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Pavel Erofeev added GP gradients1.tex
over 9 years ago
Commit id: c04d3c90b71af8c73fd35a895cc5be0c34370504
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Moreover, knowing mena and covariance funcitons one can have an aposteriori estimate of mean and variance of the Gaussian Process gradient in the points of test set.
\begin{lemma}
Given two line segments whose lengths are $a$ and $b$ respectively there
is a real number $r$ such that $b=ra$.
\end{lemma}
Indeed, if
\[
\mathbf{g}(\mathbf{x}_0) = \frac{\partial f(\mathbf{x})}{\partial \mathbf{x}} \Big |_{\mathbf{x}=\mathbf{x}_0},
\]
then
$
\mathrm{Law}\left(g(\mathbf{x}_0) \middle| (X, Y)\right) = \mathcal{N}(J^T \bigl(K + \tilde{\sigma}^2 I\bigr)^{-1} Y, \, B - J^T \bigl(K + \tilde{\sigma}^2I)^{-1} J),
$
where
\[
J^T = \Big [ \frac{\partial k (\mathbf{x}_0 - \mathbf{x}_1)}{\partial \mathbf{x}_0} , ... , \frac{\partial k (\mathbf{x}_0 - \mathbf{x}_n)}{\partial \mathbf{x}_0} \Big ],
\]
\[
B = \begin{bmatrix}
cov(g_1(\mathbf{x}_0),g_1(\mathbf{x}_0)) & .&.&. & cov(g_1(\mathbf{x}_0),g_m(\mathbf{x}_0)) \\
. & . & & & .\\
. & & . & & .\\
. & & & . & .\\
cov(g_m(\mathbf{x}_0),g_1(\mathbf{x}_0)) & .&.&. & cov(g_m(\mathbf{x}_0),g_m(\mathbf{x}_0)) \\
\end{bmatrix},
\]
\[
cov(g_i, g_j) = \frac{\partial^2 k (\mathbf{x}_0, \mathbf{x}_0)}{\partial x^i \partial x^j},
\]
$g_i$ --- $i$th component of gradient vector $\mathbf{g}$.