gr_GP_mod_common_hp_k: Gradient of the penalised elbo for multiple mean GPs with...

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

Gradient of the penalised elbo for multiple mean GPs with common HPs

Description

Gradient of the penalised elbo for multiple mean GPs with common HPs

Usage

gr_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 the values we want to compute the elbo on. Required columns: Input, Output. Additional covariate columns are allowed.
mean	A list of the k means of the GPs at union of observed timestamps.
kern	A kernel function
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 gradient of the penalised Gaussian elbo for the sum of the k mean GPs with common HPs.

Examples

TRUE

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