apunkt/GPy
1
0
Fork 0
mirror of https://github.com/SheffieldML/GPy.git synced 2026-06-08 15:05:15 +02:00
Code Issues Projects Releases Packages Wiki Activity Actions

Added log predictive density, ln p(y*|D)

Browse source
This commit is contained in:
Alan Saul 2013-10-23 18:39:48 +01:00
parent 063f747e4b
commit 7b6a56f83c
6 changed files with 111 additions and 0 deletions
Download patch file Download diff file Expand all files Collapse all files

15
GPy/core/gp_base.py
View file

@ -418,3 +418,18 @@ class GPBase(Model):
index = np.ones((X.shape[0],1))*output
return np.hstack((X,index))
def log_predictive_density(self, x_test, y_test):
"""
Calculation of the log predictive density
.. math:
p(y_{*}|D) = p(y_{*}|f_{*})p(f_{*}|\mu_{*}\\sigma^{2}_{*})
:param x_test: test observations (x_{*})
:type x_test: (Nx1) array
:param y_test: test observations (y_{*})
:type y_test: (Nx1) array
"""
mu_star, var_star = self._raw_predict(x_test)
return self.likelihood.log_predictive_density(y_test, mu_star, var_star)