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Adding sparse finite GP type for integration with Turing #134
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Thanks for opening this.
The above looks really good -- I prefer the design to the one that I proposed on discourse.
Yes, there are a few methods of
We'll have quite a lot of approximate inference stuff one this has been added, so maybe it makes sense to create a new file called
I would just check that |
Ok, that all sounds good. PR on the way. |
Closed by #136! |
A continuation/focusing of this discussion on Discourse. Defining the following structure and methods allows using a sparse GP in a Turing model:
An example model is shown below. Using the
SparseFiniteGP
speeds up inference dramatically for a simulated dataset with ~1000 observations.Some questions to discuss while I put together a PR...
rand
andlogpdf
, what other methods does this new type need?src/abstract_gp.jl
?The text was updated successfully, but these errors were encountered: