importance sampling the GP marginal likelihood does not work with EP

shogun-toolbox / shogun

Shōgun

http://shogun-toolbox.org

BSD 3-Clause "New" or "Revised" License

3.03k stars 1.04k forks source link

Open karlnapf opened 10 years ago

karlnapf commented 10 years ago

See marginal_likelihood_estimate method of CInferenceMethod and use EPInferenceMethod

votjakovr commented 10 years ago

Hi Heiko, what is actually wrong here? I've written unit test: #1833 and seems it works. Probably i've missed something.

karlnapf commented 10 years ago

The issue was positive definiteness of the covariance, not numerically though, there was something wrong. Will attach code soon.