[PyMCon Web Series 03a] Introduction to Hilbert Space GPs (HSGPs) in PyMC (Mar 15, 2023) (Bill Engels)

[bwengals]

@qacwnfq

Hey, two questions:

1. Do you have some benchmarks comparing GPs to HSGPs?
2. Do HSGPs only work for Matern covariance functions? And since I don’t use GPs a lot, I have to ask whether this would be a limitation or not.

(I was under the impression that the quadExp covariance is a special case of Matern)

1. Nope I don’t, but you’ll find some here: [2004.11408] Practical Hilbert space approximate Bayesian Gaussian processes for probabilistic programming
2. Yep, ExpQuad is part of the Matern family. These are just what’s implemented for PyMC at this point. The requirement is that the kernel is stationary. More info in Sec 4.2.1 here: https://gaussianprocess.org/gpml/chapters/RW.pdf