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GP Sampling #421
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GP Sampling #421
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Codecov ReportAttention: Patch coverage is
Additional details and impacted files@@ Coverage Diff @@
## master #421 +/- ##
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+ Coverage 96.21% 96.33% +0.12%
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Files 12 13 +1
Lines 396 491 +95
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+ Hits 381 473 +92
- Misses 15 18 +3 ☔ View full report in Codecov by Sentry. 🚀 New features to boost your workflow:
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Very happy to give this a review -- when you're ready for one, please do tag me. |
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@willtebbutt If you have some time, I would already appreciate a rough review, on the overall structure/ idea. |
| FillArrays = "1a297f60-69ca-5386-bcde-b61e274b549b" | ||
| IrrationalConstants = "92d709cd-6900-40b7-9082-c6be49f344b6" | ||
| KernelFunctions = "ec8451be-7e33-11e9-00cf-bbf324bd1392" | ||
| KernelSpectralDensities = "027d52a2-76e5-4228-9bfe-bc7e0f5a8348" |
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Can you move this into a package extension?
Summary
This PR is a (at this stage) draft PR to allow sampling of GP, including sampling via Cholesky, via Random Fourier Features, and pathwise/ decoupled sampling.
Proposed changes
The main interface revolves around a new
GPSamplerstruct, as a subtype ofRandom.Sampler, which takes a GP and a "method". One can then draw from this sampler usingrand`.However, there are still issues to this implementation
What alternatives have you considered?
Making a separate package, and/or (due to the complexity) just keeping it good enough for my needs.
Breaking changes
Should not be breaking (at this point).