SPGP_dist

代码说明：

  这是一个关于稀疏高斯过程的matlab源码，可以用于计算测试输入的高斯预测值。( spgp_pred computes the SPGP predictive distribution for a set of test inputs. You need to supply a set of pseudo-inputs or basis vectors for the approximation, and suitable hyperparameters for the covariance. You can use any method you like for finding the pseudo-inputs , with the simplest obviously being a random subset of the data. It is coded for Gaussian covariance function, but you could very easily alter this. It is also fine to use for high dimensional data sets. spgp_lik is the SPGP (negative) marginal likelihood and gradients with respect to pseudo-inputs and hyperparameters. So you can use this if you wish to try to optimize the positioning of pseudo-inputs and find good hyperparameters, before using spgp_pred . I would recommend initializing the pseudo-inputs on a random subset of the data, and initializing the hyperparameters sensibly. Its current limitations are that 1) it is slow and memory intensive for high dimensional data sets 2) it is heavi)