probml / pyprobml

Python code for "Probabilistic Machine learning" book by Kevin Murphy

MIT License

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Closed petergchang closed 1 year ago

petergchang commented 2 years ago

Description

Re-implemented ADF for logistic regression.
ADF now uses unscented sigma-point Gaussian quadrature in its update step, as suggested by the original paper.
Standardized the dataset to enable more accurate Bayesian Laplace approximation.

book2 - 8.18, 8.19

adf_predictive

Although (as verified numerically) the filtered (co)variances are shrinking, they are not shrinking as rapidly as seen by CMGF.

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