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ziatdinovmax / gpax

Gaussian Processes for Experimental Sciences
http://gpax.rtfd.io
MIT License
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We consider noisy observations of a discontinuous function... #6

Closed jecampagne closed 2 years ago

jecampagne commented 2 years ago

Hello, I just read your excellent article and jump to your gpax lib. I already used numpyro for NUTS/SVI and a little practice for GP, and I was looking probably of what you are described in your GP_sGP.ipynb. I would like to be sure that I have understand the use case developed at the end of your nb.

Bellow I have display some data points and I know because of the process under the hood that there is a discontinuity at x close to (but not exactly) 0. Of course 1) I can fit a determinist parametrized function piecewise with an "linear" behaviour for xx0, 2) on a other hand I can use an RBF+noise GP but then I miss the discontinuity.

Do you think that your example is especially designed to keep up this discontinuity problem ?

image

Thanks

sgbaird commented 2 years ago

From a brief review of the README, a structured GP seems like a good use case for your problem.