| Type: | Package |
| Title: | Efficiently Using Gaussian Processes with Rcpp and RcppEigen |
| Version: | 1.2 |
| Date: | 2016-02-01 |
| Author: | Giri Gopalan, Luke Bornn |
| Maintainer: | Giri Gopalan <gopalan88@gmail.com> |
| Description: | Contains Rcpp and RcppEigen implementations of matrix operations useful for Gaussian process models, such as the inversion of a symmetric Toeplitz matrix, sampling from multivariate normal distributions, evaluation of the log-density of a multivariate normal vector, and Bayesian inference for latent variable Gaussian process models with elliptical slice sampling (Murray, Adams, and MacKay 2010). |
| License: | GPL-2 |
| Imports: | Rcpp, MASS, mvtnorm, rbenchmark, stats |
| LinkingTo: | Rcpp, RcppEigen |
| Repository: | CRAN |
| NeedsCompilation: | yes |
| Packaged: | 2016-02-02 02:45:13 UTC; giridhargopalan |
| Date/Publication: | 2016-02-02 12:27:14 |
Sampling from a Bayesian model with a multivariate normal prior distribution
Description
This function uses elliptical slice sampling to sample from a Bayesian model in which the prior is multivariate normal (JMLR Murray, Adams, and MacKay 2010)
Usage
ess(log.lik,Y, Sig, N_mcmc,burn_in,N,flag)
Arguments
log.lik |
Log-lik function in model which is assumed to take two arguments: the first contains the parameters/latent variables and the second the observed data Y |
Y |
Observed data. |
Sig |
Covariance matrix associated with the prior distribution on the parameters/latent variable vector. |
N_mcmc |
Number of desired mcmc samples. |
burn_in |
Number of burn-in iterations. |
N |
Dimensionality of parameter/latent variable vector. |
flag |
Set to TRUE for MASS implementation of mvrnorm (which may be more stable but slow), FALSE for FastGP implementation of rcpp_rmvnorm (which is faster but less stable) |
Author(s)
Giri Gopalan gopalan88@gmail.com
Examples
# See demo/FastGPdemo.r.
Matrix Operations Using Rcpp and RcppEigen
Description
Performs useful matrix operations using Rcpp and RcppEigen.
Usage
rcppeigen_invert_matrix(A)
rcppeigen_get_det(A)
rcppeigen_get_chol(A)
rcppeigen_get_chol_stable(A)
rcppeigen_get_chol_diag(A)
tinv(A)
Arguments
A |
Matrix to perform operation on. |
Details
Functions with "rcppeigen" directly call RcppEigen implementations of the associated functions; rcppeigen_get_chol_stable retrieves L and rcppeigen_get_chol_diag(A) retrieves D in A = LDL^T form, whereas rcppeigen_get_chol(A) retrieves L in A = LL^T form. Thanks to Jared Knowles who pointed out that the former variant is more stable (with a potential speed trade-off) and has found it useful for his package merTools. tinv inverts a symmetric Toeplitz matrix using methods from Trench and Durbin from "Matrix Computations" by Golub and Van Loan using Rcpp.
Author(s)
gopalan88@gmail.com
Examples
# See demo/FastGPdemo.R
Multivariate Normal Sampling and Log-Density Evaluation
Description
These functions allow for the sampling of and evaluation of the log-density of a multivariate normal vector.
Usage
rcpp_log_dmvnorm(S,mu,x, istoep)
rcpp_rmvnorm(n,S,mu)
rcpp_rmvnorm_stable(n,S,mu)
Arguments
S |
Covariance matrix of associated multivariate normal. |
n |
Number of (independent) samples to generate. |
mu |
Mean vector. |
x |
Vector of observations to evaluate the log-density of. |
istoep |
set this to |
Author(s)
Giri Gopalan gopalan88@gmail.com
Examples
#See demo/FastGPdemo.R