Merge pull request #3065 from bwengals/gp-kron-fixes

GPs with Kronecker structure

Author: bwengals

docs/source/api/distributions/multivariate.rst

@@ -7,6 +7,7 @@ Multivariate
 
    MvNormal
    MatrixNormal
+   KroneckerNormal
    MvStudentT
    Wishart
    LKJCholeskyCov

docs/source/api/gp.rst

@@ -1,42 +1,10 @@
-GP Implementations
+Gaussian Processes
 ------------------
 
 .. currentmodule:: pymc3.gp.gp
-.. automodule:: pymc3.gp.gp
-   :members:
 
-Mean Functions
---------------
+.. toctree::
 
-.. currentmodule:: pymc3.gp.mean
-.. autosummary::
-
-   Zero
-   Constant
-   Linear
-
-.. automodule:: pymc3.gp.mean
-   :members:
-
-Covariance Functions
---------------------
-
-.. currentmodule:: pymc3.gp.cov
-.. autosummary::
-
-   Constant
-   WhiteNoise
-   ExpQuad
-   RatQuad
-   Matern32
-   Matern52
-   Exponential
-   Cosine
-   Periodic
-   Linear
-   Polynomial
-   WarpedInput
-   Gibbs
-
-.. automodule:: pymc3.gp.cov
-   :members:
+   gp/implementations
+   gp/mean
+   gp/cov

docs/source/api/gp/cov.rst

@@ -0,0 +1,24 @@
+********************
+Covariance Functions
+********************
+
+.. currentmodule:: pymc3.gp.cov
+.. autosummary::
+   Constant
+   WhiteNoise
+   ExpQuad
+   RatQuad
+   Matern32
+   Matern52
+   Exponential
+   Cosine
+   Periodic
+   Linear
+   Polynomial
+   WarpedInput
+   Gibbs
+   Kron
+   Coregion
+
+.. automodule:: pymc3.gp.cov
+   :members:

docs/source/api/gp/implementations.rst

@@ -0,0 +1,15 @@
+***************
+Implementations
+***************
+
+.. currentmodule:: pymc3.gp.gp
+.. autosummary::
+   Latent
+   Marginal
+   LatentKron
+   MarginalKron
+   MarginalSparse
+   TP
+
+.. automodule:: pymc3.gp.gp
+   :members:

docs/source/api/gp/mean.rst

@@ -0,0 +1,13 @@
+**************
+Mean Functions
+**************
+
+.. currentmodule:: pymc3.gp.mean
+.. autosummary::
+
+   Zero
+   Constant
+   Linear
+
+.. automodule:: pymc3.gp.mean
+   :members:

docs/source/examples.rst

@@ -63,6 +63,7 @@ Gaussian Processes
    notebooks/GP-Marginal.ipynb
    notebooks/GP-Latent.ipynb
    notebooks/GP-SparseApprox.ipynb
+   notebooks/GP-Kron.ipynb
    notebooks/GP-TProcess.ipynb
    notebooks/GP-MaunaLoa.ipynb
    notebooks/GP-slice-sampling.ipynb

docs/source/notebooks/GP-Kron.ipynb

@@ -529,7 +529,7 @@
  "metadata": {
   "anaconda-cloud": {},
   "kernelspec": {
-   "display_name": "Python 3",
+   "display_name": "Python [default]",
    "language": "python",
    "name": "python3"
   },
@@ -543,7 +543,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.5.1"
+   "version": "3.5.4"
   }
  },
  "nbformat": 4,

docs/source/notebooks/GP-Marginal.ipynb

@@ -1,4 +1,4 @@
 from . import cov
 from . import mean
 from . import util
-from .gp import Latent, Marginal, MarginalSparse, TP, MarginalKron
+from .gp import Latent, Marginal, MarginalSparse, TP, LatentKron, MarginalKron

pymc3/gp/__init__.py

@@ -16,8 +16,9 @@
            'Periodic',
            'WarpedInput',
            'Gibbs',
+           'Coregion',
            'ScaledCov',
-           'Coregion']
+           'Kron']
 
 
 class Covariance(object):
@@ -156,6 +157,9 @@ class Kron(Covariance):
     concatenated columns of its components.
 
     Factors must be covariances or their combinations, arrays will not work.
+
+    Generally utilized by the `gp.MarginalKron` and gp.LatentKron`
+    implementations.
     """
 
     def __init__(self, factor_list):