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corrmatern52.m File Reference

Functions

function corrmatern52 (var hp, var d)
 Class of Matern covariance functions (nu = {1/2 3/2 5/2}. More...
 

Detailed Description

Authors
SUMO Lab Team
Version
2017a
Date
Copyright 2006-2017

This file is part of the Surrogate Modeling Toolbox ("SUMO Toolbox") and you can redistribute it and/or modify it under the terms of the GNU Affero General Public License version 3 as published by the Free Software Foundation. With the additional provision that a commercial license must be purchased if the SUMO Toolbox is used, modified, or extended in a commercial setting. For details see the included LICENSE.txt file. When referring to the SUMO Toolbox please make reference to the corresponding publication:

Contact : sumo@.nosp@m.sumo.nosp@m..inte.nosp@m.c.ug.nosp@m.ent.b.nosp@m.e - http://sumo.intec.ugent.be Signature [corr, dx, dhp, rho] = corrmatern52(hp, d)

Function Documentation

function corrmatern52 ( var  hp,
var  d 
)

Class of Matern covariance functions (nu = {1/2 3/2 5/2}.

Implementation based on the book of Rasmussen et al.

  • "Gaussian Processes for Machine Learning" (Chapter 4), C. E. Rasmussen and C. K. I. Williams, MIT Press, 2006

The correlation function is: corr = f( sqrt(nud)*dist2 ) * exp(-sqrt(nud)*dist2) with nud = 2.*nu