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math.NA2022
On automatic differentiation for the Matérn covariance
Oana Marin, Christopher Geoga, Michel Schanen
To target challenges in differentiable optimization we analyze and propose strategies for derivatives of the Matérn kernel with respect to the smoothness parameter. This problem is…
stat.CO2022
Fitting Matérn Smoothness Parameters Using Automatic Differentiation
Christopher J. Geoga, Oana Marin, Michel Schanen +1
The Matérn covariance function is ubiquitous in the application of Gaussian processes to spatial statistics and beyond. Perhaps the most important reason for this is that the smoot…