chol_inv_jitter

Inverse a matrix from its Choleski decomposition. If (nearly-)singular,
increase the order of magnitude of the jitter term added to the diagonal
until the matrix becomes non-singular.

internal

An implementation for the multi-task Gaussian processes with common
mean framework. Two main algorithms, called 'Magma' and 'MagmaClust',
are available to perform predictions for supervised learning problems, in
particular for time series or any functional/continuous data applications.
The corresponding articles has been respectively proposed by Arthur Leroy,
Pierre Latouche, Benjamin Guedj and Servane Gey (2022)
<doi:10.1007/s10994-022-06172-1>, and Arthur Leroy, Pierre Latouche,
Benjamin Guedj and Servane Gey (2023) <https://jmlr.org/papers/v24/20-1321.html>.
Theses approaches leverage the learning of cluster-specific mean processes,
which are common across similar tasks, to provide enhanced prediction
performances (even far from data) at a linear computational cost (in
the number of tasks). 'MagmaClust' is a generalisation of 'Magma'
where the tasks are simultaneously clustered into groups, each being
associated to a specific mean process. User-oriented functions in the
package are decomposed into training, prediction and plotting
functions. Some basic features (classic kernels, training, prediction) of
standard Gaussian processes are also implemented.

Arthur Leroy

MagmaClustR

Clustering and Prediction using Multi-Task Gaussian Processes
with Common Mean

Pierre Latouche

Pierre Pathé

Alexia Grenouillat

Hugo Lelievre

chol_inv_jitter function

<dl><dt>mat</dt>
<dd>A matrix, possibly singular.</dd>
<dt>pen_diag</dt>
<dd>A number, a jitter term to add on the diagonal.</dd></dl>

Arguments

Inverse a matrix using an adaptive jitter term — chol_inv_jitter

<dl>

<dt>mat</dt>
<dd>A matrix, possibly singular.</dd>


<dt>pen_diag</dt>
<dd>A number, a jitter term to add on the diagonal.</dd>

</dl>

chol_inv_jitter: Inverse a matrix using an adaptive jitter term

Description

Usage

Value

Arguments

Examples