Hello,

I have a model where I need to optimize N independent Gaussian processes and would like to have a way to batch them using PyMC3’s GP API.

N is usually less than 10, so not massive. I basically need a way to specify

K_i(x, x') = \sigma^2 \exp \left[ -\frac{(x_i-x_i')^2}{2l_i^2} \right]

where i is the index for each batch, and x has shape `(n, 3)`

but my Y data has shape `(N, n)`

.

Is there a way to do this natively in PyMC3? If not, can we hack it together using lists?

I can go into more detail about the goal, if needed, or I can link the paper I am reproducing.