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)
Tip revision: 8d0128c
GLOSSARY.md
## Glossary

GPflow does not always follow standard Python naming conventions,
and instead tries to apply the notation in the relevant GP papers.\
The following is the convention we aim to use in the code.

---

<dl>
  <dt>GPR</dt>
  <dd>Gaussian process regression</dd>

  <dt>SVGP</dt>
  <dd>stochastic variational inference for Gaussian process models</dd>

  <dt>Shape constructions [..., A, B]</dt>
  <dd>the way of describing tensor shapes in docstrings and comments. Example: <i>[..., N, D, D]</i>, this is a tensor with an arbitrary number of leading dimensions indicated using the ellipsis sign, and the last two dimensions are equal</dd>

  <dt>X</dt>
  <dd>(and variations like Xnew) refers to input points; always of rank 2, e.g. shape <i>[N, D]</i>, even when <i>D=1</i></dd>

  <dt>Y</dt>
  <dd>(and variations like Ynew) refers to observed output values, potentially with multiple output dimensions; always of rank 2, e.g. shape <i>[N, P]</i>, even when <i>P=1</i></dd>

  <dt>Z</dt>
  <dd>refers to inducing points</dd>

  <dt>M</dt>
  <dd>stands for the number of inducing features (e.g. length of Z)</dd>

  <dt>N</dt>
  <dd>stands for the number of data or minibatch size in docstrings and shape constructions</dd>

  <dt>P</dt>
  <dd>stands for the number of output dimensions in docstrings and shape constructions</dd>

  <dt>D</dt>
  <dd>stands for the number of input dimensions in docstrings and shape constructions</dd>
</dl>
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