Extensions for GPML in Matlab
- GPML extensions for sparse covariance function and derivative observations
- To see the details, run test/test_all_cov.m
- Sparse covariance function
- covSparseiso.m
- reference : A. Melkumyan and F. Ramos, "A Sparse Covariance Function for Exact Gaussian Process Inference in Large Datasets," Proceedings of International Joint Conferences on Artificial Intelligence, pp. 1936-1942, 2009.
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Derivative observations (*: SEiso, Materniso3, and Sparseiso)
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cov*DerObsUnstable.m - They consist of multiplications of partial derivatives. - They produce NaN when a partial derivative includes divide-by-zero. (Thus it is called unstable.) - They are used for validation of cov*Diff with ignoring divide-by-zero. - Do not use them for your application.
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cov*DerObs.m - They reduce complex multiplications and additions to simpler equations. - They care divide-by-zero with limits. (Thus it is stable.) - Use them for your application.