Refactored GP predict method according C. E. Rasmussen & C. K. I. Williams, Gaussian Processes for Machine Learning, 2006, Chapter 2.2 Function-Space View, Algorithm 2.1. While this claims to be faster and numerically more stable the posterior covariance matrix was still not pos. def. in the examples/gaussian_process.py example which led to a failing cholesky operation in
Hello @dirmeier ,
I propose the following changes:
Refactored GP predict method according C. E. Rasmussen & C. K. I. Williams, Gaussian Processes for Machine Learning, 2006, Chapter 2.2 Function-Space View, Algorithm 2.1. While this claims to be faster and numerically more stable the posterior covariance matrix was still not pos. def. in the
examples/gaussian_process.py
example which led to a failingcholesky
operation inNote: Nevertheless this refactoring might contribute to issue https://github.com/ramsey-devs/ramsey/issues/11
enabling 64bit precision for JAX library and adding jitter to the posterior covariance matrix led to a pos. def. covariance matrix
having a pos. def. covariance function allowed adding confidence intervalls to the plot (see below)