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Base implementation of SVGP#9

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rossviljoen merged 69 commits intomasterJuliaGaussianProcesses/ApproximateGPs.jl:masterfrom base_implementationJuliaGaussianProcesses/ApproximateGPs.jl:base_implementationCopy head branch name to clipboardJul 30, 2021

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Commits

Commits on Jun 19, 2021

• Add files

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Commits on Jun 20, 2021

• Fixed KL and posterior covariance.

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• Update example to use Flux

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Commits on Jun 21, 2021

• Remove Flux as a dep & factor out expected_loglik

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• Update example to use basic Flux layer

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Commits on Jun 22, 2021

• Add minibatching.

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Commits on Jun 23, 2021

• Improved variance calculation.

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Commits on Jun 24, 2021

• Initial quadrature implementation

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Commits on Jul 2, 2021

• Moved quadrature to new file.

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Commits on Jul 3, 2021

• Fixed AD for quadrature.

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• Fixed AD for KL divergence.

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Commits on Jul 4, 2021

• Added classification example.

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• Updated examples.

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• Renamed SVGPLayer to SVGPModel.

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  359b3d5

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• Added basic test structure.

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• Started equivalence tests

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• First pass (doesn't work yet)

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Commits on Jul 6, 2021

• Working tests

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  005f8f0

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• Fixed KL divergence

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  443a2d4

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• Refactored elbo stuff

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Commits on Jul 7, 2021

• Fixed elbo mistakes

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• Remove type restiction in ELBO

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• Infer batch size

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• Merge branch 'master' into ross/tests

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Commits on Jul 10, 2021

• Merge branch 'dev' into base_implementation

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Commits on Jul 13, 2021

• Added docstrings to elbo.jl

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• Added cross-covariance

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  6d4e87b

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• Removed unnecessary dependencies

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  22c999a

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• Updated regression example

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Commits on Jul 14, 2021

• Added exact posterior tests

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• Merge pull request #6 from rossviljoen/ross/tests

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• Address review comments

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Commits on Jul 16, 2021

• Fix docstrings

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Commits on Jul 18, 2021

• Rename kldivergence

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Commits on Jul 19, 2021

• Factor out exact posterior

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• Use AbstractGPs TestUtils

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• Added support for prior mean function

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Commits on Jul 21, 2021

• Added MC expectation and refactored elbo

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  0e59e49

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• Updated docstrings

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• Dispatch on types instead of symbols

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• Update doctrings

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• Enforce type for MonteCarlo and GaussHermite

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• Added error for Analytic

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• Rename GaussHermite to Quadrature

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• Assume homoscedastic Gaussian noise

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• Add tests for expected_loglik

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Commits on Jul 24, 2021

• Require ExpLink for Poisson closed form

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• Better error message

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  36c62b9

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• Added close form for Gamma and Exponential

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  0ee1004

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• Fix docstring

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• Update docstring

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Commits on Jul 26, 2021

• Fix docstring

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• Restrict types for continuous distributions

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• Use AbstractGPs.approx_posterior and elbo

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Commits on Jul 27, 2021

• Minor formatting

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• Dispatch on filled diagonal matrix obs noise

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• Add elbo tests

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  fa1cdc3

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• Small test changes

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  af41ca3

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• Fix elbo error

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Commits on Jul 28, 2021

• Remove qualifier from kldivergence

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• Check for ZeroMean

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  9f4d295

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• Fix classification example jitter

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  ca5f148

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• Remove unnecessary imports from AbstractGPs

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• Better cholesky of covariance methods

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• Use KLDivergences

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• Use vector of marginals q_f vs. f_mean, f_var

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Commits on Jul 30, 2021

• Ran JuliaFormatter

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• Revert "Ran JuliaFormatter"

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• Reformat with JuliaFormatter - BlueStyle

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