c_class_bin

Purpose

Online update coeffs. for binary classification.

[loglik,K1,K2] = c_class_bin(likpar,y,mx,varx);

[loglik,K1,K2] = c_class_bin(likpar,y,mx,varx,pM) - returns the coefficients for the online update of the GP assuming classification.

Parameters:

likpar

- the likelihood parameter (output noise).

y

- observed noisy labels.

mx

- mean of the GP marginal at the new input.

varx

- the variance of the GP marginal at the new input.

loglik

- the logarithm of the averaged likelihood function.

K1,K2

- the first and second derivatives of loglik.

Although in practice not important, the noise variance is net.likpar(1) which should be set to a nonzero value when initialising the model.

The likelihood function is


Phi(x) = int(exp(-t^2/2),-infty,x+pM)/sqrt(2*pi)

which has the advantage of providing analytic formulae for the log-average.

(see matlab code for details).