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adding exact gaussian inference

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James Hensman 2013-12-04 12:02:30 +00:00
parent 48c292d263
commit 435cbbc421
1 changed files with 13 additions and 0 deletions
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GPy/inference/latent_function_inference/exact_gaussian_inference.py Normal file
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# 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))