022 00:59
@odunbar odunbar changed the title [WIP] Multi-output random features Multi-output random features Nov 8, 2022
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