GaussianProcess#

class tinygp.GaussianProcess(kernel: Kernel, X: tinygp.helpers.JAXArray, *, diag: Optional[tinygp.helpers.JAXArray] = None, noise: Optional[Noise] = None, mean: Optional[Union[Callable[[tinygp.helpers.JAXArray], tinygp.helpers.JAXArray], tinygp.helpers.JAXArray]] = None, solver: Optional[Any] = None, mean_value: Optional[tinygp.helpers.JAXArray] = None, covariance_value: Optional[Any] = None, **solver_kwargs: Any)[source]#

Bases: object

An interface for designing a Gaussian Process regression model

Parameters:

  • kernel (Kernel) – The kernel function

  • X (JAXArray) – The input coordinates. This can be any PyTree that is compatible with kernel where the zeroth dimension is N_data, the size of the data set.

  • diag (JAXArray, optional) – The value to add to the diagonal of the covariance matrix, often used to capture measurement uncertainty. This should be a scalar or have the shape (N_data,). If not provided, this will default to the square root of machine epsilon for the data type being used. This can sometimes be sufficient to avoid numerical issues, but if you’re getting NaNs, try increasing this value.

  • noise (Noise, optional) – Used to implement more expressive observation noise models than those supported by just diag. This can be any object that implements the tinygp.noise.Noise protocol. If this is provided, the diag parameter will be ignored.

  • mean (Callable, optional) – A callable or constant mean function that will be evaluated with the X as input: mean(X)

  • solver – The solver type to be used to execute the required linear algebra.

condition(y: tinygp.helpers.JAXArray, X_test: Optional[tinygp.helpers.JAXArray] = None, *, diag: Optional[tinygp.helpers.JAXArray] = None, noise: Optional[Noise] = None, include_mean: bool = True, kernel: Optional[Kernel] = None) → ConditionResult[source]#

Condition the model on observed data and

Parameters:

  • y (JAXArray) – The observed data. This should have the shape (N_data,), where N_data was the zeroth axis of the X data provided when instantiating this object.

  • X_test (JAXArray, optional) – The coordinates where the prediction should be evaluated. This should have a data type compatible with the X data provided when instantiating this object. If it is not provided, X will be used by default, so the predictions will be made.

  • diag (JAXArray, optional) – Will be passed as the diagonal to the conditioned GaussianProcess object, so this can be used to introduce, for example, observational noise to predicted data.

  • include_mean (bool, optional) – If True (default), the predicted values will include the mean function evaluated at X_test.

  • kernel (Kernel, optional) – A kernel to optionally specify the covariance between the observed data and predicted data. See Mixture of Kernels for an example.

Returns:

A named tuple where the first element log_probability is the log marginal probability of the model, and the second element gp is the GaussianProcess object describing the conditional distribution evaluated at X_test.

log_probability(y: tinygp.helpers.JAXArray) → tinygp.helpers.JAXArray[source]#

Compute the log probability of this multivariate normal

Parameters:

y (JAXArray) – The observed data. This should have the shape (N_data,), where N_data was the zeroth axis of the X data provided when instantiating this object.

Returns:

The marginal log probability of this multivariate normal model, evaluated at y.

numpyro_dist(**kwargs: Any) → TinyDistribution[source]#

Get the numpyro MultivariateNormal distribution for this process

predict(y: tinygp.helpers.JAXArray, X_test: Optional[tinygp.helpers.JAXArray] = None, *, kernel: Optional[Kernel] = None, include_mean: bool = True, return_var: bool = False, return_cov: bool = False) → Union[tinygp.helpers.JAXArray, Tuple[tinygp.helpers.JAXArray, tinygp.helpers.JAXArray]][source]#

Predict the GP model at new test points conditioned on observed data

Parameters:

  • y (JAXArray) – The observed data. This should have the shape (N_data,), where N_data was the zeroth axis of the X data provided when instantiating this object.

  • X_test (JAXArray, optional) – The coordinates where the prediction should be evaluated. This should have a data type compatible with the X data provided when instantiating this object. If it is not provided, X will be used by default, so the predictions will be made.

  • include_mean (bool, optional) – If True (default), the predicted values will include the mean function evaluated at X_test.

  • return_var (bool, optional) – If True, the variance of the predicted values at X_test will be returned.

  • return_cov (bool, optional) – If True, the covariance of the predicted values at X_test will be returned. If return_var is True, this flag will be ignored.

Returns:

The mean of the predictive model evaluated at X_test, with shape (N_test,) where N_test is the zeroth dimension of X_test. If either return_var or return_cov is True, the variance or covariance of the predicted process will also be returned with shape (N_test,) or (N_test, N_test) respectively.

sample(key: PRNGKeyArray, shape: Optional[Sequence[int]] = None) → tinygp.helpers.JAXArray[source]#

Generate samples from the prior process

Parameters:

  • key – A jax random number key array. shape (tuple, optional): The

  • to (number and shape of samples) – generate.

Returns:

The sampled realizations from the process with shape (N_data,) + shape where N_data is the zeroth dimension of the X coordinates provided when instantiating this process.