Periodic Kernel outputs wrong period about bayesnewton HOT 5 CLOSED

Additionally I've added custom order for the periodic kernel. Can you give me the ability to create a pull request?

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Hi. I'll try and take a look at this a bit later. Can you confirm what you mean by the "wrong" period? What does the above code output, and what did you expect it to output?

Additionally I've added custom order for the periodic kernel. Can you give me the ability to create a pull request?

That's great, thanks a lot! Would you mind forking the repo, and then creating a PR from your fork into the main repo? That way you won't need additional access.

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The period should be 1, and the code outputs a period of approx. 3, which is the prior of the period.

from bayesnewton.

I just had a quick look. It does indeed seem like the periodic kernel is not doing a good job here.

I'm not yet sure whether this is a bug, or just genuine behaviour of this kernel. Generally, kernels that are purely periodic can be very difficult to train because they assume perfect periodicity.

I'll try to look into it more, but in the mean time you could switch to the QuasiPeriodicMatern32 kernel? Would that still be appropriate for your application? This is much more flexible because the covariance decays over time according to the Matern kernel, and the parameters are much easier to learn. It would be fairly straightforward to implement other quasi periodic kernels too.

One thing to keep in mind is that if you initialise the period to 3, then it could be very difficult for the model to find the optimal value of period=1, because integer multiples of the correct period will also fit the data very nicely. So I wouldn't be surprised if the model ended up learning a period of 3, or 2, unless you initialised it a bit closer to the true solution.

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Your last point was indeed the case. If the prior is in the neighbourhood of the true period, the periodic kernel finds a good estimate.

In the end I want to use quasiperiodic kernels, but I needed a more flexible periodic kernel. That's why I tested with the periodic first.

Are there any plans to account for a generic product class of kernels? I saw a dummy kernel which teased the functionality.

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