https://github.com/GPflow/GPflow
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.
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- 8d0128c406b215d48fa7cb2c412af50735ad97a3
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fix Cosine kernel for multivariate inputs (#1357)
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__init__.py | -rw-r--r-- | 0 bytes |
test_expectations.py | -rw-r--r-- | 10.1 KB |
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