On Wed, Dec 11, 2013 at 2:42 AM, Ralf Gunter <[email protected]> wrote:
>
> Mathieu: I did not understand your comment about the gist being
> "essentially kernel ridge." Do you mean that KRR is a simpler special
> case of GP? In what way does that gist differ from the implementation
> in your KRR branch?
>
I wanted to know how GP fare on an application I'm working on so I
implemented the algorithm on page 19 of Rasmussen and Williams' book. Then
I realized that it was essentially the same as kernel ridge. The only
difference is that this algorithm solve the linear system by first
computing the Cholesky decomposition then solving the system with
triangular matrix. In my kernel ridge branch, I used scipy's "solve"
function directly (but it probably does the same internally). It would be
nice if a GP expert could clarify :)
Mathieu
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