diff --git a/GPy/models/__init__.py b/GPy/models/__init__.py index a253c63d..299d5e65 100644 --- a/GPy/models/__init__.py +++ b/GPy/models/__init__.py @@ -16,3 +16,4 @@ from gradient_checker import GradientChecker from ss_gplvm import SSGPLVM from gp_coregionalized_regression import GPCoregionalizedRegression from sparse_gp_coregionalized_regression import SparseGPCoregionalizedRegression +from gp_heteroscedastic_regression import GPHeteroscedasticRegression diff --git a/GPy/models/gp_heteroscedastic_regression.py b/GPy/models/gp_heteroscedastic_regression.py new file mode 100644 index 00000000..5a05fc98 --- /dev/null +++ b/GPy/models/gp_heteroscedastic_regression.py @@ -0,0 +1,39 @@ +# Copyright (c) 2012 - 2014 the GPy Austhors (see AUTHORS.txt) +# Licensed under the BSD 3-clause license (see LICENSE.txt) + +import numpy as np +from ..core import GP +from .. import likelihoods +from .. import kern +from .. import util + +class GPHeteroscedasticRegression(GP): + """ + Gaussian Process model for heteroscedastic regression + + This is a thin wrapper around the models.GP class, with a set of sensible defaults + + :param X: input observations + :param Y: observed values + :param kernel: a GPy kernel, defaults to rbf + """ + def __init__(self, X, Y, kernel=None, Y_metadata=None): + + Ny = Y.shape[0] + + if Y_metadata is None: + Y_metadata = {'output_index':np.arange(Ny)[:,None]} + else: + assert Y_metadata['output_index'].shape[0] == Ny + + if kernel is None: + kernel = kern.RBF(X.shape[1]) + + #Likelihood + likelihoods_list = [likelihoods.Gaussian(name="Gaussian_noise_%s" %j) for j in range(Ny)] + likelihood = likelihoods.MixedNoise(likelihoods_list=likelihoods_list) + + super(GPHeteroscedasticRegression, self).__init__(X,Y,kernel,likelihood, Y_metadata=Y_metadata) + + def plot(self,*args): + return NotImplementedError