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JuliaGaussianProcesses / Stheno.jl

Probabilistic Programming with Gaussian processes in Julia
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Convex Constrained GP #131

Closed pmcvay closed 3 years ago

pmcvay commented 3 years ago

Is it possible to impose a convexity constraint on a Gaussian process? And is it possible to use Stheno to do this? I apologize if this is extremely off topic. I brand new to both GP's in general and Stheno.

willtebbutt commented 3 years ago

Hiya. Thanks for your interest.

Unfortunately it's pretty hard to impose those kinds of constraints on a GP. For example, there's a whole body of work on various ways to almost impose monotonicity constraints, which can nearly get you there. If you do stumble across a way to impose such a constraint, I would be very interested to hear about it!