Open thangbui opened 7 years ago
Notes:
use logsumexp
use the reparameterisation trick/store random numbers/only change them after t iterations
high-dimensional quadratures?
Notes:
Simple Monte Carlo for the latent variables should work for GPLVMs, GPSSMs and deep GPs with hidden variables. This should be enough because, conditioned on a latent sample, the distro of the outputs when the latent function is marginalised out for all alpha values is tractable (as a Gaussian) or can computed using quadrature. This commit is an initial attempt for GPLVMs.
For deep GPs (as in the ICML version), simple Monte Carlo for the inducing points is needed for alpha values other than 1.
An alternative to the currently implemented Gaussian projection and the linearisation technique in #5 is a quadrature/Monte Carlo/particle based approach.
Need code to implement this and comparison to moment matching and #5.