GPLinearODE (GLO) struct
The GPLinearODEMaker.GLO
object is used to ensure that all of the necessary pieces exist to specify the GLOM
model.
GPLinearODEMaker.GLO
— TypeGLO{T1<:Real, T2<:Integer} a.k.a. GPLinearODE
A structure that holds all of the relevant information for constructing the GLOM model
Arguments
kernel::Function
: kernel function for the latent Gaussian process (GP)n_kern_hyper::T2
: amount of hyperparameters for the kernel functionn_dif::T2
: amount of times you are differenting the base kerneln_out::T2
: amount of outputs you are jointly modellingx_obs::Vector{T1}
: the observation times/phasesy_obs::Vector{T1}
: the flattened, observed datanoise::Vector{T1}
: the measurement noise at all observations (σ, not σ^2)normals::Vector{T1}
: the normalization of each section of y_obsa::Matrix{T1}
: the meta kernel coefficientsnon_zero_hyper_inds::Vector{T2}
: the indices of the non-zero hyperparameterscoeff_orders::AbstractArray{T2,6}
: The powers that eacha
coefficient is taken to for each part of the covariance matrix construction. Used for constructing differentiated versions of the kernelcoeff_coeffs::AbstractArray{T2,4}
: The coefficients that eacha
coefficient is multiplied by for each part of the covariance matrix construction. Used for constructing differentiated versions of the kernelcovariance::Array{T1, 3}
: the measurement covariance at all observationshas_covariance::Bool
: Whether or not there are measurement covariances (as opposed to just having measurement noises)kernel_changes_with_output::Bool
: A flag for if the kernel is not the same for each output (e.g. there is a time delay kernel hyperparameter that changes)
It is often normalized before any optimizations to make the process more amenable to numerical methods
GPLinearODEMaker.normalize_GLO!
— Functionnormalize_GLO!(glo)
Standardize the outputs in glo.y_obs
(and glo.noise
) to have 0-mean and unit variance and store the normalization in glo.normals
normalize_GLO!(glo, renorms)
Divide the outputs in glo.y_obs
and glo.noise
and multiply glo.normals
by renorms