NAME

squared_exponential_covariance_function - The Squared Exponential covariance function in multiple dimensions

SYNOPSIS

#include "gp/gp_covariance_functions.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 squared_exponential_covariance_function
(
	Matrix **cov,
	const Vector *t1,
	const Vector *t2,
	const void *l,
	int d
);

DESCRIPTION

This routine is meant to be used with the fill_covariance_function. It is one of the predefined covariance functions. For a given pair of indices t1 and t2, the matrix pointed to by cov will be |

                              2
 exp(-0.5( ||t1 - t2|| / l_p )  )I

where I is a d x d identity matrix. If the random variables of the Gaussian process are vectors (i.e., if d > 1), then each component is independent of the others. The characteristic length l_p, a double, is specified by passing in a const void pointer l that points to it, i.e., l == (const void*) &l_p. If the matrix pointed to by cov is NULL, then a matrix 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 or an error in the covariance function), 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

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