Possible ways to speed up spatio-temporal GP modeling

[bwengals]

@seunjeong

spatial_cov = pm.gp.cov.Matern52(input_dim=3, ls=[length_S, length_S], active_dims=[0,1])
temporal_cov = var*pm.gp.cov.ExpQuad(input_dim=3, ls=length_T, active_dims=[2])

I think you just need to change input_dim and active_dims. Since it’s separable, each cov_func is just acting over each part of Xs.

Can you try it with this?

spatial_cov = pm.gp.cov.Matern52(input_dim=2, ls=[length_S, length_S])
temporal_cov = var*pm.gp.cov.ExpQuad(input_dim=1, ls=length_T)

EDIT: changed input_dim on temporal_cov from 2 to 1.