gaussian_process.hpp

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#ifndef SRC_INVERSION_GAUSSIAN_PROCESS_HPP_
#define SRC_INVERSION_GAUSSIAN_PROCESS_HPP_
 
#include <cmath>
 
typedef double (*KernelFunction_t)(double, double, double, double);
 
inline double SquaredExponential(double x1, double x2, double l,
                                 double s1s2 = 1.) {
  return s1s2 * exp(-(x1 - x2) * (x1 - x2) / (2. * l * l));
}
 
inline double OrnsteinUhlenbeck(double x1, double x2, double l,
                                double s1s2 = 1.) {
  return s1s2 * exp(-std::fabs(x1 - x2) / l);
}
 
void gp_covariance(KernelFunction_t kernel, double **cov, double const *x,
                   double const *s, int n, double l);
 
void gp_covariance2(KernelFunction_t kernel, double **cov, double const *x1,
                    double const *s1, int n1, double const *x2,
                    double const *s2, int n2, double l);
 
double gp_predict(KernelFunction_t kernel, double *arr2, double const *x2,
                  double const *s2, int n2, double const *arr1,
                  double const *x1, double const *s1, int n1, double len);
 
double gp_lnprior(KernelFunction_t kernel, double const *arr1, double const *x1,
                  double const *s1, int n1, double len);
 
#endif  // SRC_INVERSION_GAUSSIAN_PROCESS_HPP_