c_reg_exp

Purpose

Online update coeffs. for regression with positive exponential noise.

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

[loglik,K1,K2] = c_reg_exp(likpar,y,mx,varx) - returns the coefficients for the online update of the GP regression with single-sided noise.

Parameters:

likpar

- the noise parameter (lambda=net.likpar).

y

- observed noisy output.

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.

The likelihood function is

P(y|x,lambda) = exp(-(x-y)/lambda)/lambda;

for values of x and y that satisfy y>x

(see matlab code for details).