For some one-dimensional input data ( (x) ), generate a real-valued latent function using a GP prior
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For some one-dimensional input data ( \(x\) ), generate a real-valued latent function using a GP prior with an RBF covariance function. For each value, sample a random integer from a Poisson distribution with rate \(\lambda=\exp (f)\), i.e. the probability of getting the value \(z\) is equal to
\[P(z)=\frac{\lambda^{z} \exp (-\lambda)}{z!}\]
From this data, we would like to reverse-engineer the latent function. Compute the gradient and Hessian required to find the MAP solution to \(\mathbf{f}\) and compare the inferred value to the true value from which the data were generated.
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Related Book For
A First Course In Machine Learning
ISBN: 9781498738484
2nd Edition
Authors: Simon Rogers , Mark Girolam
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