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.
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Tip revision: 8d0128c406b215d48fa7cb2c412af50735ad97a3 authored by ilia-kats on 26 March 2020, 21:02:24 UTC
fix Cosine kernel for multivariate inputs (#1357)
fix Cosine kernel for multivariate inputs (#1357)
Tip revision: 8d0128c
File | Mode | Size |
---|---|---|
conditionals | ||
config | ||
covariances | ||
expectations | ||
kernels | ||
likelihoods | ||
models | ||
optimizers | ||
utilities | ||
__init__.py | -rw-r--r-- | 0 bytes |
test_base.py | -rw-r--r-- | 2.1 KB |
test_base_prior.py | -rw-r--r-- | 4.5 KB |
test_base_training.py | -rw-r--r-- | 4.2 KB |
test_kullback_leiblers.py | -rw-r--r-- | 7.4 KB |
test_logdensities.py | -rw-r--r-- | 3.9 KB |
test_mean_functions.py | -rw-r--r-- | 10.6 KB |
test_monitor.py | -rw-r--r-- | 7.4 KB |
test_quadrature.py | -rw-r--r-- | 2.7 KB |
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