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Robust Gaussian Processes via Relevance Pursuit (pytorch#2608)
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Summary:
Pull Request resolved: pytorch#2608

This commit adds the implementation of the [Robust Gaussian Processes via Relevance Pursuit](https://arxiv.org/pdf/2410.24222) models and algorithms of the NeurIPS 2024 article.

Differential Revision: D65343571
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SebastianAment authored and facebook-github-bot committed Nov 4, 2024
1 parent 3ca48d0 commit fad64bf
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Showing 10 changed files with 1,944 additions and 6 deletions.
6 changes: 3 additions & 3 deletions botorch/models/gpytorch.py
Original file line number Diff line number Diff line change
Expand Up @@ -387,19 +387,19 @@ def _apply_noise(
obs_noise = observation_noise.squeeze(-1)
mvn = self.likelihood(
mvn,
X,
[X],
noise=obs_noise.expand(noise_shape),
)
elif isinstance(self.likelihood, FixedNoiseGaussianLikelihood):
# Use the mean of the previous noise values (TODO: be smarter here).
observation_noise = self.likelihood.noise.mean(dim=-1, keepdim=True)
mvn = self.likelihood(
mvn,
X,
[X],
noise=observation_noise.expand(noise_shape),
)
else:
mvn = self.likelihood(mvn, X)
mvn = self.likelihood(mvn, [X])
return mvn

def posterior(
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418 changes: 418 additions & 0 deletions botorch/models/likelihoods/sparse_outlier_noise.py

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