MagmaClustR (version 1.2.1)

m_step: M-Step of the EM algorithm

Description

Maximisation step of the EM algorithm to compute hyper-parameters of all the kernels involved in Magma.

Usage

m_step(
  db,
  m_0,
  kern_0,
  kern_i,
  old_hp_0,
  old_hp_i,
  post_mean,
  post_cov,
  common_hp,
  pen_diag
)

Value

A named list, containing the elements hp_0, a tibble containing the hyper-parameters associated with the mean GP, hp_i, a tibble containing the hyper-parameters associated with the individual GPs.

Arguments

db

A tibble or data frame. Columns required: ID, Input, Output. Additional columns for covariates can be specified.

m_0

A vector, corresponding to the prior mean of the mean GP.

kern_0

A kernel function, associated with the mean GP.

kern_i

A kernel function, associated with the individual GPs.

old_hp_0

A named vector, tibble or data frame, containing the hyper-parameters from the previous M-step (or initialisation) associated with the mean GP.

old_hp_i

A tibble or data frame, containing the hyper-parameters from the previous M-step (or initialisation) associated with the individual GPs.

post_mean

A tibble, coming out of the E step, containing the Input and associated Output of the hyper-posterior mean parameter.

post_cov

A matrix, coming out of the E step, being the hyper-posterior covariance parameter.

common_hp

A logical value, indicating whether the set of hyper-parameters is assumed to be common to all indiviuals.

pen_diag

A number. A jitter term, added on the diagonal to prevent numerical issues when inverting nearly singular matrices.

Examples

TRUE