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m-pilia/gp_prior_sample.jl

Created November 13, 2019 13:44
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Example sampling from a Gaussian Process prior
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gp_prior_sample.jl
using Distributions
using LinearAlgebra
using Plots
using Random
pyplot();
N = 500;
M = 5;
ϵ = 1e-6 * rand() * I;
X = collect(range(0, stop=10, length=N));
k(x, y) = exp(-0.5 * norm(x - y)^2);
Σ = [k(X[i], X[j]) for i in 1:N, j in 1:N] + ϵ;
d = MvNormal(zeros(N), Σ);
f = rand(d, M);
p = plot(X, f);
display(p);
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