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Consistent definition of sigma_f and sigma_n #42

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manal44 opened this issue Jul 22, 2020 · 2 comments
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Consistent definition of sigma_f and sigma_n #42

manal44 opened this issue Jul 22, 2020 · 2 comments
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@manal44
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manal44 commented Jul 22, 2020

In proFit, the hyperparameter vector used is: [ l=length-scale , sigma^2 = (sigma_n/sigma_f)^2 ] in order to normalize.

Adapt the written functions to this definition:

  1. Replace l^2 by l in the functions' arguments.
  2. Add a documentation for sigma .
  3. Add an indication about the choice of sigma_f (ex: sigma_f always equal to 1) since it isn't a parameter of the kernel functions.
  4. Handle the evantual different values for the same variable sigma_f given that it becomes an implicit argument for the functions which build the Covariance Matrices K(X_test,X_test) ; K(X_test,X_training) ; K(X_training,X_training) .
@krystophny
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Is this now consistenst @mkendler ?

@mkendler
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This is consistent, as we use sigma_f and sigma_n as explicit arguments now.

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