From 0c2bae53f797c8a1e8c573a59e983d2b2a688fd6 Mon Sep 17 00:00:00 2001
From: marahman <arifmail@gmail.com>
Date: Mon, 12 May 2014 18:45:23 +0100
Subject: [PATCH] Working with OU kernel

---
 GPy/kern/__init__.py        |  2 +-
 GPy/kern/_src/stationary.py | 21 +++++++++++++++++++++
 2 files changed, 22 insertions(+), 1 deletion(-)

diff --git a/GPy/kern/__init__.py b/GPy/kern/__init__.py
index 1ed5e805..ab8fb523 100644
--- a/GPy/kern/__init__.py
+++ b/GPy/kern/__init__.py
@@ -3,7 +3,7 @@ from _src.rbf import RBF
 from _src.linear import Linear, LinearFull
 from _src.static import Bias, White
 from _src.brownian import Brownian
-from _src.stationary import Exponential, Matern32, Matern52, ExpQuad, RatQuad, Cosine
+from _src.stationary import Exponential, OU, Matern32, Matern52, ExpQuad, RatQuad, Cosine
 from _src.mlp import MLP
 from _src.periodic import PeriodicExponential, PeriodicMatern32, PeriodicMatern52
 from _src.independent_outputs import IndependentOutputs, Hierarchical
diff --git a/GPy/kern/_src/stationary.py b/GPy/kern/_src/stationary.py
index a560f8ad..f561baa4 100644
--- a/GPy/kern/_src/stationary.py
+++ b/GPy/kern/_src/stationary.py
@@ -192,6 +192,27 @@ class Exponential(Stationary):
     def dK_dr(self, r):
         return -0.5*self.K_of_r(r)
 
+
+class OU(Stationary):
+    """
+    OU kernel:
+
+    .. math::
+
+       k(r) = \\sigma^2 \exp(- r) \\ \\ \\ \\  \\text{ where  } r = \sqrt{\sum_{i=1}^input_dim \\frac{(x_i-y_i)^2}{\ell_i^2} }
+
+    """
+
+    def __init__(self, input_dim, variance=1., lengthscale=None, ARD=False, active_dims=None, name='OU'):
+        super(OU, self).__init__(input_dim, variance, lengthscale, ARD, active_dims, name)
+
+    def K_of_r(self, r):
+        return self.variance * np.exp(-r)
+
+    def dK_dr(self,r):
+        return -1.*self.variance*np.exp(-r)
+
+
 class Matern32(Stationary):
     """
     Matern 3/2 kernel: