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yuki-koyama / mathtoolbox

Mathematical tools (interpolation, dimensionality reduction, optimization, etc.) written in C++11 with Eigen

Home Page:https://yuki-koyama.github.io/mathtoolbox/

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The GPR demo fails when the number of data points is large

yuki-koyama opened this issue · comments

commented

I've just found that the GPR demo fails to optimize its hyperparameters when there are many data points (e.g., more than 100). This needs to be examined.

commented

I've found that, when GPR fails with relatively many data points, it is constructing a covariant matrix with a determinant of zero. This results in inf in its maximum likelihood calculation. I am looking for a solution to this issue.