lpredprob.GP {plgp} | R Documentation |
Log-Predictive Probability Calculation for GPs
Description
Log-predictive probability calculation for Gaussian process (GP) regression, classification, or combined unknown constraint models; primarily to be used particle learning (PL) re-sample step
Usage
lpredprob.GP(z, Zt, prior)
lpredprob.CGP(z, Zt, prior)
lpredprob.ConstGP(z, Zt, prior)
Arguments
z |
new observation whose (log) predictive probability is to be
calculated given the particle |
Zt |
the particle describing model parameters and sufficient statistics that determines the predictive distribution |
prior |
prior parameters passed from |
Details
This is the workhorse of the PL
re-sample step. For
each new observation (in sequence), the
PL
function calls lpredprob
and these values
determine the weights used in the sample
function to
obtain the new particle set, which is then propagated, e.g., using
propagate.GP
The lpredprob.ConstGP
is essentially the combination
(product) of lpredprob.GP
and
lpredprob.CGP
for regression and classification GP
models, respectively
Value
Returns a real-valued scalar - the log predictive probability
Author(s)
Robert B. Gramacy, rbg@vt.edu
References
Gramacy, R. and Polson, N. (2011). “Particle learning of Gaussian process models for sequential design and optimization.” Journal of Computational and Graphical Statistics, 20(1), pp. 102-118; arXiv:0909.5262
Gramacy, R. and Lee, H. (2010). “Optimization under unknown constraints”. Bayesian Statistics 9, J. M. Bernardo, M. J. Bayarri, J. O. Berger, A. P. Dawid, D. Heckerman, A. F. M. Smith and M. West (Eds.); Oxford University Press
Gramacy, R. (2020). “Surrogates: Gaussian Process Modeling, Design and Optimization for the Applied Sciences”. Chapman Hall/CRC; https://bobby.gramacy.com/surrogates/
https://bobby.gramacy.com/r_packages/plgp/
See Also
Examples
## See the demos via demo(package="plgp") and the examples
## section of ?plgp