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JuliaGaussianProcesses / ApproximateGPs.jl

Approximations for Gaussian processes: sparse variational inducing point approximations, Laplace approximation, ...
https://juliagaussianprocesses.github.io/ApproximateGPs.jl/dev
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Document the maths #12

Open rossviljoen opened 2 years ago

rossviljoen commented 2 years ago

It takes a bit of work to figure out how the sparse GP posterior equations map to the actual code, so it would be good to write this up in docs.

(This should probably also be done for AbstractGPs)

rossviljoen commented 2 years ago

Another thing to do along with this: the naming used for covariance matrices and inducing points is a bit inconsistent (also in AbstractGPs).

i.e. sometimes it's Kxu, sometimes Cxu, sometimes Kxz etc.