Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

New GP model #18

Closed
ric70x7 opened this issue Jan 28, 2013 · 3 comments
Closed

New GP model #18

ric70x7 opened this issue Jan 28, 2013 · 3 comments

Comments

@ric70x7
Copy link
Member

ric70x7 commented Jan 28, 2013

We should integrate EP_GP and GP_regression models into a single one. That way it will be easier to keep them both up to date.

Since the log marginal likelihood for an EP model can be written as the log likelihood of a regression model for a new variable Y* = v_tilde/tau_tilde, with a covariance matrix K* = K + diag(1./tau_tilde) plus a normalization term, we can use most of the GP_regression code and just add other functions to call the EP algorithm.

Then we can also implement sparse _GP_regression and sparse_EP_GP into the same model.

For consistency between the GP_regression and the sparse_GP_regression, and also to make more clear the differences with EP, in the non-sparse regression, beta should be explicit rather than part of the kernel.

I'll open a branch called newGP for this.

@jameshensman
Copy link
Contributor

The EPEM algorithm does not belong in model, TODO: move it to the GP class or similar

@jameshensman
Copy link
Contributor

Okay, after discussion, the EPEM algorithm should clearly live in the inference and optimisation directory

@jameshensman
Copy link
Contributor

Done. EP and non-EP models now work consistently. There's also room in the framework for other likelihood approximations (Laplace and VB spring to mind).

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants