doc: gp_inf_update
Bayesian system update with new observations at Xt2
Syntax
BayesInv = gp_inf_update(Ktt12, Ktt22, Yt, noise, BayInv1) BayesInv = gp_inf_update(Ktt12, Ktt22, Yt, noise, BayInv1, Ht)
Arguments
- Ktt12 matrix (nt1, nt2) of kernel between the points of Xt1 and Xt2
- Ktt22 matrix (nt2, nt2) of kernel between the points of Xt2
- Yt vector (nt1+nt2, 1) of observations
- noise noise standard deviation
- BayInv1 old system resolution for Xt1
- Ht matrix (nt1+nt2, b) of basis data
Outputs
struct array containing:
- RC upper triangular matrix (nt1+nt2,nt1+nt2) of Cholesky decomposition of Ktt+noise*I
- invCY vector (nt1+nt2,1) solution of
- beta vector (b,1) solution of the basis system