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| author | wolffd |
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| date | Tue, 10 Feb 2015 15:05:51 +0000 |
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| 1 <html> | |
| 2 <head> | |
| 3 <title> | |
| 4 Netlab Reference Manual gpcovar | |
| 5 </title> | |
| 6 </head> | |
| 7 <body> | |
| 8 <H1> gpcovar | |
| 9 </H1> | |
| 10 <h2> | |
| 11 Purpose | |
| 12 </h2> | |
| 13 Calculate the covariance for a Gaussian Process. | |
| 14 | |
| 15 <p><h2> | |
| 16 Synopsis | |
| 17 </h2> | |
| 18 <PRE> | |
| 19 cov = gpcovar(net, x) | |
| 20 [cov, covf] = gpcovar(net, x) | |
| 21 </PRE> | |
| 22 | |
| 23 | |
| 24 <p><h2> | |
| 25 Description | |
| 26 </h2> | |
| 27 | |
| 28 <p><CODE>cov = gpcovar(net, x)</CODE> takes | |
| 29 a Gaussian Process data structure <CODE>net</CODE> together with | |
| 30 a matrix <CODE>x</CODE> of input vectors, and computes the covariance | |
| 31 matrix <CODE>cov</CODE>. The inverse of this matrix is used when calculating | |
| 32 the mean and variance of the predictions made by <CODE>net</CODE>. | |
| 33 | |
| 34 <p><CODE>[cov, covf] = gpcovar(net, x)</CODE> also generates the covariance | |
| 35 matrix due to the covariance function specified by <CODE>net.covarfn</CODE> | |
| 36 as calculated by <CODE>gpcovarf</CODE>. | |
| 37 | |
| 38 <p><h2> | |
| 39 Example | |
| 40 </h2> | |
| 41 In the following example, the inverse covariance matrix is calculated | |
| 42 for a set of training inputs <CODE>x</CODE> and is then | |
| 43 passed to <CODE>gpfwd</CODE> so that predictions (with mean <CODE>ytest</CODE> and | |
| 44 variance <CODE>sigsq</CODE>) can be made for the test inputs | |
| 45 <CODE>xtest</CODE>. | |
| 46 <PRE> | |
| 47 | |
| 48 cninv = inv(gpcovar(net, x)); | |
| 49 [ytest, sigsq] = gpfwd(net, xtest, cninv); | |
| 50 </PRE> | |
| 51 | |
| 52 | |
| 53 <p><h2> | |
| 54 See Also | |
| 55 </h2> | |
| 56 <CODE><a href="gp.htm">gp</a></CODE>, <CODE><a href="gppak.htm">gppak</a></CODE>, <CODE><a href="gpunpak.htm">gpunpak</a></CODE>, <CODE><a href="gpcovarp.htm">gpcovarp</a></CODE>, <CODE><a href="gpcovarf.htm">gpcovarf</a></CODE>, <CODE><a href="gpfwd.htm">gpfwd</a></CODE>, <CODE><a href="gperr.htm">gperr</a></CODE>, <CODE><a href="gpgrad.htm">gpgrad</a></CODE><hr> | |
| 57 <b>Pages:</b> | |
| 58 <a href="index.htm">Index</a> | |
| 59 <hr> | |
| 60 <p>Copyright (c) Ian T Nabney (1996-9) | |
| 61 | |
| 62 | |
| 63 </body> | |
| 64 </html> |