BayesOpt
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Gaussian process with normal prior on the parameters. More...
#include <gaussian_process_normal.hpp>
Public Member Functions | |
GaussianProcessNormal (size_t dim, Parameters params, const Dataset &data, MeanModel &mean, randEngine &eng) | |
ProbabilityDistribution * | prediction (const vectord &query) |
Function that returns the prediction of the GP for a query point in the hypercube [0,1]. More... | |
Public Member Functions inherited from bayesopt::HierarchicalGaussianProcess | |
HierarchicalGaussianProcess (size_t dim, Parameters params, const Dataset &data, MeanModel &mean, randEngine &eng) | |
Public Member Functions inherited from bayesopt::ConditionalBayesProcess | |
ConditionalBayesProcess (size_t dim, Parameters parameters, const Dataset &data, MeanModel &mean, randEngine &eng) | |
double | evaluate (const vectord &x) |
Computes the score (eg:likelihood) of the kernel parameters. More... | |
double | evaluateKernelParams () |
Computes the score (eg:likelihood) of the current kernel parameters. More... | |
Public Member Functions inherited from bayesopt::KernelRegressor | |
KernelRegressor (size_t dim, Parameters parameters, const Dataset &data, MeanModel &mean, randEngine &eng) | |
void | fitSurrogateModel () |
Computes the initial surrogate model and updates the kernel parameters estimation. More... | |
void | updateSurrogateModel () |
Sequential update of the surrogate model by adding a new row to the Kernel matrix, more precisely, to its Cholesky decomposition. More... | |
double | getSignalVariance () |
size_t | nHyperParameters () |
vectord | getHyperParameters () |
void | setHyperParameters (const vectord &theta) |
Public Member Functions inherited from bayesopt::NonParametricProcess | |
NonParametricProcess (size_t dim, Parameters parameters, const Dataset &data, MeanModel &mean, randEngine &eng) | |
double | getValueAtMinimum () |
const Dataset * | getData () |
double | getSignalVariance () |
Private Member Functions | |
double | negativeLogLikelihood () |
Computes the negative log likelihood and its gradient of the data. More... | |
void | precomputePrediction () |
Precompute some values of the prediction that do not depends on the query. | |
Private Attributes | |
vectord | mWMap |
GP posterior parameters. | |
vectord | mW0 |
vectord | mInvVarW |
vectord | mVf |
Precomputed GP prediction operations. | |
matrixd | mKF |
matrixd | mD |
GaussianDistribution * | d_ |
Predictive distributions. | |
Additional Inherited Members | |
Static Public Member Functions inherited from bayesopt::NonParametricProcess | |
static NonParametricProcess * | create (size_t dim, Parameters parameters, const Dataset &data, MeanModel &mean, randEngine &eng) |
Factory model generator for surrogate models. More... | |
Protected Member Functions inherited from bayesopt::HierarchicalGaussianProcess | |
double | negativeTotalLogLikelihood () |
Computes the negative log likelihood of the data for all the parameters. More... | |
Protected Member Functions inherited from bayesopt::KernelRegressor | |
void | computeCorrMatrix (matrixd &corrMatrix) |
Computes the Correlation (Kernel or Gram) matrix. | |
matrixd | computeCorrMatrix () |
Computes the Correlation (Kernel or Gram) matrix. | |
matrixd | computeDerivativeCorrMatrix (int dth_index) |
Computes the derivative of the correlation matrix with respect to the dth hyperparameter. | |
vectord | computeCrossCorrelation (const vectord &query) |
double | computeSelfCorrelation (const vectord &query) |
void | computeCholeskyCorrelation () |
Computes the Cholesky decomposition of the Correlation matrix. | |
Protected Attributes inherited from bayesopt::KernelRegressor | |
matrixd | mL |
Cholesky decomposition of the Correlation matrix. | |
score_type | mScoreType |
learning_type | mLearnType |
bool | mLearnAll |
KernelModel | mKernel |
Protected Attributes inherited from bayesopt::NonParametricProcess | |
const Dataset & | mData |
double | mSigma |
Signal variance. | |
size_t | dim_ |
MeanModel & | mMean |
Gaussian process with normal prior on the parameters.
Definition at line 42 of file gaussian_process_normal.hpp.
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privatevirtual |
Computes the negative log likelihood and its gradient of the data.
Implements bayesopt::ConditionalBayesProcess.
Definition at line 93 of file gaussian_process_normal.cpp.
References bayesopt::KernelRegressor::computeCorrMatrix(), bayesopt::MeanModel::mFeatM, and bayesopt::Dataset::mY.
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virtual |
Function that returns the prediction of the GP for a query point in the hypercube [0,1].
query | in the hypercube [0,1] to evaluate the Gaussian process |
Implements bayesopt::ConditionalBayesProcess.
Definition at line 64 of file gaussian_process_normal.cpp.
References bayesopt::GaussianProcessML::d_, bayesopt::KernelRegressor::mL, bayesopt::NonParametricProcess::mSigma, and bayesopt::GaussianDistribution::setMeanAndStd().