greta.gp (version 0.2.1)

gp: Define a Gaussian process

Description

Define Gaussian processes, and project them to new coordinates.

Usage

gp(x, kernel, inducing = NULL, n = 1, tol = 1e-04)
project(f, x_new, kernel = NULL)

Value

A greta array

Arguments

x, x_new

greta array giving the coordinates at which to evaluate the Gaussian process

kernel

a kernel function created using one of the kernel() methods

inducing

an optional greta array giving the coordinates of inducing points in a sparse (reduced rank) Gaussian process model

n

the number of independent Gaussian processes to define with the same kernel

tol

a numerical tolerance parameter, added to the diagonal of the self-covariance matrix when computing the cholesky decomposition. If the sampler is hitting a lot of numerical errors, increasing this parameter could help

f

a greta array created with gp$gp representing the values of one or more Gaussian processes

Details

gp() returns a greta array representing the values of the Gaussian process(es) evaluated at x. This Gaussian process can be made sparse (via a reduced-rank representation of the covariance) by providing an additional set of inducing point coordinates inducing. project() evaluates the values of an existing Gaussian process (created with gp()) to new data.

Examples

if (FALSE) {
# build a kernel function on two dimensions
k1 <- rbf(lengthscales = c(0.1, 0.2), variance = 0.6)
k2 <- bias(variance = lognormal(0, 1))
K <- k1 + k2

# use this kernel in a full-rank Gaussian process
f <- gp(1:10, K)

# or in sparse Gaussian process
f_sparse <- gp(1:10, K, inducing = c(2, 5, 8))

# project the values of the GP to new coordinates
f_new <- project(f, 11:15)

# or project with a different kernel (e.g. a sub-kernel)
f_new_bias <- project(f, 11:15, k2)
}