https://github.com/GPflow/GPflow
Revision 8d0128c406b215d48fa7cb2c412af50735ad97a3 authored by ilia-kats on 26 March 2020, 21:02:24 UTC, committed by GitHub on 26 March 2020, 21:02:24 UTC
The previous version operating on Euclidean distance was returning indefinite covariance matrices on multivariate data. This version, derived from eq. 4.7 of Wilson (2014), is always positive semidefinite.
Closes #1328.

This PR also changes the definition of the cosine kernel slightly, from sigma * cos(|x - x'| / l) to sigma * cos(2 * pi * (x - x') / l). This makes the lengthscale parameter directly interpretable as period length.

It introduces new IsotropicStationary and AnisotropicStationary base classes.
1 parent c442e87
History
Tip revision: 8d0128c406b215d48fa7cb2c412af50735ad97a3 authored by ilia-kats on 26 March 2020, 21:02:24 UTC
fix Cosine kernel for multivariate inputs (#1357)
Tip revision: 8d0128c
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.coveragerc -rw-r--r-- 283 bytes
.coveralls.yml -rw-r--r-- 23 bytes
.gitignore -rw-r--r-- 828 bytes
.pylintrc -rw-r--r-- 14.6 KB
GLOSSARY.md -rw-r--r-- 1.4 KB
LICENSE -rw-r--r-- 11.1 KB
MANIFEST.in -rw-r--r-- 182 bytes
Makefile -rw-r--r-- 682 bytes
README.md -rw-r--r-- 9.9 KB
RELEASE.md -rw-r--r-- 6.9 KB
VERSION -rw-r--r-- 9 bytes
codecov.yml -rw-r--r-- 274 bytes
contributing.md -rw-r--r-- 7.3 KB
notebooks l--------- 21 bytes
setup.py -rw-r--r-- 3.2 KB
tests_requirements.txt -rw-r--r-- 232 bytes

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