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Avoiding large matrices when computing predictive variance #17

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jtimonen opened this issue Nov 21, 2020 · 2 comments
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Avoiding large matrices when computing predictive variance #17

jtimonen opened this issue Nov 21, 2020 · 2 comments

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@jtimonen
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Currently P x P matrices are computed for the Gaussian posterior and predictive distributions, where P is the number of prediction points. This should be avoided if only their diagonal is needed. This will require writing a function that computes only the diagonal of each kernel matrix.

@jtimonen
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Since version 1.1 computations should now require less memory because kernel matrices are only stored for one parameter set at a time.

@jtimonen
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Resolved with commit b9973051754b6f929c79a9f3d945c7824162dc30. Feature will be available in v1.1.4.

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