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yuki-koyama / mathtoolbox

Mathematical tools (interpolation, dimensionality reduction, optimization, etc.) written in C++11 with Eigen
https://yuki-koyama.github.io/mathtoolbox/
MIT License
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[GPR] Support data normalization #54

Closed yuki-koyama closed 4 years ago

yuki-koyama commented 4 years ago

As the current implementation assumes the mean function to be zero constant, it is better to support data normalization, i.e., modify y so that mean(y) = 0.

Also, it is worth discussing the use of scaling, i.e., modify y so that var(y) = 1.

yuki-koyama commented 4 years ago

This is called standardization (z-score normalization): https://en.wikipedia.org/wiki/Feature_scaling https://en.wikipedia.org/wiki/Standard_score