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Cross-Validation to select GP hyperparameters #41

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dflemin3 opened this issue Mar 15, 2019 · 1 comment
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Cross-Validation to select GP hyperparameters #41

dflemin3 opened this issue Mar 15, 2019 · 1 comment
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@dflemin3
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Currently, approxposterior selects GP hyperparameters by optimizing the marginal loglikelihood. This can potentially lead to overfitting, so I should implemented the ability for users to use K-fold cross validation to optimize GP hyperparameters. This can get tricky as the dimensionality grows, however, so care should be taken when determined why hyperparameters to try during the cross-validation.

@dflemin3 dflemin3 added this to the 0.3 release milestone Mar 15, 2019
@dflemin3 dflemin3 self-assigned this Mar 15, 2019
@dflemin3
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dflemin3 commented May 7, 2019

Implemented on the dev branch. The user can now set a new parameter, gpCV, to any integer number to perform gpCV-fold cross-validation to select the best GP hyperparameters. In this case, we pick the GP hyperparameters, from the list of maximum likelihood solutions, that produces the lowest mean squared error during cross-validation.

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