diff --git a/src/kernels/gibbskernel.jl b/src/kernels/gibbskernel.jl index 4ce416f7f..46e14995d 100644 --- a/src/kernels/gibbskernel.jl +++ b/src/kernels/gibbskernel.jl @@ -1,20 +1,24 @@ -""" +@doc raw""" GibbsKernel(; lengthscale) -# Definition +Gibbs Kernel with lengthscale function `lengthscale`. -The Gibbs kernel is non-stationary generalisation of the squared exponential +The Gibbs kernel is a non-stationary generalisation of the squared exponential kernel. The lengthscale parameter ``l`` becomes a function of position ``l(x)``. -For a constant function``l(x) = c``, one recovers the standard squared exponential kernel -with lengthscale `c`. +# Definition +For inputs ``x, x'``, the Gibbs kernel with lengthscale function ``l(\cdot)`` +is defined as ```math -k(x, y; l) = \\sqrt{ \\left(\\frac{2 l(x) l(y)}{l(x)^2 + l(y)^2} \\right) } -\\quad \\rm{exp} \\left( - \\frac{(x - y)^2}{l(x)^2 + l(y)^2} \\right) +k(x, x'; l) = \sqrt{\left(\frac{2 l(x) l(x')}{l(x)^2 + l(x')^2}\right)} +\quad \exp{\left(-\frac{(x - x')^2}{l(x)^2 + l(x')^2}\right)}. ``` +For a constant function ``l \equiv c``, one recovers the [`SqExponentialKernel`](@ref) +with lengthscale `c`. + # References Mark N. Gibbs. "Bayesian Gaussian Processes for Regression and Classication." PhD thesis, 1997