c_reg_lapl

Purpose

Online update coeffs. for regression with Laplace noise.


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

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

Parameters:

likpar

- likelihood parameters (stored in net).

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 noise parameter lambda=likpar is set at the initialisation.

The likelihood function is


P(y|x,lambda) = exp(-abs(x-y)/lambda)/(2*lambda);

(see matlab code for details).