elbo_GP_mod_common_hp_k: Penalised elbo for multiple mean GPs with common HPs

In MagmaClustR: Clustering and Prediction using Multi-Task Gaussian Processes with Common Mean

Penalised elbo for multiple mean GPs with common HPs

Description

Penalised elbo for multiple mean GPs with common HPs

Usage

elbo_GP_mod_common_hp_k(hp, db, mean, kern, post_cov, pen_diag)

Arguments

hp	A tibble, data frame or named vector containing hyper-parameters.
db	A tibble containing values we want to compute elbo on. Required columns: Input, Output. Additional covariate columns are allowed.
mean	A list of the K mean GPs at union of observed timestamps.
kern	A kernel function used to compute the covariance matrix at corresponding timestamps.
post_cov	A List of the K posterior covariance of the mean GP (mu_k). Used to compute correction term (cor_term).
pen_diag	A jitter term that is added to the covariance matrix to avoid numerical issues when inverting, in cases of nearly singular matrices.

Value

The value of the penalised Gaussian elbo for the sum of the k mean GPs with common HPs.

Examples

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MagmaClustR documentation built on June 29, 2024, 1:06 a.m.