sample_gp

sample_magma

Draw samples from a posterior GP/Magma distribution

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

sample_gp function

<dl><dt>pred_gp</dt>
<dd>A list, typically coming from
<code>pred_magma</code> or <code>pred_gp</code> functions, with argument
'get_full_cov = TRUE'. Required elements: <code>pred</code>, <code>cov</code>.</dd>
<dt>nb_samples</dt>
<dd>A number, indicating the number of samples to be drawn from
the predictive posterior distribution. For two-dimensional graphs, only
one sample can be displayed.</dd></dl>

Arguments

Draw samples from a posterior GP/Magma distribution — sample_gp

<dl>

<dt>pred_gp</dt>
<dd>A list, typically coming from
<code>pred_magma</code> or <code>pred_gp</code> functions, with argument
'get_full_cov = TRUE'. Required elements: <code>pred</code>, <code>cov</code>.</dd>


<dt>nb_samples</dt>
<dd>A number, indicating the number of samples to be drawn from
the predictive posterior distribution. For two-dimensional graphs, only
one sample can be displayed.</dd>

</dl>

sample_gp: Draw samples from a posterior GP/Magma distribution

Description

Usage

Value

Arguments

Examples