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jitter -> chol_const
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pymc3/gp/gp.py

Lines changed: 3 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -76,7 +76,7 @@ def logp(self, Y, X=None):
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return MvNormal.dist(mu, Sigma).logp(Y)
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79-
def sample_gp(trace, gp, X_values, samples=None, obs_noise=True, model=None, random_seed=None, progressbar=True, jitter=True):
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def sample_gp(trace, gp, X_values, samples=None, obs_noise=True, model=None, random_seed=None, progressbar=True, chol_const=True):
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"""Generate samples from a posterior Gaussian process.
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Parameters
@@ -98,7 +98,7 @@ def sample_gp(trace, gp, X_values, samples=None, obs_noise=True, model=None, ran
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Random number seed for sampling.
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progressbar : bool
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Flag for showing progress bar.
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jitter : bool
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chol_const : bool
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Flag to a small diagonal to the posterior covariance
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for numerical stability
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@@ -139,7 +139,7 @@ def sample_gp(trace, gp, X_values, samples=None, obs_noise=True, model=None, ran
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# Posterior covariance
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S_post = S_zz - tt.dot(tt.dot(S_xz.T, S_inv), S_xz)
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142-
if jitter:
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if chol_const:
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n = S_post.shape[0]
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correction = 1e-6 * tt.nlinalg.trace(S_post) * tt.eye(n)
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