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fitrgp hyperparameter optimization for noisy functions

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Hadis Anahideh
Hadis Anahideh on 12 Sep 2020
Answered: Aditya Patil on 21 Sep 2020
hyperparameter optimization for fitrgp hyperparameters in matlab there is {'BasisFunction','KernelFunction','KernelScale','Sigma','Standardize'} that can be optimized. However, in noisy cases we have a sigma parameter (different than kernel sigma) added to the diagonal of the kernel based on Rasmussen, 2006. How can I specify or optimize that sigma besides sigmaf and sigmal which are the kernel hyperparameters?


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Answers (1)

Aditya Patil
Aditya Patil on 21 Sep 2020
From my understanding, you want to set the noise variance(sigma n, squared) parameter mentioned in the book. You can do so using 'Sigma' name value pair. Note that 'Sigma' sets the standard deviation. You can find more about it in the documentation here


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