Currently, I’m considering to use GP regression for a my project. I typically use following script is to train a GP regression model with PyMC3. X // features y // target with pm.Model() as model: ℓ = pm.Gamma("ℓ", alpha=2, beta=1) η = pm.HalfCauchy("η", beta=5) cov = η **…

Thanks @indian312 , Don’t need a loop, just by setting shape of length scale as X.shape[1] (number of features) we can achieve that. ℓ = pm.Gamma("ℓ", alpha=2, beta=1, shape = X.shape[1]])

Gaussian Process regression with Automatic Relevance Determination

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junpenglao January 24, 2019, 10:17am 2

I think you can modify the prior for ℓ and η for that purpose.

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Gaussian Process regression with Automatic Relevance Determination

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