gaussian_process.stan File Reference

Functions in this File
vector	diagSPD_EQ (real alpha, real rho, real L, int M)
vector	diagSPD_Matern12 (real alpha, real rho, real L, int M)
vector	diagSPD_Matern32 (real alpha, real rho, real L, int M)
vector	diagSPD_Matern52 (real alpha, real rho, real L, int M)
vector	diagSPD_Periodic (real alpha, real rho, int M)
void	gaussian_process_lp (vector eta)
matrix	PHI (int N, int M, real L, vector x)
matrix	PHI_periodic (int N, int M, real w0, vector x)
matrix	setup_gp (int M, real L, int dimension, int is_periodic, real w0)
int	setup_noise (int ot_h, int t, int horizon, int estimate_r, int stationary, int future_fixed, int fixed_from)
vector	update_gp (matrix PHI, int M, real L, real alpha, real rho, vector eta, int type, real nu)

Function Documentation

update_gp()

vector update_gp	(	matrix	PHI,
		int	M,
		real	L,
		real	alpha,
		real	rho,
		vector	eta,
		int	type,
		real	nu )

Update Gaussian process using spectral densities

Parameters

PHI	Basis functions matrix
M	Number of basis functions
L	Length of the interval
alpha	Scaling parameter
rho	Length scale parameter
eta	Vector of noise terms
type	Type of kernel (0: SE, 1: Periodic, 2: Matern)
nu	Smoothness parameter for Matern kernel

Returns

A vector of updated noise terms

Definition at line 196 of file gaussian_process.stan.

                                                          {
  vector[type == 1 ? 2 * M : M] diagSPD;    // spectral density
 
  // GP in noise - spectral densities
  if (type == 0) {
    diagSPD = diagSPD_EQ(alpha, rho, L, M);
  } else if (type == 1) {
    diagSPD = diagSPD_Periodic(alpha, rho, M);
  } else if (type == 2) {
    if (nu == 0.5) {
      diagSPD = diagSPD_Matern12(alpha, rho, L, M);
    } else if (nu == 1.5) {
      diagSPD = diagSPD_Matern32(alpha, rho, L, M);
    } else if (nu == 2.5) {
      diagSPD = diagSPD_Matern52(alpha, rho, L, M);
    } else {
      reject("nu must be one of 1/2, 3/2 or 5/2; found nu=", nu);
    }
  }
  return PHI * (diagSPD .* eta);
}

References diagSPD_EQ(), diagSPD_Matern12(), diagSPD_Matern32(), diagSPD_Matern52(), diagSPD_Periodic(), and PHI().

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