student_t_process_nig.hpp

Go to the documentation of this file.

/*
-------------------------------------------------------------------------
   This file is part of BayesOpt, an efficient C++ library for 
   Bayesian optimization.

   Copyright (C) 2011-2015 Ruben Martinez-Cantin <rmcantin@unizar.es>
 
   BayesOpt is free software: you can redistribute it and/or modify it 
   under the terms of the GNU Affero General Public License as published by
   the Free Software Foundation, either version 3 of the License, or
   (at your option) any later version.

   BayesOpt is distributed in the hope that it will be useful, but 
   WITHOUT ANY WARRANTY; without even the implied warranty of
   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
   GNU Affero General Public License for more details.

   You should have received a copy of the GNU Affero General Public License
   along with BayesOpt.  If not, see <http://www.gnu.org/licenses/>.
------------------------------------------------------------------------
*/


#ifndef  _STUDENT_T_PROCESS_NIG_HPP_
#define  _STUDENT_T_PROCESS_NIG_HPP_

#include "student_t_distribution.hpp"
#include "gaussian_process_hierarchical.hpp"

namespace bayesopt
{

  class StudentTProcessNIG: public HierarchicalGaussianProcess
  {
  public:
    StudentTProcessNIG(size_t dim, Parameters params, const Dataset& data, 
               MeanModel& mean, randEngine& eng);
    virtual ~StudentTProcessNIG();

    ProbabilityDistribution* prediction(const vectord &query);

  private:

    double negativeLogLikelihood();

    void precomputePrediction();

  private:
    vectord mWMap;                      
    double mAlpha, mBeta;
    vectord mW0;
    vectord mInvVarW;
    vectord mVf;
    matrixd mKF, mD;     

    StudentTDistribution* d_;      
  };


} //namespace bayesopt


#endif