elbo_clust_multi_GP: Evidence Lower Bound for a mixture of GPs

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

Evidence Lower Bound for a mixture of GPs

Description

Evidence Lower Bound for a mixture of GPs

Usage

elbo_clust_multi_GP(hp, db, hyperpost, kern, pen_diag)

Arguments

hp	A tibble, data frame or named vector containing hyper-parameters.
db	A tibble containing the values we want to compute the elbo on. Required columns: Input, Output. Additional covariate columns are allowed.
hyperpost	List of parameters for the K mean GPs.
kern	A kernel function used to compute the covariance matrix at corresponding timestamps.
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 a mixture of GPs

Examples

TRUE

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