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Add i-times integrated Wiener Kernel #77

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Merged
merged 28 commits into from
Apr 30, 2020
Merged

Add i-times integrated Wiener Kernel #77

merged 28 commits into from
Apr 30, 2020

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sharanry
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@sharanry sharanry commented Apr 7, 2020

Issue #44

i-times integrated Wiener process kernel function given by

    κ(x,y) =  kᵢ(x,y)

For i=-1, this is just the white noise covariance, see WhiteKernel.
For i= 0, this is the Wiener process covariance,
for i= 1, this is the integrated Wiener process covariance (velocity),
for i= 2, this is the twice-integrated Wiener process covariance (accel.),
for i= 3, this is the thrice-integrated Wiener process covariance. where kᵢ is given by

    k₋₁(x,y) =  δ(x,y)
    i >= 0, kᵢ(x,y) = 1/ai * min(x,y)^(2i + 1) + bi * min(x,y)^(i+1) * |x-y| * ri(x,y),
    with the coefficients ai, bi and the residual ri(x,y) defined as follows:
        i = 0, ai =   1, bi = 0
        i = 1, ai =   3, bi = 1/  2, ri(x,y) = 1
        i = 2, ai =  20, bi = 1/ 12, ri(x,y) = x + y - 1/2 * min(x,y)
        i = 3, ai = 252, bi = 1/720, ri(x,y) = 5 * max(x,y)² + 2xz + 3min(x,y)²

References:

@theogf
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theogf commented Apr 7, 2020

Maybe that would make sense to make separate kernels for each i, like for the Matern Kernel

@sharanry
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sharanry commented Apr 7, 2020

@theogf Considering we are using parameterized types right now, would separate kernels make much of a difference in terms of performance? Currently, IMO even the usage seems straight forward.

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@willtebbutt willtebbutt left a comment

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Looking good so far. If you could sort out style as in the other PR, that would be great.

@sharanry
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@willtebbutt Do you think this is ready to be merged?

Fix docstring and Base.show

Co-Authored-By: David Widmann <[email protected]>
Co-Authored-By: David Widmann <[email protected]>
@sharanry
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@devmotion @theogf @willtebbutt Can this be merged?

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Other than the style thing, I'm happy for this to be merged.

@willtebbutt willtebbutt merged commit a4572ad into JuliaGaussianProcesses:master Apr 30, 2020
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4 participants