From 435cbbc4214dd584ea44e0ee0a024a9118983455 Mon Sep 17 00:00:00 2001 From: James Hensman Date: Wed, 4 Dec 2013 12:02:30 +0000 Subject: [PATCH] adding exact gaussian inference --- .../exact_gaussian_inference.py | 13 +++++++++++++ 1 file changed, 13 insertions(+) create mode 100644 GPy/inference/latent_function_inference/exact_gaussian_inference.py diff --git a/GPy/inference/latent_function_inference/exact_gaussian_inference.py b/GPy/inference/latent_function_inference/exact_gaussian_inference.py new file mode 100644 index 00000000..cffc5e28 --- /dev/null +++ b/GPy/inference/latent_function_inference/exact_gaussian_inference.py @@ -0,0 +1,13 @@ +# Copyright (c) 2012, GPy authors (see AUTHORS.txt). +# Licensed under the BSD 3-clause license (see LICENSE.txt) + +def exact_gaussian_inference(K, likelihood, Y, Y_metadata=None): + + + Wi, LW, LWi, W_logdet = pdinv(K + likelhood.covariance(Y, Y_metadata)) + + alpha, _ = dpotrs(LW, YYT_factor, lower=1) + dL_dK = 0.5 * (tdot(alpha) - Y.shape[1] * Wi) + + log_marginal = (-0.5 * Y.size * np.log(2.*np.pi) - + 0.5 * Y.shape[1] * W_logdet + np.sum(np.square(alpha))