www.pudn.com > GP.rar > covMaterniso.m, change:2015-02-26,size:2037b


function K = covMaterniso(d, hyp, x, z, i)

% Matern covariance function with nu = d/2 and isotropic distance measure. For
% d=1 the function is also known as the exponential covariance function or the 
% Ornstein-Uhlenbeck covariance in 1d. The covariance function is:
%
%   k(x^p,x^q) = sf^2 * f( sqrt(d)*r ) * exp(-sqrt(d)*r)
%
% with f(t)=1 for d=1, f(t)=1+t for d=3 and f(t)=1+t+t²/3 for d=5.
% Here r is the distance sqrt((x^p-x^q)'*inv(P)*(x^p-x^q)), P is ell times
% the unit matrix and sf2 is the signal variance. The hyperparameters are:
%
% hyp = [ log(ell)
%         log(sf) ]
%
% Copyright (c) by Carl Edward Rasmussen and Hannes Nickisch, 2010-09-10.
%
% See also COVFUNCTIONS.M.

if nargin<3, K = '2'; return; end                  % report number of parameters
if nargin<4, z = []; end                                   % make sure, z exists
xeqz = numel(z)==0; dg = strcmp(z,'diag') && numel(z)>0;        % determine mode

ell = exp(hyp(1));
sf2 = exp(2*hyp(2));
if all(d~=[1,3,5]), error('only 1, 3 and 5 allowed for d'), end         % degree

switch d
  case 1, f = @(t) 1;               df = @(t) 1;            % df(t) = f(t)-f'(t)
  case 3, f = @(t) 1 + t;           df = @(t) t;
  case 5, f = @(t) 1 + t.*(1+t/3);  df = @(t) t.*(1+t)/3;
end
          m = @(t,f) f(t).*exp(-t); dm = @(t,f) df(t).*exp(-t).*t;

% precompute distances
if dg                                                               % vector kxx
  K = zeros(size(x,1),1);
else
  if xeqz                                                 % symmetric matrix Kxx
    K = sq_dist(sqrt(d)/ell*x');
  else                                                   % cross covariances Kxz
    K = sq_dist(sqrt(d)/ell*x',sqrt(d)/ell*z');
  end
end

if nargin<5                                                        % covariances
  K = sf2*m(sqrt(K),f);
else                                                               % derivatives
  if i==1
    K = sf2*dm(sqrt(K),f);
  elseif i==2
    K = 2*sf2*m(sqrt(K),f);
  else
    error('Unknown hyperparameter')
  end
end