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add t distribution and robust EP #3450

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yorkerlin opened this issue Sep 19, 2016 · 4 comments
Open

add t distribution and robust EP #3450

yorkerlin opened this issue Sep 19, 2016 · 4 comments

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@yorkerlin
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yorkerlin commented Sep 19, 2016

@karlnapf
It will be great to add t distribution and robust EP in Shogun
Note that the existing implementation of t distribution does not support EP inference.

reference
paper: http://www.jmlr.org/papers/volume12/jylanki11a/jylanki11a.pdf
code: http://research.cs.aalto.fi/pml/software/gpstuff/

@karlnapf
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Yep, this also depends on finally tackling a proper base class for distributions, #1998, #1929

@yorkerlin
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I took a close look at the implementation in gpstuff.
Note that the EP implementation in shogun does not pay much attention to negative covariance.

@yorkerlin
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this issue is related to issue #1832

@yorkerlin
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reference:
https://arxiv.org/abs/1412.4869

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