gpLib.RBFNonSeparableKernel

class gpLib.RBFNonSeparableKernel(**kwargs)

Anisotropic squared-exponential (non-separable) kernel.

\[k(\mathbf x,\mathbf y) = \exp\!\Bigl[ -\tfrac12(\mathbf x-\mathbf y)^{\top}A^{-1}(\mathbf x-\mathbf y) \Bigr],\]

\[\begin{split}A^{-1} = \begin{pmatrix} a & -\rho\sqrt{ac}\\ -\rho\sqrt{ac} & c \end{pmatrix}, \qquad a,c>0,\;|\rho|<1.\end{split}\]

Equivalent length-scales:

\[\ell_{1} = \sqrt{\frac{1}{a(1-\rho^{2})}},\qquad \ell_{2} = \sqrt{\frac{1}{c(1-\rho^{2})}}.\]

Variables:

a,c,rho (torch.Tensor) – Raw parameters defining \(A^{-1}\).