I had been reading this paper of multi-output gaussian processes. It is part of the literature review for a paper that I am writing. I download the software and was surprised that they are not using signals that are depending outputs between them. As soon I modified the functions to be dependent the algorithms do not want to fit the signals. If someone can take a look at this paper or the code and give me a comment, I will appreciate. I don't want to reject the algorithm without knowing other opinions.
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1$\begingroup$ Are you only interested in the paper and code you cite, or would you be interested in other techniques for multi-output Gaussian Process Regression? $\endgroup$– DeltaIVCommented Feb 4, 2017 at 16:15
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1$\begingroup$ I am interested in know how can be correctly implemented because the code in the GitHub does not do what the paper claim. The GitHub has non-related outputs and as soon you relate the outputs it fails. The math looks ok. If you can give me your opinion about the method I will appreciate that. $\endgroup$– Wilmer ArizaCommented Feb 6, 2017 at 2:50
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1$\begingroup$ to a first look, the methodology looks fine, even if IMO overcomplicated (there are simpler approaches to multivariate Gaussian processes). To tell you more I need to see what you did, i. e., you should post or link both the code with independent outputs, which ran ok, and the code with non-independent outputs, and see exactly what you mean by "failure". $\endgroup$– DeltaIVCommented Feb 6, 2017 at 14:03
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1$\begingroup$ Yes there are, I had the code from Multi-Output GP from Alvarez and Lawrence(works great). However the promise of lower times is too much....In the code they implement: fn1 = @(x) sin(x) + 1e-7; fn2 = @(x) -sin(x) + 1e-7; y1 = fn1(x) + sqrt(1e-4)*randn(N,1); y2 = fn2(x) + sqrt(1e-4)*randn(N,1); if you change to cos or sin(fn1) in the second function the method stop working. If the frequency is incfeazse it will not converge. I think that there is an error in the likelihood. $\endgroup$– Wilmer ArizaCommented Feb 6, 2017 at 23:00
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