gr_GP_mod_common_hp: Gradient of the modified logLikelihood with common HPs for...

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

Gradient of the modified logLikelihood with common HPs for GPs in Magma

Description

Gradient of the modified logLikelihood with common HPs for GPs in Magma

Usage

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

Arguments

hp	A tibble or data frame containing hyper-parameters for all individuals.
db	A tibble containing the values we want to compute the logL on. Required columns: ID, Input, Output. Additional covariate columns are allowed.
mean	A vector, specifying the mean of the GPs at the reference inputs.
kern	A kernel function.
post_cov	A matrix, covariance parameter of the hyper-posterior. Used to compute the correction 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

A named vector, corresponding to the value of the hyper-parameters' gradients for the modified Gaussian log-Likelihood involved in Magma with the 'common HP' setting.

Examples

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