JaxGaussianProcesses / GPJax

Gaussian processes in JAX.
https://docs.jaxgaussianprocesses.com/
Apache License 2.0
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feat: Monte Carlo integrator. #314

Closed daniel-dodd closed 6 days ago

daniel-dodd commented 1 year ago

Add Monte Carlo integrator to compute the variational expectation / expected log likelihood: $$\mathbb{E}_{q(\mathbf{f})} \log p(y|\mathbf{f}) \approx \frac{1}{N} \sum_i \log p(y|\mathbf{f}^{(i)}), \qquad \mathbf{f}^{(i)} \sim q(\mathbf{f}). $$

class MonteCarloIntegrator(AbstractIntegrator): 
   ...
github-actions[bot] commented 1 week ago

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github-actions[bot] commented 6 days ago

There has been no activity on this PR for some time. Therefore, we will be automatically closing the PR if no new activity occurs within the next seven days. Thank you for your contributions.