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21 November 2022, 03:07:34 UTC
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 
fix Cosine kernel for multivariate inputs (#1357)
 
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)
Tip revision: 8d0128c
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