Fix obs_noise confusion #400
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daniel-dodd
reviewed
Oct 6, 2023
gpjax/variational_families.py
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| A = Lz_inv_Kzx / jnp.sqrt(noise) | ||
| A = Lz_inv_Kzx / jnp.sqrt(noise_var) |
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Here do we need the jnp.sqrt? Could we just use obs_stddev?
daniel-dodd
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Oct 6, 2023
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| # A = Lz⁻¹ Kzt / o |
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Think pre-commit stuff has gone rogue 😱. The comment should has a σ not an o. (separate issue).
daniel-dodd
approved these changes
Oct 6, 2023
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Thanks @henrymoss. This looks really good to me. likelihood.obs_stddev is fine, but maybe something like e.g., likelihood.root_variance might read more cleanly. But I leave this up to you. :)
daniel-dodd
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Oct 6, 2023
gpjax/objectives.py
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| Sigma = Sigma + cola.ops.I_like(Sigma) * (obs_noise + posterior.prior.jitter) | ||
| Sigma = Sigma + cola.ops.I_like(Sigma) * (obs_stddev + posterior.prior.jitter) |
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Ah @henrymoss this needs to be squared here.
thomaspinder
approved these changes
Oct 6, 2023
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Looks good. Thanks @henrymoss. Just need to fix Dan's comment re. the diagonal noise component and it can be merged.
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I have changed all uses of obs_noise (the noise level of our Gaussian likelihood) to obs_stddev which is much clearer.
We were previously inconsistent with this (sometimes it was var and sometimes it was sd) which actually lead to some bugs which have been fixed in this PR.
I have changed a couple of obs_noise=1e-6 to be obs_stddev=1e-3 to keep the same behaviour in our notebooks.