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Issue 757: Vectorise GP stan code #742
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Thanks @seabbs. I've now reviewed the code aspects as much as I can. I am currently exploring the various gp kernels locally and will report if I find anything worth discussing.
Co-authored-by: James Azam <[email protected]>
Co-authored-by: James Azam <[email protected]>
Co-authored-by: James Azam <[email protected]>
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This is how benchmark results would change (along with a 95% confidence interval in relative change) if 7532c83 is merged into main:
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Description
This PR builds on #741 and closes #757 by vectorising the spectral density functions, using a single matern function, and introducing periodic kernals. It uses ideas found in https://avehtari.github.io/casestudies/Motorcycle/motorcycle_gpcourse.html.
It takes advantage of this refactor to do some prior predictive checking for the priors related to the GP, and then leverages the improved performance to reduce stan settings and relax initialisation constraints (see the news section).
Initial submission checklist
devtools::test()
anddevtools::check()
).devtools::document()
).lintr::lint_package()
).After the initial Pull Request