em_exp

Purpose

Recomputes the likelihood parameter for pos.-exp. noise.

Synopsis

[newLik] = em_exp(oldLikPar,y,cavM,cavV,postM,postV);

Description

[newLik] = em_exp(oldLikPar,y,cavM,cavV,postM,postV) -the M-step in lik.par. estimation assuming one-sided exponential noise. The data is assumed to be independent, and the EM approximation to the new value is

newlik  = sum(avg(Theta(y-f),postM,postV))/N;

where Theta is a function that sets the negative values of its argument to zero and avg is the average operator with respect to a Gaussian.

Parameters:

oldLikPar

- the preceeding value of the lik.-par..

y

- desired output.

cavM,cavV

- (cavity) mean and variance of the GP.

postM,postV

- mean and variance of the posterior process.

newLik

- the new parameter.

See Also

demogp_reg, ogp, ogptrain, c_reg_exp

Copyright (c) Lehel Csató (2001-2004)