doc: gp_inf
Bayesian system resolution for computing posterior of GP given the observations Yt at Xt
Syntax
BayesInv = gp_inf(Ktt, Yt, noise) BayesInv = gp_inf(Ktt, Yt, noise, Ht)
Arguments
- Ktt matrix (nt, nt) of kernel between the points of Xt
- Yt vector (nt, 1) of observations
- noise noise standard deviation
- Ht matrix (nt, b) of basis data as returned by basis_cst(Xt)
Outputs
struct array containing:
- RC upper triangular matrix (nt,nt) of Cholesky decomposition of Ktt+noise*I
- invCY vector (nt,1) solution of
- beta vector (b,1) solution of the basis system