NAME

sample_from_gaussian_process_predictive_i - Samples from the predictive distribution of a Gaussian process

SYNOPSIS

#include "gp/gp_gaussian_processes.h"

Example compile flags (system dependent):
  -DLINUX_X86_64 -DLINUX_X86_64_OPTERON  -DGNU_COMPILER 
   -I/home/kobus/include
   -L/home/kobus/misc/load/linux_x86_64_opteron -L/usr/lib/x86_64-linux-gnu
  -lKJB                               -lfftw3  -lgsl -lgslcblas -ljpeg  -lSVM -lstdc++                    -lpthread -lSLATEC -lg2c    -lacml -lacml_mv -lblas -lg2c      -lncursesw 


int sample_from_gaussian_process_predictive_i
(
	Vector_vector **sample,
	const Vector_vector *train_indices,
	const Vector_vector *train_data,
	double noise_sigma,
	const Vector_vector *test_indices,
	int (*cov_func)(Matrix **,const Vector *,const Vector *,const void *,int),
	const void *hyper_params
);

DESCRIPTION

This routine samples from the predictive distribution of a Gaussian process, whose covariance function is given by cov_func and whose dimensions are independent. The sample will be in the indices given by the vectors of test_indices, and will each be of the dimension of the vectors in train_data. The necessary information to sample from the predictive distribution is: train_indices - the indices where the training data comes from train_data - the training data noise_sigma - the variance of the gaussian noise process test_indices - where the prediction will take place. Naturally, the vectors of test_indices must all be of equal length, as must the vectors of train_indices and train_data. Also, sample will have test_indices->length vectors, each of length train_data->elements[0]->length. If the vector pointed to by sample is NULL, then a vector of the appropriate size is created. If it exists, but is the wrong size, then it is recreated. Otherwise, the storage is recycled.

RETURNS

If the routine fails (due to storage allocation, an error in the covariance function, or a mismatch in the sizes of the indices), then ERROR is returned with and error message being set. Otherwise NO_ERROR is returned.

DISCLAIMER

This software is not adequatedly tested. It is recomended that results are checked independantly where appropriate.

AUTHOR

Ernesto Brau

DOCUMENTER

Ernesto Brau

SEE ALSO

fill_covariance_matrix , fill_mean_vector , sample_from_gaussian_process_prior , sample_from_gaussian_process_prior_i , sample_from_gaussian_process_predictive , get_gaussian_process_predictive_distribution , get_gaussian_process_predictive_distribution_i , get_gaussian_process_posterior_distribution , get_gaussian_process_posterior_distribution_i , compute_gaussian_process_likelihood , compute_gaussian_process_likelihood_i , compute_gaussian_process_marginal_likelihood , compute_gaussian_process_marginal_likelihood_i , compute_gaussian_process_marginal_log_likelihood , compute_gaussian_process_marginal_log_likelihood_i