GP-MC: Use Markov chain to sample Gaussian process hyperparameters. The gp-mc program is the specialization of xxx-mc to the task of sampling from the posterior distribution of the hyperparameters of a Gaussian process model, and possibly also from the posterior distribution of the latent values and/or noise variances for training cases. If no training data is specified, the prior will be sampled instead. See xxx-mc.doc for the generic features of this program. The primary state of the simulation consists of the values the hyperparameters defining the Gaussian process. These hyperparameters are represented internally in logarithmic form, but are always printed in 'sigma' form (ie, with in the units of a standard deviation). This state may be augmented by the latent values for training cases and/or by the noise variances to use for each training case. This auxiliary state is updated only by the application-specific sampling procedures described below. This augmentation is not needed for regression models where the noise variance is the same for all cases, but is needed for classification models, models for count data, and regression models with varying noise (equivalently, noise that has a t distribution). If latent values are present when they are not needed, they will be used when updating the hyperparameters (treated as noise-free data). This will probably slow convergence considerably, but might be desired in order that these values can be plotted. The best way to proceed in this situation is to generate the values at the end of each iteration but discard them before sampling resumes. One MUST discard the latent values before updating hyperparameters when using a regression model with autocorrelated noise. The following application-specific sampling procedures are implemented: scan-values [ N ] This procedure does N Gibbs sampling scans for the latent values associated with training cases, given the current hyperparameters (and possible case-specific noise variances). If N is not specified, one scan is done. Note that a single scan is generally not sufficient to obtain a set of values that are independent of the previous set. If latent values do not exist beforehand, this procedure operates as if the previous values were all zero. This operation is not allowed for regression models with autocorrelated noise. met-values [ scale [ N ] ] Does N Metropolis updates of the latent values (default is one), using a Gaussian proposal distribution whose mean is the current set of latent variables and whose covariance matrix is the prior covariance of the latent variables multiplied by scale^2 (with default of one). As a special fudge (probably useful only for testing), a negative scale can be given, in which case the covariance matrix for the proposal is diagonal, based simply on the prior variances. If latent values do not exist beforehand, this procedure operates as if the previous values were all zero. mh-values [ scale [ N ] ] Does N Metropolis-Hastings updates of the latent values (default is one), in which the proposed state is found by multiplying all the latent values by sqrt(1-scale^2) and then adding Gaussian noise with mean zero and covariance given by the prior covariance of the latent values multiplied by scale^2. The default for scale is one, in which case the proposal is a sample from the prior, but this is probably not good for most problems. If latent values do not exist beforehand, this procedure operates as if the previous values were all zero. init-values Initialize latent values associated with training cases by setting them to values determined by the target(s) associated with that case and by the distribution of values for all training cases. Details vary with the model; some models may not implement this operation. This operation is ignored if latent values already exist. sample-values [ old ] Samples latent values associated with training cases given the current values of the hyperparameters, ignoring the current latent values (if any). This operation is possible only for regression models. It is allowed for regression models with autocorrelated noise, but as noted above, in this context, they will probably have to be discarded before doing anything else (and hence are useful only in allowing quantities such as "b" to be evaluated). If the optional "old" argument is present and is non-zero, an older, slower, version is used. This version is also used when the model has autocorrelated noise. The two versions sample from the same distribution, but don't produce the same values with the same seed. discard-values Eliminates the latent values currently stored. This is useful for regression models, where keeping these values around may be desirable in order to allow certain quantities to be plotted, but where convergence is faster if these values are discarded before the hyperparameters are updated. sample-variances Samples values for the case-specific noise variances in a regression model where these vary (equivalently, where the noise has a t distribution). This operation requires that the latent values for the training cases be available. If these are not recorded, such values are automatically sampled and then discarded. Tempering methods and Annealed Importance Sampling are not currently supported. Copyright (c) 1995-2004 by Radford M. Neal