Improve sampling from GP predictive posteriors.#2498
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In the covaraince matrix is now a rather than an . This change improves the samples from GP predictive posteriors. Rather than applying a low-rank approximation to , the now only applies a low-rank approximation to for sampling, and then adds on i.i.d. noise.
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In
GaussianLikelihood#marginalthe covaraince matrix is now aPsdSumLinearOperatorrather than an
AddedDiagLinearOperatior. This change improves the samples from GP predictive posteriors.Rather than applying a low-rank approximation to
K + \sigma^2 I, thePsdSumLinearOperatornow only applies a low-rank approximation to
Kfor sampling, and then adds on i.i.d.N(0, \sigma^2 I)noise.