Multivariate capability? about gpmat HOT 3 CLOSED

That’s in GPmat as standard.

from gpmat.

HI Sterling,

Multivariate (in terms of multiple targets, or outputs) GPs are implemented in this package: https://github.com/SheffieldML/multigp

Although you can also implement a multi-output GP in a single output package by augmenting your covariance function input with an "output index" and building kernels to handle that. That's how the GPy software does it.

Neil

from gpmat.

HI Neil,

Thanks for your response. What about for single-output, multivariate-input (i.e. each observation is a vector rather than a scalar)? Is this implemented in GPmat or would I need to move to multigp?

Sterling

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