Hyperparameter optimization

[1Reinier]

Hi,

Just a quick question: I couldn't immediately spot in the code whether the gaussian process in this library optimizes its own hyperparameters. Do I have to pass in the length scale that suits my problem as an argument or will it do bayesian hyperparameter optimization here too?

Thanks!

-Reinier

[fmfn]

GP's covariance is definitely optimized, see internal GP definition, however its hyper-parameters are not.

And yes, you should perform appropriate transformations to your parameters before optimizing as this implementation will not try to figure it out for you.