Using sparse GP regression I’ve got a target that has got known noise covariance that is different for each target. Is it possible to to use a deterministic noise + a white noise covariance with the marginalsparse + marginal_likehood methods?

Deterministic measurement noise variance in sparse GPs

bwengals December 16, 2020, 8:29pm 2

Right now it is not, though it’s possible to do. Easily for DTC, and I’ve seen a derivation of it for VFE somewhere, not sure about FITC, would need to check.

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Deterministic measurement noise variance in sparse GPs

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